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.
The fundamental role of the repo market and central clearing
The authors evaluate different economic functions of repo contracts and offer a summary of the structure of government bond repo markets in core advanced economies.
Clearing houses fear being classified as Dora third parties
As 2025 deadline looms, CCP and exchange members seek risk information that’s usually deemed confidential
BNY to launch ‘done away’ UST and repo clearing service
Service aims to offer collateral efficiencies for tri-party repo, and create much needed clearing capacity
CDS clearing rates hit 71% high around September iTraxx roll
CFTC data shows tilt away from bilateral settlement mainly in Europe-referencing instruments
Netting hurdles could decide the US Treasuries clearing race
Competing CCPs must resolve accounting and cross-margining obstacles to benefit from SEC mandate
EquityClear’s IM concentration hits record high
Membership dwindles as LCH SA continues to wind down service
UniCredit slashes CCP exposures by nearly 40% in a year
Lower exposures at default for exchange-traded derivatives the main driver behind overall drop
Fed relief plan for G-Sib agency clearing welcomed
Rollback may revive interest in European FCM model, as principal clearing still treated punitively
Accounting fix needed for done-away Treasury clearing – DTCC
Splitting UST execution and clearing “not viable” for clearing brokers under current regime
ASX member paid record $154m to cover dues in Q2
Single-member largest payment obligation beat 2015’s high by 40.8%
LCH set to take CGBs as collateral
Asia Risk Congress: US dollar and euro CGBs confirmed for next year while CNY versions remain a goal
IM requirements at LCH ForexClear hit record high in Q2
Latest figures show a 32% increase quarter on quarter to $10.7bn
Clearing members welcome JSCC initial margin reforms
Stress loss add-ons touted as path to ensure defaulter pays and default fund contributions shrink
SGX-DC’s prefunded resources short of stressed losses 37 days in Q2
Latest round of shorftalls linked to double-member default lay bare lack of Cover 2 requirement
Estimated stress losses at CME, Eurex and LCH surge to record high
Latest projections likely behind increases in contributions to CCPs’ default funds in Q2
UBS Americas’ clearing rate dips post Credit Suisse integration
US arm of Swiss bank cleared $47bn in notionals in the second quarter, the lowest since end-2021
IM and default funds drive big variance in EU bank CCP exposures
BNP Paribas accounts for 55% of top dealers’ €126 billion exposures
FICC captures record share of US MMF repos
Fed facility sees continued outflows as funds redirect assets
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.