CCPs
CCPs’ skin in the game drops to historic low
Clearing members bear increasing load, analysis of 15 clearing houses shows
SGX-DC’s prefunded resources short of stressed losses 37 days in Q2
Latest round of shorftalls linked to double-member default lay bare lack of Cover 2 requirement
Estimated stress losses at CME, Eurex and LCH surge to record high
Latest projections likely behind increases in contributions to CCPs’ default funds in Q2
Six CCPs fail to cover concentration risk in Esma stress test
Largest shortfalls modelled in commodity derivatives segment, led by Ice Clear Europe ECC
DCOs show resilience beyond key default thresholds – CFTC
Reverse stress test reveals clearing houses remain resilient under low to moderate market shocks
CCPs vulnerable from reverse repo investments – Esma
European watchdog flags risks of uncovered exposure during liquidity stress event
Ice Europe’s liquid resources up 27% under new model
More comprehensive stress-testing model pushes highly marketable collateral to record high in Q1
Default funds at CME, JSCC and OCC grew to record levels in Q1
CCPs’ skin in the game fails to keep pace with member contributions
Open position concentration hits record high at top CCPs
LCH, Nasdaq and Eurex report biggest quarterly jumps among 16 clearing houses
JSCC’s initial margin soared as Japan’s stock market hit record high
Higher demand for exchange-traded products pushed requirements up in Q1
JSCC, ASX see hypothetical stress loss breaches in Q1
Single-member default in worst-case scenario would have exceeded available resources
Liquidity risk hits five-year high at LCH
Higher settlement obligations at Paris-based RepoClear blamed for €9bn spike
LCH suffered nearly 13 hours of op failures in Q1
Longest downtime since 2019 in breach of CCP’s two-hour recovery objective
Ice Europe’s liquidity risk at record high in Q4
Estimated largest payment obligation in euros more than double previous quarter’s figure
LCH issued highest cash call in more than five years
Largest same-day payment obligation triples in Q4 2023
JSCC, FICC lead VM spike across CCPs
BoJ decision to allow 10-year yields above 1% contributed to JSCC spikes
LCH UK units experience diverging IM requirements
EquityClear and RepoClear drop by half while SwapClear hits record high
Record rise in concentration at top CCPs leads to all-time high
Median top-five member open position concentration rises 2.4pp in Q4
Nasdaq liquidity risk jumps 15% on increased settlement flows
Maximum amount owed to CCP by single member in stress scenario rises in Q4
LME had four-hour operational failure in Q4
First outage on record caused by connectivity issue at LMEmercury
NSCC issued record $45bn cash call in Q4
Worst-case scenario estimate up 22% from previous quarter