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.
OCC’s Morrison on combating the cyber threat to clearing
Cyber security chief eyes analytics and machine learning to help anticipate – and defend against – breaches
Over half of CDS contracts cleared – BIS
Non-cleared trades continue downward slide
Vol virus: how a CCP basis leapt from swaps to swaptions
A clearing house basis has opened up between JSCC and LCH on yen swaptions – despite neither clearing the product
One for my baby (and one more for the road): incentives, default waterfalls and central counterparty skin-in-the-game
In this paper, the authors argue that both for-profit central counterparties and their clearing members should contribute to the default waterfall, with a CCP’s two contributions coming directly before and directly after the tranche of clearing member…
EU’s evolving CCP resolution rules get mixed reviews
Isda AGM: Parliament tackles big issues in recovery and resolution text, but 'doesn’t go far enough'
Giancarlo expects to resolve EU-US CCP spat
CFTC chairman lauds relationship with EU’s Dombrovskis
Broker hid yen swaptions basis after trader backlash
Japan’s Totan had been first to show volatility basis; sources speculate traders wanted to avoid re-marking books
The rapid evolution of compression: Keeping pace with optimisation activity
Sponsored forum: Capitalab
LCH-JSCC basis drops as hedge funds arrive
Capula and Rokos Capital among funds to have gained access to JSCC in recent months
CCPs hike spending on cyber defences
“The thing OCC spent the most incremental funding on in 2017 was improving cyber security,” says COO
LCH and CME to start clearing SOFR swaps in third quarter
Scramble to offer clearing aimed at cutting clients’ margin and capital costs
Swaps data: a Mifid-shaped hole
Data shows strong growth in US dollar rate swaps, but global picture is incomplete, says Amir Khwaja of Clarus FT
A floored plan: Europe’s CCP recovery rules draw fire
CCPs and clearing members both unhappy with proposed allocation of non-default losses
EU risks backlash on CCP supervision – UK MEP
Swinburne says US could retaliate over fears of “damaging blanket Brexit policy”
CFTC set to partner with SEC on CDS supervision
Move could open the door to single-name clearing mandate, say experts
FCMs warn CCPs not to compete on margin
Equity moves in February exceeded margin posted against some cleared products
CFTC commissioners lash out at EC clearing proposal
Push to expand oversight of US CCPs is “clear breach” of 2016 equivalence deal, Quintenz says
Swaps data: breaking down CCPs’ $750 billion funding bill
Amir Khwaja of Clarus FT considers how initial margin, variation margin and default fund contributions can quickly add up