Committee on Payments and Market Infrastructures (CPMI)
Top clearing houses bolstered default funds over Q1
NSCC reported its guaranty resources grew 231%
Initial margin models of top CCPs slipped in Q1
Achieved coverage levels declined quarter-on-quarter
DTCC’s mortgage unit hit by $1.5bn margin breach in Q1
A large, directional portfolio $100 billion in size was to blame
OCC made $32bn initial margin call in Q1
Clearing house reported peak margin breach of $273 million
Fourteen margin breaches at CME’s swap unit in Q1
The peak breach was almost $80 million in size
Entering 2020, most CCPs had bigger default funds than a year ago
Majority of back-up funds to handle member defaults saw more pre-funded resources flow in
Top five clearing members dominate CCPs
Thirteen of 25 clearing services surveyed have 50% or more open positions in hands of top five members
At CCPs, sovereign bonds are top IM collateral
Government debt makes up 48% of IM on average among top clearing houses
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
Volume pop leads to higher IM at Ice Clear Europe CDS
Open interest in CDX contracts increased 78% in first nine months of 2019
At CME, required IM up 18% in Q3
Surge follows busy August and September for the swaps clearing business
OCC member default fund contributions up $1bn in Q3
Peak initial margin call was $9.9 billion in Q3
Eurex: from EQD clearing specialist to all-rounder
Initial margin for equity derivatives makes up 41% of total, down from 63% four years prior
Lifetime achievement: Benoît Coeuré
Risk Awards 2020: The departing ECB executive has helped transform eurozone financial markets
Banks warn of trader crunch at CCP default auctions
Risk USA: dealers hope for more cross-CCP fire drills
Clients demand access to CCP default auctions
“In a default, we are comfortable taking on risk and can move quickly,” says DRW’s Wilson
FSB’s Domanski cool on bail-in debt for clearing houses
Global standard-setter says all clearing participants must be incentivised to manage risk
Top CCPs’ liquidity pools hardly grow in Q1
LCH SA the only outlier as most clearing houses see cash, collateral and credit on hand shrink
Top CCPs add $79 billion to liquidity pool in 2018
Clearing houses placed more cash with commercial banks than in 2017
Regulators to scrutinise CCP default auctions
CPMI-Iosco preps discussion paper as banks warn further guidance needed after Nasdaq default
Margin or membership? Regulators react to Nasdaq default
Six supervisors – from Bafin to the MAS – downplay idea of mandatory increase in futures MPOR
BIS slams Nasdaq Clearing for risk management failures
Clearing member says it is giving notice to quit bourse, citing concerns over concentration of risk on venue
Banks demand greater scrutiny of CCP margin add-ons
Nasdaq Clearing blow-up prompts questions over CCPs’ methods of applying top-ups to concentrated positions