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.
Ice single-name clearing surge defies market trend
Ice Clear Credit open interest grows 31%
Eonia woes hold up euro swaptions switch
Eleventh-hour derailment for project that has been in the works for a year
French regulator: we are not the Brexit bogeyman
AMF denies pursuing relocations from UK, but calls on EU27 to build its financial markets
OCC margin breaches spike in Q1
Peak exposure of $363 million in three months to March 31
CME reports two margin breaches in Q1
Shortfalls totalling $79 million were by far the largest for the CCP since public reporting started in 2015
Clearers diverge on SOFR swaps discounting
CME switches to new rate for clearing; rival LCH stays with Fed funds
Eurex rejigs liquidity portfolio
Half a billion euros placed with commercial banks at end-March
Banks fear loss of Emir intragroup exemptions
Firms would have to clear or margin transactions with affiliates in non-equivalent jurisdictions
FICC liquidity facility swells to $36 billion
Capped contingent liquidity facility adjusts in response to heightened liquidity risk
New DTCC fee structure could lure non-bank traders
US regulator approves proposal targeted at government securities business
A CCP is a CCP is a CCP
This paper discusses the many differences between CCPs and banks as well as the significance of these differences.
Asian and Americas CCPs seek EU recognition
16 CCPs apply for Esma's seal of approval
Hedge funds cut CDS positions as basis trades diminish
Net long CDS positions fell by $117 billion from mid-2014 to end-2017
CDS market structure transformed – BIS
Inter-dealer trades have retreated as CCP dominance grows
G-Sib swap portfolios reveal transatlantic divide
EU banks record 16% fall in non-cleared swaps, while US dealers see 9% growth
CCPs must step up cyber risk efforts, says EU legislator
Policymakers want more focus on non-default loss resources; Eurex Clearing’s Mueller flags investment risk
CCPs incur fewer margin breaches in 2017
LCH Ltd reports 399 fewer breaches than in 2016; DTCC 156
Buy side using compression tools to create, not destroy
Custom-trading services are booming at Bloomberg and Tradeweb, but not for the reasons intended
Liquidity resources vary across CCPs
Eurex, Ice Clear Credit, LCH SA most dependent on cash deposited at central banks
CCP stress tests need improvement, argues new research
Existing data could inform greater number of stress scenarios and create system-wide test
Barclays’ cleared and non-cleared OTC volumes diverge
Non-cleared notionals down 23% year-on-year
Concentration of client positions rises at LCH
Over 75% of client positions handled by five largest clearing members at LCH Ltd
Measuring system-wide resilience of central counterparties
This paper describes the three components needed to simultaneously stress clearing members and CCPs across markets: scenario generation, evaluation of the profit and loss (P&L) of clearing member portfolios for each scenario, and default of clearing…
Esma questions CCP ‘free ride’ for sovereigns
Regulator has asked EC to take a stance on venues that let public entities clear without posting margin