Default fund contribution
JSCC margin changes ease Japan interest rate pain
Negative rates prompted switch in the CCP’s margin calculation model for interest rate swaps
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
CCP stress tests have found capital shortfalls – Esma
Small increases to stress-test scenarios would have left Ice Clear Europe “in material breach”
Systemic risks in CCP networks
Barker, Dickinson, Lipton and Virmani propose a credit and liquidity risk model for CCPs
Banks and CCPs clash over non-default losses
Banks balk at being on the hook for losses from investments or cyber attack, but many clearers say the risk should be shared
Eurex faces questions on savings from buy-side clearing
CCP rebuffs argument that direct membership model will add to risk
JP Morgan exec challenges CCPs over skin in the game
"Why wouldn't you put up... all of your capital?" asks Olsen
SGX 'ahead of the curve' on CCP capital, argues director
Singapore Exchange puts up 25% of default fund capital; European and US CCPs contribute 2.6%
CME guaranty fund cut could lure new clearing members
Regional banks and prop shops eye direct membership, but FCMs see few benefits
Regulators to put CCP risks under microscope
CPMI-Iosco stress-testing quiz will be precursor for broader risk review
Calypso Technology: No FCM, no problem
Ex-RBS clearing head maps out a world without FCMs
CCPs confront the difficult maths of default management
The next time a big dealer defaults, it will hit a host of swap clearing houses simultaneously
BlackRock adds to clamour for more CCP capital
Firm's co-founder says oversight of clearing houses also must be tougher
Eurex vs LCH.Clearnet: clash of the titans
German exchange woos big clearing members with promise of capital savings
Default fund capital will halve under final rule, banks say
Clearing members welcome Basel's fifth – and final – version of charge
Ice members split over new client clearing model
Dealers fear mutualised exposure in 'sponsored principal' model
SGX proposes to remove unlimited liability for CCP clearing fund
Singapore CCP looks to strengthen its risk management approach
Leverage and CCP capital proposals will hurt clearing – Risk.net poll
Four fifths of respondents to a new Risk.net poll think proposed changes to the leverage ratio and CCP capital rules will make it uneconomical to become a clearing member
Acting as a clearing member will be uneconomical – Isda panel
New proposed rules on CCP default fund capital and the leverage ratio will together make acting as a clearing member uneconomical, says industry panel
Basel tries to create clearing pull with new capital rules
Dealers say rules for default fund exposures are an improvement, but risk weights are not tied to "real default probabilities"
CME finalising plans for swaptions clearing
Swaptions said to have passed CME’s risk committee, and may now be included in CME Clearing Europe’s application to Esma for reauthorisation
OTC Derivatives Clearing Summit: Clearing incentives "are not there" - Goldman's Frankel
Regulators want capital and margin rules to encourage central clearing, but analysis suggests costs may currently be higher in the cleared world
Banks tout alternative to calculate CCP default fund capital charge
Dealers push for a more risk-sensitive model, but regulators may opt to incorporate a new non-internal modelled approach into the existing hypothetical capital method