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.
Ice rule change will see members post more cash
Changes pinned on CCP’s lack of access to Fed deposit account
Buy side may have to take on CCP losses – FSB’s König
Exempting ailing banks from CCP wind-up process could force wider allocation of losses
CCP margining not procyclical, research suggests
Excess collateral acts as buffer in 10 years of data at unnamed CCP
A network model for central counterparty liquidity risk stress testing under incomplete information
The authors put forth a realistic network model that maximizes the use of data available to a CCP in order to simulate credit default contagion.
CCP resolution plans ‘on the wrong path’, says Fed adviser
Bank framework has “contaminated” policy for CCPs, says Chicago Fed’s Steigerwald
CCP chiefs warn on clearing provision capacity
Ice and LCH question whether direct buy-side clearing models can alleviate capital crunch
The recent crises and central counterparty risk practices in the light of procyclicality: empirical evidence
This paper focuses on the risk practices of Central Counterparties in the light of their potentially procyclical features.
Emir review delayed until June 7
Postponement increases risk of entangling the review with Brexit euro clearing debate
Regulators may consider portability in CCP fire drills
BoE, BaFin and CFTC move signals concern over whether client positions can be moved between banks in a crisis
Start-up looks to break swaps clearing bottleneck
Sernova promises everything an FCM can do – apart from taking risk
EC rebuffs euro clearing relocation policy in Emir review
UK pushes back against French demands to shift CCP business post-Brexit
Monthly swaps data review: volumes rise, CCP switches spike
In the first of a new series of articles, Amir Khwaja of Clarus FT looks at the most recent batch of swaps data
Duffie: CCPs should prep to quash Sifi swap termination stays
Clearing houses need criteria for overriding stays on swap terminations, writes Darrell Duffie
Uniform EU stress test backed by CCPs and banks
Second Esma test will apply three scenarios to 17 clearing houses, but concerns remain
CME’s European CCP to lower rates default fund burden
Firm hopes move will entice smaller players to join rates clearing service
Banks voice fresh concerns over CCP non-default losses
Dealers could face cash calls to recapitalise an ailing CCP that suffers a critical non-default loss under FSB proposals
Banks seek to pry open CCP black boxes
Clarity on model inputs may have averted Brexit chaos, FCMs claim
EC could use thresholds to squeeze London euro clearing
Most euro clearing could be repatriated after Brexit without hitting other jurisdictions
OTC client clearer of the year: Citi
Risk Awards 2017: FCM makes its voice heard as business booms
Indirect clearing rules too demanding, warn EU regulators
EBA and Esma call for clarity on capital relief for exposures to clearing members
CCP rules are unclear and risky, EBA and Esma warn
Agencies query areas of ambiguity for clearing houses’ derivatives transactions
Why liquidity risk is the silent clearing killer
A quant paper shows feedback effects can amplify CCP margin requirements in stressed markets
Systemic risks in CCP networks
Barker, Dickinson, Lipton and Virmani propose a credit and liquidity risk model for CCPs