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.
Who blew up gas prices? (It wasn’t just Russia)
Government buying, climate risk and short squeezes may have led to ‘horrendous’ gas market margin calls
The FCM model is not dead yet
Delivery risk means algos should never supplant humans in commodity futures markets, argues exchange executive
BoE official signals tough stance on CCP skin in the game
Default waterfalls must include a second tranche of CCP capital, says Cunliffe
EU expected to publish clearing proposal on December 7
Requirement for actively managed accounts in EU still being discussed by European Commission
No clear gain: banks question SEC’s Treasuries clearing plan
US Treasuries dealers say clearing won’t help post-Covid illiquidity – and could harm it
Banks raise concerns over Macquarie concentration risk at ASX
Exit of Bell Potter exacerbates shortage of clearing capacity in Australia’s energy market
LME most battered in BoE’s stress test
Clearing house close to depleting default fund under toughest credit stress scenario
Brokers slam CME over ‘conflict of interest’ in FCM plan
Clearing members question how CME could be quasi-regulator as well as direct competitor
LSEG to launch clearing for equity swaps
Turquoise, LCH tie-up comes as equity swaps attract regulatory scrutiny in wake of Archegos
$899m margin breach at FICC’s mortgage unit
Three-day move in TBA prices on June 9 triggered second-highest backtesting deficiency to date
Ice to accept EUAs as collateral
Emissions certificates accepted to offset short EUA futures positions, subject to 14-day comment period
FICC’s government securities unit hit by $995m breach
Large moves in US Treasury yields in June to blame for largest backtesting exception on record
Eurex liquidity pool jumps 39% as required IM rises
Members of the IRS clearing unit saw the largest increase of required margin in Q2
IM at three LCH clearing units rose in Q2
Increase in clearing volumes pushed collateral up at EquityClear, RepoClear and SwapClear
Ice Credit’s required initial margin up 18% in Q2
CCP reported highest level on record, superseding Covid-19-induced peak
Liquidity risk up 138% at Eurex in Q2
CCP revised estimated worst-case payment obligation to highest level on record
Banks face capital hit on broader energy market collateral
Non-standard clearing house margin for energy trades would increase RWAs unless relief granted
European pension funds must start clearing next year – EC
Exemption preventing pension funds from mandatory clearing will come to an end permanently in June 2023
CFTC backs banks in tussle over clearing house governance
CME and Ice will need to pay more attention to clearing members on risk committees
Peak IM call at OCC jumps 38% in Q2
Outsized equity price moves behind third-largest IM call on record
Bypassing consent may aid CCP porting – report
CPMI-Iosco report says clearing houses cannot reasonably accommodate client preference; brokers favour rule book harmony
“Closing the gaps: moving forward on tail risks in central clearing”: a central bank of issue perspective
The authors explain the priorities for CCP recovery and resolution from a central bank of issue perspective, focussing on structural barriers and how gaps could be overcome.
Interest rate vol triggered three breaches at CME in Q2
CCP’s interest rate swaps clearing unit reported its first initial margin shortfalls since Q3 2020
Esma to meet with clearing industry over EU energy crisis
Widening eligible collateral on table; ECB intervention would need government indemnities