Ice Clear Europe
Ice Clear Europe hit by $1.03bn margin breach
The CCP’s futures and options division reported its second largest IM breach ever in Q4, as energy prices skyrocketed
EC ignores pleas to extend clearing consultation deadline
Despite industry appeals for more time on EU-wide clearing consultation, EC refuses an extension
Don’t impose blanket margin model rules, say BoE advisers
Focus instead on outcomes and costs and factor in different clearing membership, say Murphy and Vause
Liquidity risk rose at most CCPs in Q3
JSCC, CME, Ice and Eurex among those that revised their VM estimates
CCPs unlikely to be wiped out by op losses, research suggests
Former LCH risk chief says sharing loss data would help CCPs avoid risk of holding too little capital, or too much
CDS market prepares to join Libor transition
Ice and LCH will switch to new rates for margin interest; Isda to follow in standard model update
Initial margin at Ice CCPs surged over 2020
Required IM at Ice Clear US increased 42% year on year
Top CCPs invest little clearing member cash in securities
Cash payments of initial margin and default fund contributions are typically placed with central banks
Skin in the game of top CCPs varies
The average default fund has less than 4% of total resources contributed by the host CCP itself
CCP liquidity risks varied in Q2
Most clearing services said their estimated largest payment obligations fell quarter-on-quarter
Initial margin held by top CCPs declined over Q2
Cash collateral held at central banks down 23% across top CCPs
EU CCPs expand overseas footprint
Thirteen per cent of EU CCP clearing members are from outside the EU
Imperfect balance? Clearers weigh EU’s CCP resolution tools
Potential levels of loss mutualisation under EU rules are unnerving some clearing members
EU hands CCP members a narrow win on skin in the game
Clearing members could use the final rules to push for higher CCP capital globally
CCPs added cash to their liquidity buffers in Q1
CME increased cash reserves at central banks by 271% quarter-on-quarter
LME Clear stretched by CCP stress tests
Metals clearing house would exhaust prefunded resources under Esma’s default shock scenario
Top clearing houses bolstered default funds over Q1
NSCC reported its guaranty resources grew 231%
Swaps data: initial margin soars in Q1 2020
Model procyclicality drives wide variation in CCP IM hikes through Covid-19 volatility, writes Amir Khwaja of ClarusFT
Ice Europe’s CDS unit hit by almost 1,000 IM breaches in Q1
Peak breach was €100 million in size
Initial margin models of top CCPs slipped in Q1
Achieved coverage levels declined quarter-on-quarter
Higher margins would aid clearing stability – Ice Clear chief
Using volatility floors to aid “higher margins in peacetime” would have to be globally applied policy, warns Serafini
Don’t run CCP auctions by fear, study argues
Paper by BoE economist and co-authors backs ‘second-price’ auctions and limited penalties
Clearing banks feel pinch as rates turn negative
Negative returns on dollar deposits at Eurex, Ice and LCH spur talk of business model change
Bachelier – a strange new world for oil options
Model tuned to negative prices has implications for pricing, margining and delta hedging