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.
EU drops reporting relief for exchange-traded derivatives
Exemption removed from Emir Refit, but Parliament moots future legislative changes for ETDs
Shanghai CCP no-action relief clears way for US FCMs
Three-year relief may allow more clearing members to join, but hurdles to full recognition remain
Swaps end-users struggle for clearing access – survey
Thirty of 44 derivatives end-users cite difficulties finding and maintaining access to CCPs
Dealers and FCMs split on clearing incentives
72% of client clearing firms say leverage ratio a clearing disincentive
LCH-Eurex basis falls 80% as insurers head to Frankfurt
Fixed rate available at Eurex has dropped from 1.35bp to 0.25bp in past two months
OCC swells liquidity after reinforcing clearing fund
Further changes expected following September clearing fund revamp
Q&A: EU’s Hübner on Brexit and future of equivalence
Top EU lawmaker discusses improvements to equivalence, contract continuity and clearing relocation
Clearing up Deutsche’s swaps ‘shift’
Reported move of euro business is not as straightforward – or as dramatic – as it seemed
Swaps data: OTC margin up; futures margin down
Swaps initial margin jumps 22% year-on-year, against surprise fall in futures margin, writes Amir Khwaja of Clarus FT
Machine learning, leverage ratios and a transatlantic dispute
The week on Risk.net, July 21-27, 2018
VM switch shrinks Nomura's balance sheet
Revised treatment of variation margin reduces exposures by ¥247 billion
Oversight row could block EU firms from US clearing – Giancarlo
Europe’s planned post-Brexit CCP reforms “irreconcilable” with US rules, says CFTC chief
First SOFR swaps trade as banks test new benchmark
First OTC trades include two basis swaps and an OIS trade, with JP Morgan thought to be a counterparty
Pimco criticises LCH over SOFR plan
Senior official calls on CCP to follow CME and use SOFR for margin interest and discounting immediately
Life after London: AMF urges revived capital markets union
French regulator wants supervisory convergence, examines Mifid II impact on market transparency
CCPs build their liquidity buffers
$26 billion increase in deposits entrusted to commercial banks
Swaps data: the big get bigger in cleared swaps
First half of 2018 sees strong growth in cleared OTC derivatives volumes, writes Amir Khwaja of Clarus FT
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