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.
Eurex wants regulators to do more to kick-start EU clearing
Around half the end-user accounts opened at the CCP after Brexit remain dormant
LCH plans two-part US Libor swap conversion
CCP to ditch pre-emptive basis splitting in April and May switchover, but retains overlay swaps
JP Morgan appoints new head of derivatives clearing
Richardson promoted to top job as Rustad takes leave of absence
Energy market split over emergency government support
German move to backstop margins with liquidity facility welcomed by energy producers – but others say it’s unnecessary
Ice Clear Europe issued $5.4bn VM call in Q4
Price volatility in energy markets behind the largest cash call on record by the CCP
HSBC, StanChart face capital hit on cleared renminbi trades
Lack of UK recognition for Shanghai Clearing House could prompt banks to reduce exposures
Ice Clear Europe boosts liquidity buffer by 77%
More than half of the CCP’s loss-absorbing funds is now deposited in central bank balances
Members of CME’s F&O unit added $950m to default fund in Q4
Market volatility triggered a $3.4bn peak initial margin call on one day during the last quarter of 2021
EU banks decry threat of capital hit to UK CCP exposures
EBA says supervisors could apply charges to “excessive exposures” of euro derivatives at all non-EU clearing houses
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
Liquidity risk up 163% at Ice Clear Credit in Q4
Rate hike expectations led to the highest level on record of contributions to the CCP’s default fund
At CME, central bank balances hit all-time high
Over 70% of the CCP’s loss-absorbing funds stashed at the Fed, as interest rate expectations drive liquidity pool expansion
Behnam urges wider CCP access to Fed deposit accounts
CFTC chair says recent market shocks highlight value of Fed accounts; Congressman agrees
SwapClear’s required initial margin up 3% at end-2021
IM held against interest rate positions rose to highest level in a year
LCH turns to central banks in rejig of liquidity pools
Central bank balances hit all-time high, despite aggregate fall in liquidity buffer in Q4
Peak IM calls at FICC leapt 13% in Q4
Number of margin breaches at the central counterparty’s GSD also edged higher, as some members increase exposures after margin calculations
OCC member default fund contributions jump 8%
CCP’s skin in the game fell slightly in Q4, making up 1.8% of the prefunded total
EC looks to force market’s hand in euro clearing battle
Industry exasperated as commission proposes new mandates and capital penalties for banks clearing in London
OCC issued $6.1bn VM call in Q4
December options expiration behind highest VM call in six years
Eurex boosts liquidity buffer by 26%
Increase largely driven by the growth of the CCP’s IRS business
CCPs urged to widen collateral net as commodities spike
Broader acceptance of emissions certificates and letters of credit could relieve margin pressure
Banks, CCPs protest Esma’s ‘prescriptive’ procyclicality rules
Dealers welcome model transparency push, but call for greater say on methods to combat spikes
Legacy Libor swaptions face day of reckoning
Holders of physically settled swaptions in sterling and yen must switch to new risk-free rates, but it’s not simple
Clearing house of the year: OCC
Risk Awards 2022: Risk management reforms help clearing house weather meme stock volatility