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.
Inside top CCPs’ default funds
Central banks favoured by CCPs to hold default resources
Podcast: Andrew Dickinson on CCPs’ defence mechanisms
Trades’ size limits, membership rules and more transparency key to avoid another CCP default
CCP risks, Sonia shift and CVA carve-out
The week on Risk.net, January 4–10, 2020
European CCPs home to 241 non-bank clearing members
Majority of non-financial counterparties are energy and power firms
Small, speculative clearing members – are they worth the risk?
CCPs need new tools to scrutinise their members, for everyone’s good health
Volume pop leads to higher IM at Ice Clear Europe CDS
Open interest in CDX contracts increased 78% in first nine months of 2019
One bad apple: default risk at CCPs
One clearing member's disproportionately large position increases the credit risk for all CCP members
JSCC caps member cash calls, revamps futures margin model
Clearing house set to end unlimited default fund top-ups for futures clearing
IM calls rocket at LCH’s repo service in Q3
Peak aggregate initial margin call of €462 million in third quarter
SwapClear model update causes IM hike
Maximum aggregate IM call for Q3 was £3.7 billion
EU snubs plan to delay CCP open access rules, for now
Attempt to squeeze delay into crowdfunding rules fails, but Mifid review provides last chance
Eurex: from EQD clearing specialist to all-rounder
Initial margin for equity derivatives makes up 41% of total, down from 63% four years prior
Singapore’s banks eye LCH membership
London CCP’s move to clear for stranded SGX clients pays off, amid broader Apac membership push
Leaked email reveals new assault on CCP open access rules
Largest group in European Parliament wants to shoehorn delay into crowdfunding legislation
Will uncleared margin rules change the FX landscape?
As the next phases of uncleared margin rules come into force, there will be an economic driver for more clearing of FX. By Phil Hermon, Executive Director of FX Products at CME Group
Germany scrambles to shut the door on Mifid open access
Finance ministry will face fine timing to reverse clearing rule during its EU presidency
EU derivatives markets highly concentrated
CCPs hold 41% of interest rate derivatives notional exposures
How pre-trade IM calculation can optimise and reduce collateral drag
With firms under pressure to make their systems compliant with uncleared margin rules (UMR), the increase in margin requirements has put further strain on the availability of high-quality liquid assets. Mohit Gupta, senior product specialist at Cassini…
Clearing experts fear tough EC stance on Emir 2.2
Industry disappointed final Esma advice did little to dial back on burdensome equivalence rules
JSCC had a top margin breach of ¥114m in Q3
Three backtesting exceptions disclosed for 12-month period to end-September
CCPs, margin ease and equity option freeze
The week on Risk.net, November 23–29, 2019
Clearing house power-downs raise fears among members
Banks question CCP resilience to system outages, as debate swirls over non-default losses
Lifetime achievement: Benoît Coeuré
Risk Awards 2020: The departing ECB executive has helped transform eurozone financial markets
Fintech start-up of the year: Baton Systems
Risk Awards 2020: With four million FX trades since launch, the “institutional PayPal” now aims to free trapped margin