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.
Keeping watch: EBA stress-testing head plans overhaul
Top-down approach, dynamic balance sheet and multiple shock scenarios all possible for 2022
Hong Kong eyes SOFR solution for term fixing
New ‘proxy’ Honia could help change discount rate from Hibor to OIS for local swaps, says HKEX
LCH leads top CCPs on operational failures
London-based clearing house said core systems were down for over seven hours in 12-month period
US clearers move to dole out losses besides default
ICC wants members to chip in on investment and custodial losses; the OCC, on the whole op risk enchilada
US clearing houses need not take collateral damage from Brexit
There are signs the US and EU will pull back from the brink in dispute over CCPs
On CCP oversight, US and EU may be closer than they appear
Competing proposals on foreign CCP oversight have more in common than recent rhetoric implies
Central counterparties: magic relighting candles?
In this paper, the rules of selected major CCPs (LCH, CME, Eurex and ICE) are reviewed for both their end-of-waterfall procedures and the rights granted to clearing members in end-of-waterfall scenarios.
Recovery plans, CFTC equivalence and stress tests
The week on Risk.net, September 21–27, 2019
CFTC’s equivalence plan divides clearing houses and clients
US end-users prefer alternative compliance, but foreign CCPs want exempt status
Libor transition and implementation – Covering all bases
Sponsored Q&A
Ice, CME shore up clearing house recovery planning
Introduction of VMGH and tear-ups comes amid impasse over CCP recovery and resolution rules
EU seeks to offer reassurance on Brexit clearing exemption
Commission can act quickly to stave off no-deal market disruption, insists official
CFTC refuses to budge on margin treatment of SMAs
Asset managers must agree new protocols for dealing with margin shortfalls in SMAs by September 2020
FCA chief calls for EU to extend Brexit clearing exemption
Bailey also urges EU to grant equivalence determinations for UK trading venues
LCH sets €STR swap clearing launch date
Clearing house to offer the swaps from October 21, discounted at Eonia
Clearing house of the year: JSCC
Asia Risk Awards 2019
Eurex to launch cross-currency swap clearing ‘within weeks’
Clearing service will target dealer-to-dealer trades before later rolling out to clients
SOFR discounting switch splits Goldman and JP Morgan
CFTC committee calls on clearing houses to align timing and compensation mechanisms
Brexit flips LCH-Eurex basis
LCH-Eurex basis has inverted on buy-side flows, hitting –1.3bp at July low
An old fight over margin protections rears its head
CFTC rules on margin and loss limits for separate accounts are being torn up for asset managers
Virtue bonds, Hong Kong FRTB and letting go of Lehman
The week on Risk.net, August 24–30, 2019
Default auctions, Libor replacement and op risk capital
The week on Risk.net, August 10–16, 2019
CME-LCH basis collapses amid rates downturn
Brexit and recent LCH initial margin raise could also be factors