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.
Swaps data: a Mifid-shaped hole
Data shows strong growth in US dollar rate swaps, but global picture is incomplete, says Amir Khwaja of Clarus FT
A floored plan: Europe’s CCP recovery rules draw fire
CCPs and clearing members both unhappy with proposed allocation of non-default losses
EU risks backlash on CCP supervision – UK MEP
Swinburne says US could retaliate over fears of “damaging blanket Brexit policy”
CFTC set to partner with SEC on CDS supervision
Move could open the door to single-name clearing mandate, say experts
FCMs warn CCPs not to compete on margin
Equity moves in February exceeded margin posted against some cleared products
CFTC commissioners lash out at EC clearing proposal
Push to expand oversight of US CCPs is “clear breach” of 2016 equivalence deal, Quintenz says
Swaps data: breaking down CCPs’ $750 billion funding bill
Amir Khwaja of Clarus FT considers how initial margin, variation margin and default fund contributions can quickly add up
From Lehman to rupee crashes: India’s CCP chief on market stress
Risk chief sets about bolstering CCIL’s risk modelling, lookback periods, and portfolio compression
European legislators to exempt CCPs from new bank rules
Support in Council and Parliament suggests leverage ratio, NSFR exemptions will be in final text
BoE to authorise EU CCPs ‘at 00:01’ on Brexit day
Central bank hopes plan to preserve access for EU CCPs will be reciprocated
Risk mutualization and financial stability: recovering and resolving a central counterparty
This paper investigates how financial market participants respond to risk mutualization implemented by a CCP using assessments after a large credit loss.
FMIC 2 special issue introduction: a policy view on developments in the field of financial market infrastructures
This introductory article positions these papers and speeches within the context of the wider conference proceedings of the Financial Market Infrastructure Conference II: New Thinking in a New Era, including insights from the panel sessions and…
Central counterparties and systemic stability
The paper is the text of a keynote address by Marc Bayle de Jessé presented at the conference.
Swaps data: the monopoly effect in clearing
There are only a handful of products where clearing volumes are evenly split between rivals
When do central counterparties enhance market stability?
This paper examines the impact of market structure and payment assumptions on the fragility of various networks.
Central counterparty resolution: an unresolved problem
This paper describes the current policy for recovery and resolution of CCPs and assesses the tool kit for resolution of them.
LCH, CME or OTC? Forex traders weigh their options
Bilateral trading costs bite but dealers lukewarm on both firms’ plans for forex options clearing
CCP stress tests have found capital shortfalls – Esma
Small increases to stress-test scenarios would have left Ice Clear Europe “in material breach”