CCP
WHAT IS THIS? A central counterparty (CCP) manages default risk by collecting initial and variation margin from both parties to a trade. Spill-over losses are absorbed via a default fund to which all members contribute – introducing a degree of mutualised risk – and by the CCP’s own capital. The concept is an old one that was extended to over-the-counter derivatives in the aftermath of the financial crisis.
Buffer stop: Eurex clearing members shunt default fund
Clearing house’s CRO says both members and clients opt to pay more margin instead
Osttra to launch Treasury clearing middleware
Mid-year delivery expected for system that aids credit checking for repo trades
Banks divided over CME’s done-away model for UST clearing
Buy side could give thumbs-up if questions on margin protection and guarantee fees are answered
US MMFs clear record one-third of repos via FICC
Trades executed through sponsored access hit a $865 billion high at end-2024
Dissecting initial margin forecasts: models, limitations and backtesting
The authors demonstrate that initial margin is not value-at-risk, but its approximation, and suggest a generic backtesting and verification framework that accommodates both forecasting limitations and existing models.
FCMs welcome CFTC margin rule ring-fencing clarification
Final rule on separate accounts replicates no-action relief as Republicans strip out gold plate
CPMI-Iosco report highlights gaps in CCPs’ variation margin practices
Survey finds only a third implement VM pass-through, just 15% net client and house accounts
Treasury clearing timeline ‘too aggressive’ says BofA rates head
Sifma gears up for extension talks with incoming SEC and Treasury officials
Rostin Behnam’s unfinished business
Next CFTC chair must finish the work Behnam started on crypto regulation and conflicts of interest
Junk-rated CDS clearing rates slid in H1 2024
Shift away from CCPs concentrated in sub-investment grade multi-name products
FCMs call for more oversight of self-clearing CCP members
Clearing firms worry that PTFs and market-makers joining CCPs en masse will increase systemic risk
Complex EU active account reporting could drive trades out of UK
Draft Emir rules might not force large volumes to move to EU, but will make compliance difficult
Clearing members ponder the purpose of CME’s mystery FCM
Some think licence will be used to boost crypto clearing capacity, but many questions remain
Record share of OTC trades eschews interdealer, CCP channels
More than one-fourth of global notional involves a single dealer and is not cleared, BIS data shows
US senators press CFTC on Japan swap clearing
Boozman and Hagerty urge action on yen swap clearing access to JSCC in letter to US regulator
CFTC weighs third-party risk rules for CCPs
Clearing houses could be required to formally identify and monitor critical vendors
Central clearing and trade cancellation: the case of London Metal Exchange nickel contracts on March 8, 2022
This paper explores the 2022 nickel price event on the London Metal Exchange, examining LME’s response to the market stress, court verdicts and the potential impact on CCP rule books.
StanChart boosted OTC clearing rate by 11.7pp in 2023
Tilt contrasts with move away from CCP trades at Citi, Wells Fargo
Withholding tax trips up Eurex agency clearing model
Clearing members rely on CCP to resolve potential problem with German tax authorities
Thin-skinned: are CCPs skimping on capital cover?
Growth of default funds calls into question clearers’ skin in the game
Girolami to leave LCH for NatWest
Clearing house CEO named CIB head for UK lender
New CME guidance to drive tighter margin call management
Clearing house rule clarified to limit the use of grace periods to cases of admin/operational errors only
SEC leadership change puts Treasuries mandate under scrutiny
FICC clearing models approved, but critics think delay could revive prospects of done-away trading
Bank of England to review UK clearing rules
Broader collateral set and greater margin transparency could be adopted from Emir 3.0, but not active accounts requirement