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.
Let’s grow the third-party risk playbook – CME security chief
CrowdStrike outage highlights need for financial sector to adjust its game plan
CME, Ice tread nuanced path to US Treasury clearing
CME floats “hybrid” model, Ice commits to agent clearing, while LCH is yet to reveal its hand
Correlation breakdowns, spread positions and central counterparty margin models
The authors investigate correlation behavior during adverse market conditions and the potential impact on CCP margins, finding that such breakdowns appear to be more common than expected.
Eurex default fund reshuffle leaves members frustrated
Clearing members say concentration margin add-ons would be fairer than buffer on all portfolios
CME, FICC in talks to expand cross-margining to client accounts
New rules and account structures will be needed to allow cross-margining by non-members
Margin calls jumped threefold as global markets sold off
FCMs claim no client defaults, but episode revives complaints of procyclical margining
Déjà vu for common domain model
Piecemeal progress on ambitious derivatives data standard raises questions over business case
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
Fresh EU push for single securities supervisor to compete with US
But MEP expresses ‘concern’ EU nations will stall revival of capital markets union
Ice postpones migration to VAR in bid to improve offsets
Clearing house will move on freight products before energy, as users fret over margin spikes
Clearing members cry foul over restrictive FICC rule change
Draft interpreted as attempt to obstruct rival clearing houses entering US Treasuries market
Ice Europe’s liquid resources up 27% under new model
More comprehensive stress-testing model pushes highly marketable collateral to record high in Q1
Is JSCC-CFTC stalemate about to be broken?
Japan CCP gains allies in battle to clear yen swaps for US clients, but CFTC shakeup could dash hopes
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
FCM-style client clearing comes to Europe
Eurex and LCH among CCPs ready to adopt new agency model aimed at easing bank capital
JSCC, ASX see hypothetical stress loss breaches in Q1
Single-member default in worst-case scenario would have exceeded available resources
MMF margin adoption needed to boost tokenisation efforts
Instruments must be more widely accepted as initial margin for new tech initiatives to take off, says JPM exec
VAR migration postponed at LME amid nickel crisis review
Clearing house faces tricky balance between arbitrage trades and corporate metals hedging
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