Default funds
OCC updates default auction rules to encourage buy-side bids
Clearer’s proposed changes follow client fears of being locked out
As business mix shifts, Eurex bulks up its default fund
Clearing house will raise charge to 9% from 7% as stress tests signal need for a fatter fund
Inside top CCPs’ default funds
Central banks favoured by CCPs to hold default resources
European CCPs home to 241 non-bank clearing members
Majority of non-financial counterparties are energy and power firms
JSCC caps member cash calls, revamps futures margin model
Clearing house set to end unlimited default fund top-ups for futures clearing
OCC member default fund contributions up $1bn in Q3
Peak initial margin call was $9.9 billion in Q3
IM calls rocket at LCH’s repo service in Q3
Peak aggregate initial margin call of €462 million in third quarter
Ice adds insurance to default waterfall
Protection promises partial recovery of guarantee funds at three CCPs
Swaps data: CCPs – a systemically important market infrastructure
Disclosures show heavy concentration of initial margin in top three clearing services, writes Amir Khwaja
Prime services – It’s about what you bring
There are many benefits to integration – particularly when it comes to the provision of prime services. Societe Generale has followed this path, which has allowed it to improve cost efficiency and improve the range of products it can offer. The bank has…
Banks warn of trader crunch at CCP default auctions
Risk USA: dealers hope for more cross-CCP fire drills
CCPs dismiss bank, buy-side criticisms
CME, Ice bat away suggestions of flaws in clearing house risk management
LCH SA members add €371m to cash, derivatives default fund
Funds for other clearing activities see quarter-on-quarter falls, in contrast
Ice’s European CDS clearing house adds €175m to default fund in Q2
In contrast, futures and options fund shrinks 6% quarter-on-quarter
DTCC default fund contributions climb 15%
CCP had 270 clearing members at end-June
Eurex Clearing members add €609m to default fund
Initial margin posted in Q2 soars 5%
Ice, CME shore up clearing house recovery planning
Introduction of VMGH and tear-ups comes amid impasse over CCP recovery and resolution rules
JSCC member default fund contributions fall to ¥676bn in Q2
Default fund contributions shrink 19%, but members’ initial margin payments climb
Ice Clear Europe default fund contributions jump 21%
The clearing house reported 78 clearing members for futures and options division
DTCC default fund contributions shrink 16%
CCP reports 268 clearing members at end-March
Default fund costs dominate US G-Sibs’ cleared swaps charges
Default fund contributions accounted for 62% of the eight banks’ RWAs
JSCC default funds shrink $1.7 billion in Q1
The CCP reported 281 clearing members at end-March
Credit portfolio stress testing using transition matrixes
In this paper, the authors propose a new methodology for modeling credit transition probability matrixes (TPMs) using macroeconomic factors.
Podcast: Kaminski on lessons from commodity market defaults
Professor Vince Kaminski analyses Nasdaq and PJM defaults