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.
Interview: ECB’s Benoît Cœuré on CCP capital and stress testing
"I would be very much in favour of the concept of a Pillar 2 for CCPs", says CPMI chair
Eurex faces questions on savings from buy-side clearing
CCP rebuffs argument that direct membership model will add to risk
Dealers disagree over charge for CCP counterparty risk
Fed stress tests push US banks towards charging CVA for cleared derivatives
CCP interoperability drive poses margin challenges
Chicago Fed researchers point to problems around issue of concentration margin
India joins global move to tighten CCP capital standards
Putting CCP capital on the front line is a prerequisite for the EU granting clearing equivalence
Eurex describes its new ISA Direct platform
Sponsored video: Eurex Clearing
The challenges of derivatives central counterparty interoperability arrangements
This paper stuides a relevant policy question: does interoperability of cash equity CCPs also imply that it is beneficial to introduce interoperability for derivative CCPs?
OCC "pushing big time" for SEC-EU equivalence deal
Clearing house could lose up to 25% of its members without agreement
Banks pushing Eurex to allow hedge funds into cleared repo
Prime brokers proposing to guarantee the performance of clients’ trades
CCP recovery funds would inspire risk management – JFSA
This approach would align the interests of clearing houses and their members
Regulatory intervention triggers complicate CCP resolution
Isda AGM: Role of supervisors will vary for each situation, say market participants
LCH and dealers clash over loss allocations
Isda AGM: CCP equity should not be spared, say clearing members
Blockchain tech for derivatives CCPs – friend or foe?
Distributed ledgers can benefit – and won't replace – CCPs, says Nasdaq Clearing president
DTCC bets on blockchain to slash CCP liquidity needs
New technology set to boost repo netting, shrinking $50bn facility "substantially"
Q&A: FDIC’s Hoenig warns on daily settled swaps
FDIC vice-chair on leverage-cutting schemes, TLAC and TBTF
Eurex pilots direct clearing for the buy side
CCP predicts 80% reduction in capital charges for banks acting as clearing agents
Liability-side pricing of swaps
Wujiang Lou presents a framework to compute recursive CVA and FVA via Monte Carlo simulation
Eurex margin flaws claimed in Swedish bank collapse case
CCP failed to properly capture vega, strike and wing risk, expert report claims
Why raiding CCPs’ initial margin would be bad policy
A wounded CCP should not have a claim on users’ assets, says hedge fund group
Europe will open gates to US CCPs, says Massad
CFTC adopts substituted compliance for European CCPs; US clearers still waiting on Esma approval
US end-users risk tax hit in move to daily settled swaps
Changing treatment of variation margin could benefit banks, but hurt clients
Central counterparties and banks: vive la difference
This paper highlight the key differences between CCPs and banks in terms of roles, risk profiles, balance sheets and systemic characteristics, and the implications of these differences for CCP risk management and regulation.
“Incomplete demutualization” and financial market infrastructure: central counterparty ownership and governance after the crisis of 2008–9
This paper examines risk management governance challenges of the demutualized CCP ownership model and the incentives faced by “incomplete demutualization”, where clearing members remain the ultimate underwriters of CCP default risk.
Skin in the game: central counterparty risk controls and incentives
The authors discuss the incentives created by the structure of CCPs’ default waterfalls, drawing out the role of transparency and governance in ensuring effective incentives.