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.
From Lehman to rupee crashes: India’s CCP chief on market stress
Risk chief sets about bolstering CCIL’s risk modelling, lookback periods, and portfolio compression
European legislators to exempt CCPs from new bank rules
Support in Council and Parliament suggests leverage ratio, NSFR exemptions will be in final text
BoE to authorise EU CCPs ‘at 00:01’ on Brexit day
Central bank hopes plan to preserve access for EU CCPs will be reciprocated
Risk mutualization and financial stability: recovering and resolving a central counterparty
This paper investigates how financial market participants respond to risk mutualization implemented by a CCP using assessments after a large credit loss.
FMIC 2 special issue introduction: a policy view on developments in the field of financial market infrastructures
This introductory article positions these papers and speeches within the context of the wider conference proceedings of the Financial Market Infrastructure Conference II: New Thinking in a New Era, including insights from the panel sessions and…
Central counterparties and systemic stability
The paper is the text of a keynote address by Marc Bayle de Jessé presented at the conference.
Swaps data: the monopoly effect in clearing
There are only a handful of products where clearing volumes are evenly split between rivals
When do central counterparties enhance market stability?
This paper examines the impact of market structure and payment assumptions on the fragility of various networks.
Central counterparty resolution: an unresolved problem
This paper describes the current policy for recovery and resolution of CCPs and assesses the tool kit for resolution of them.
LCH, CME or OTC? Forex traders weigh their options
Bilateral trading costs bite but dealers lukewarm on both firms’ plans for forex options clearing
CCP stress tests have found capital shortfalls – Esma
Small increases to stress-test scenarios would have left Ice Clear Europe “in material breach”
MUFG launches CDS franchise in US with bet on volatility
Clearing helps Japanese bank branch out into US single names
CCPs should pay twice into default waterfall, say researchers
Chicago Fed paper calls for contributions before members’ capital is tapped and after it is depleted
Europe leaves IM haircutting in CCP recovery crosshairs
No explicit ban in parliamentary text; banks say method could spark exodus from stricken CCPs
LCH plans to let banks clear self-referencing CDSs
Move will facilitate index arbitrage trades and put CDSClear one step ahead of rival Ice, note FCMs
EU lawmaker wants cost-benefit analysis of rejecting a CCP
Hübner says adaptation period may follow decision to deny recognition to non-EU clearing house
Taper talk drives wild swings in JSCC-LCH basis
Difference between pay-fixed yen swap rates at LCH and JSCC neared 16bp before falling 30% last week
Huge capital savings at stake in STM swaps debate
Estimates show portfolio would generate 250% more capital in worst-case version of new margining treatment
Clearing conundrum – Forging a solution for the bilateral market
Central clearing has had a beneficial effect on the over‑the‑counter derivatives market, but for some products the road to a cleared model has not been smooth. Capital, operational and margin costs of the non-cleared market have increased, while…
Buy-side firms ice repo clearing plans as spreads tighten
Resurgent bilateral market a headwind for services at Eurex and LCH
Citi and JP Morgan back MarkitSERV rival
Big dealers revealed as first bank clients of swaps start-up truePTS days after legal settlement
OTC client clearer of the year: Citi
Risk Awards 2018: 'Activist' FCM takes aim at G-Sib change and new leverage measure
LCH hires Goldman MD for rates role
New appointee replaces John Horkan, promoted to group COO last month