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.
Drilling for default: dry run gives CCPs a Lehman-like lesson
Member default simulation finds standardisation and porting could help in a crisis, and moots unscheduled repeat drill
Regulators urged to back non-cash variation margin
Market participants warn FSB on cash demands if banks curb collateral upgrade trades
JSCC presses for US client clearing exemption
Heightened yen rate risk adding urgency to US funds’ calls for swaps clearing access
Cleared rate for CDSs dropped in H2 2023
Record five-percentage point decline driven by multi-name contracts
New FICC clearing model still holds fears for buy side
Sponsored access with margin segregation hasn’t reassured firms about loss mutualisation
Clear warning on escape hatch for optimisation trades
CCPs fear Emir clearing mandate carve-out for portfolio rebalancing could be abused
Alternative margin models for mortgage-backed securities
The authors investigate mortgage-backed securities, applying margin frameworks often used on other asset classes to MBSs which could be uses as a supplemental model framework.
Industry urges focus on initial margin instead of intraday VM
CPMI-Iosco says scheduled variation margin is better than ad hoc calls by clearing houses
FICC takes flak over Treasury clearing proposal
Latest plans would still allow members to bundle clearing and execution – and would fail to boost clearing capacity, critics say
Buy side would welcome more guidance on managing margin calls
FSB report calls for regulators to review existing standards for non-bank liquidity management
Industry pushes to extend review for Emir active accounts rule
Fears that compressed timeframe leaves less than a year to test if controversial policy is working
As FCMs dwindle, regulators fear systemic risk
Panellists highlight dangers of clearing membership becoming more concentrated
CCPs show support for daily stress margin tools
Anti-procyclicality measure floated by HKEX official sparks interest from rivals including Nasdaq
Esma faces tough task in implementing Emir 3.0
EU regulator must contend with tight timeframes and increasing workload without additional resources
Canada’s top dealers boost derivatives clearing as FRTB kicks in
BMO, RBC and TD Bank cleared record C$45.1 trillion in notionals in Q1
Reluctantly, CME moves to clear US Treasuries
CME Group will seek regulatory approval to clear US Treasuries, chief executive Terry Duffy said today
Snail race: the slow growth of securities lending CCPs
There’s underlying appetite to clear, but a structure to suit all participants is proving elusive
Esma pledges faster approvals for CCP margin model changes
Löber says regulatory sign-off on small model changes should take just three weeks under Emir 3.0
Proposed CCP margin disclosures may be ‘destabilising’, Eurex warns
BCBS-Iosco consultation calls for daily disclosure of margin calls
EC’s McGuinness: active accounts rule ‘light’ on largest firms
Active clearing account requirement not as ambitious as she hoped, says commissioner
US dealers slam capital hit on clearing for unreal CVA risk
Fed would diverge from Basel standards by imposing CVA capital on client-cleared trades
A change of TIIE: the knotty issue of Mexico’s benchmark switch
Outlier fallback methods and narrow window to build F-TIIE derivatives liquidity make for ambitious transition plan
Confusion reigns ahead of crucial Emir 3.0 vote
Leaked text introduces multiple calculations and thresholds for mandatory clearing and active accounts
EU clearing houses want global standard on procyclicality
CCPs fear Europe will adopt its own prescriptive rules despite ongoing international consultation