CCPs
Ice Europe’s liquid resources up 27% under new model
More comprehensive stress-testing model pushes highly marketable collateral to record high in Q1
JSCC, ASX see hypothetical stress loss breaches in Q1
Single-member default in worst-case scenario would have exceeded available resources
Liquidity risk hits five-year high at LCH
Higher settlement obligations at Paris-based RepoClear blamed for €9bn spike
LCH suffered nearly 13 hours of op failures in Q1
Longest downtime since 2019 in breach of CCP’s two-hour recovery objective
Ice Europe’s liquidity risk at record high in Q4
Estimated largest payment obligation in euros more than double previous quarter’s figure
LCH issued highest cash call in more than five years
Largest same-day payment obligation triples in Q4 2023
JSCC, FICC lead VM spike across CCPs
BoJ decision to allow 10-year yields above 1% contributed to JSCC spikes
LCH UK units experience diverging IM requirements
EquityClear and RepoClear drop by half while SwapClear hits record high
Record rise in concentration at top CCPs leads to all-time high
Median top-five member open position concentration rises 2.4pp in Q4
Nasdaq liquidity risk jumps 15% on increased settlement flows
Maximum amount owed to CCP by single member in stress scenario rises in Q4
LME had four-hour operational failure in Q4
First outage on record caused by connectivity issue at LMEmercury
NSCC issued record $45bn cash call in Q4
Worst-case scenario estimate up 22% from previous quarter
IM requirements for interest rate swaps up $30bn in December
Latest figures from CME, Eurex and LCH show a trend reversal from previous six months
IM surges at LCH following CDS users’ shift from ICEU
Figures for Q3 show 16% jump at Paris-based CDSClear
Clearing members sour further on cash for IM collateral
Sovereign bonds remain preferred choice at top CCPs in Q3
Concentration risk ticks up at large CCPs
Top five clearing members accounted for almost half IM and open positions in Q3
JSCC’s initial margin hit all-time high in Q3
Requirements at ETP cash securities unit up fivefold, OSE-listed ETP service grows to record size
OCC default fund up 19% in Q3
Hypothetical stress losses behind latest spike in member contributions
Rule change cuts ECC default fund by over a third
Member contributions hit two-year low and may fall further
CME member contributions up 11%
Default fund for F&O clearing unit hits record size driving CCP’s skin-in-the game share to all-time low
NSCC had top margin breach of $1.2bn in Q3
Margin shortfall is largest on record for the CCP and bucks wider trend across global clearing houses