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.
CCP stress tests could help buy side pick winners
BlackRock exec calls for standardised test before European clearing starts
Central counterparties: addressing their too-important-to-fail nature
This paper argues that the current international policy measures with respect to central counterparties (CCPs) only partly address the systemic risk posed by CCPs.
Analysis of risk factors in the Korean repo market based on US and European repo market experiences during the global financial crisis
This paper evaluates the Korean repo market in the light of the global financial crisis.
JP Morgan exec challenges CCPs over skin in the game
"Why wouldn't you put up... all of your capital?" asks Olsen
SGX 'ahead of the curve' on CCP capital, argues director
Singapore Exchange puts up 25% of default fund capital; European and US CCPs contribute 2.6%
SEC’s Piwowar doubts CCPs should clear some instruments
Concern that historical price series volatility will not reflect jump-to-default risk
‘Smart’ derivatives can cure XVA headaches
Cryptocurrency technology could revolutionise derivatives valuation and collateralisation, say Massimo Morini and Robert Sams
ASX gets first DCO exemption from CFTC
Four Asian CCPs have applied, but Australian outfit is first to win an exemption
EC urged to exempt insurers from central clearing
Need for cash collateral could encourage pro-cyclical investing, industry says
BoJ’s Nakaso: ‘No serious problems’ with JGB liquidity
New data shows drop in market depth, but QE is not threatened, says deputy governor
CCP basis driving CME clients to LCH, traders say
LCH sees doubling in client notional, while CME notional halves
CCPs confront cleared swap basis threat
From Japan to Mexico, CCPs are trying to avoid repeat of CME-LCH price disparity
CCP basis market takes off – but will buy-side join in?
Dealers are encouraging asset managers to trade CME-LCH swaps
How to fix the leverage ratio (by a prudential regulator)
“Embarrassing … ridiculous”: unnamed regulator lets fly at leverage rules
CCPs need thicker skins - Citi analysis
Analytical approach suggests CCPs should be putting more of their own capital at risk
Fresh delay will push EU-US CCP row into September
Decision had been expected in July; dealers sceptical new timeline will hold
FCMs try to ‘off-board’ credit and commodity funds
Fee hikes are being used to drive out clients that hog capital
IMF’s Kiff: variation margin haircutting ‘unfair’ to end-users
Risk Derivatives Clearing: in-the-money end-users may have losses on other positions
Shrinking ranks of swaps clearers could see new entrants
NFA official says "a couple" of firms have filed applications to open a swaps FCM
Fed official defends clearing incentives report
Risk Derivatives Clearing: pilloried report was "clearly useful", says clearing official
Fed economist sees gaps in CCP risk management
Quant Congress USA: CCPs struggle to model conditional losses and auction behaviour
UOB Bullion and Futures aims for global clearing role
Singapore broker sees opportunity in banking's changing competitive landscape
Clearers challenge Massad over EU client protections
Affiliate and client positions not commingled, they argue
Cave quid optes: waterfalls and central counterparty capital
This paper explores the lines of defense of a central counterparty. The author examines the lines of defence ("the waterfall") of a central counterparty (CCP) inter alia in the context of the requirements set by the Principles for Financial Market…