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.
Nasdaq revs up listed equity swaps; LSEG stuck in neutral
Trading opens for custom basket forwards, as LSEG shelves Turquoise and LCH tie-up
How repo roll risk could spoil US Treasury basis trade
Financing worries emerge as popular trade becomes increasingly reliant on overnight repo
CME, DTCC lead CCPs on operational failures
Analysis of 15 clearing houses shows outages lasting 34 hours in the past year – highest figure since 2019
BGC’s Eurex swap curve: basis killer?
Outright curve aims to stamp out LCH-plus-basis pricing for Eurex swaps – but price gap may persist, dealers say
HKEX and LCH look to expand eligible collateral
Chinese government bonds in the frame as clearing houses seek to boost non-cash margin options
LCH SA’s default funds hit record highs
CCP’s own contributions account for less than 1% across three clearing services
OCC skin in the game down by nearly a third
Hike in capital expenditures and tax payments drives decrease
Liquidity risk hits multi-year highs at both CME divisions
Changes to clearing member exposures and portfolio composition drive increases
CFTC’s clearing house recovery rule splits industry
Some fear CCPs will fast-track recovery, others say any rule book will be ignored in emergency
Market ‘not ready’ for US Treasuries clearing mandate
“Client clearing for Treasuries doesn’t really exist,” says Barclays exec, while DTCC points to gaps in market awareness
OCC liquidity risk doubles to all-time high in Q2
Concentration of activity around June expiration responsible for record rise
EU banks ‘will play for time’ in stand-off over India’s CCPs
Lawyers say banks are unlikely to set up subsidiaries and will instead pin hopes on revised Emir fix
Worst-case double default would have caused breach at CME
Stress loss based on hypothetical scenario was $390m higher than prefunded resources
People: Finma CEO quits, Citi’s dealmaking promotion, and more
Latest job changes across the industry
Narrow path to compromise on EU’s post-Brexit clearing rules
Lawmakers unlikely to support industry demand to delete Emir active accounts proposal altogether
At Eurex, default fund grows 45% to record size
Market volatility and current interest rates level behind increase in Q2
Members’ contributions to MBSD’s default fund up 11%
CCP’s skin in the game also up slightly, pushing aggregate amount to highest since Q1 2022
Construction of hypothetical scenarios for central counterparty stress tests using vine copulas
Using the vine copula, the authors put forward a nonparametric means to generate and/or validate hypothetical stress scenarios.
Rate of cleared OTC derivatives rises at European banks
Swedbank leads dealers in secular trend towards clearing space
Mystery clearing member delays ICEU’s CDS transition
But Ice is confident open interest will be close to zero when service shuts down in October
Overboard: ditching clients imperils Treasuries clearing mandate
Standardised docs a drop in the ocean as dealers eye potential costs of sponsored Treasuries clearing
LCH Ltd’s RepoClear margin model gets a makeover
Changes aim to make margin models for gilt repo more sensitive to market moves
Swap Connect growth hampered by unwinding issues
Users’ inability to trade bespoke swaps to unwind positions deters foreign investors
JSCC’s IRS unit hit by record margin breaches
Interest rate volatility drives coverage level below CCP’s risk appetite, triggering IM methodology review