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.
BoE researchers outline risk of collateral collapse
In stress periods, collateral chains could break, paper warns
MVA: swaps scale new heights in complexity
Banks are turning their attention to calculating a new derivatives valuation adjustment
Opened interest: foreign firms eye China's rate swap market
However regulatory and operational challenges set to slow growth
Experts question CPMI-Iosco cyber guidance
Speedy settlement and resumption of services after cyber attack could be counterproductive
Shanghai to be first CCP to clear forex options
New service to debut in August, but liquidity risk has stalled other CCPs
Supervisors split over flexibility in CCP resolution
European regulators square off over predictability of spillover losses
CCPs and Brexit: don’t forget the rest of the world
Losing equivalence with the US could be more serious than arguments over the location of euro clearing
MVA transfer pricing
Wujiang Lou extends liability-side pricing theory to initial margin
Not so fast, François: EU clearing land grab is complex
ECB cannot (yet) make post-Brexit demand for euro clearing to leave London
EC to hold crunch talks on CCP recovery and resolution
European Commission said to be close to unveiling proposal on stricken clearing houses
Standardised CSAs: no longer a matter of choice
Dealers again seeking simpler terms after 30% drop in non-cleared notionals
Interview: Iosco’s Andrews stresses CCP resilience and recovery
CCP resolution spells regulatory failure; guidance to follow on PFMIs and CCP stress-testing
CME warns some fintechs ‘miss the point’ in clearing
IDX panellists see reduced operational role for CCPs that will instead act as trusted oracles
LCH-JSCC basis to boost XVA acceptance in Japan
Prices now "can't be explained without reference to XVAs", says Nomura credit head
EU could go it alone on leverage ratio, says MEP
Swinburne says clearing should be shielded from ratio “if Basel does not deliver”
Strength turns to weakness for old OTC market
Non-cleared notional falls $36 trillion as costs and complexity grow
Newcomer of the year: Nodal Clear
Power exchange’s new clearing house boasts plenty of ‘skin in the game’
Against the tide: why Kiwi banks want to be clearing members
Rising fees and absence of leverage ratio cause some New Zealand banks to consider direct clearing
Emir countdown raises cost questions for the buy side
Firms fear wider spreads, lower liquidity after May 21 frontloading date
Economists question cost benefits of derivatives clearing
New research finds no compelling economic rationale for central clearing
Dealers commit to provide liquidity for Libor alternative
Transition will be gradual with bilateral swaps adopting new rate before CCPs
Capital buffers for CCPs ‘the way forward’, says CPMI chair
ECB board member Benoît Cœuré calls for minimum capital requirement and stress testing of CCPs
DTCC coaxing HFTs to become clearing members
US Treasuries CCP concerned about contagion risk threat to existing members
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