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.
Canada’s top dealers boost derivatives clearing as FRTB kicks in
BMO, RBC and TD Bank cleared record C$45.1 trillion in notionals in Q1
Proposed CCP margin disclosures may be ‘destabilising’, Eurex warns
BCBS-Iosco consultation calls for daily disclosure of margin calls
EC’s McGuinness: active accounts rule ‘light’ on largest firms
Active clearing account requirement not as ambitious as she hoped, says commissioner
US dealers slam capital hit on clearing for unreal CVA risk
Fed would diverge from Basel standards by imposing CVA capital on client-cleared trades
A change of TIIE: the knotty issue of Mexico’s benchmark switch
Outlier fallback methods and narrow window to build F-TIIE derivatives liquidity make for ambitious transition plan
Confusion reigns ahead of crucial Emir 3.0 vote
Leaked text introduces multiple calculations and thresholds for mandatory clearing and active accounts
EU clearing houses want global standard on procyclicality
CCPs fear Europe will adopt its own prescriptive rules despite ongoing international consultation
Pension funds still fear diluted Emir active accounts rule
Clearing five trades in the EU every six months will hit clients that make large, infrequent trades
Why Canada may need to revisit term Corra methodology
Break from US guidance benefits dealers but some futures inputs underpinning term rate are in short supply
Dealers braced for Taiwan swaps clearing mandate
Expected FSC directive on TWD interest rate swaps could spur growth in FX clearing, say bank execs
Shock EU expansion of clearing mandate may hook more funds
Last-minute change to Emir 3.0 would include cleared contracts in threshold calculation
Better anti-procyclicality? From a critical assessment of anti-procyclicality tools to regulatory recommendations
The authors carry out quantitative and qualitative analysis of anti-procyclicality tools and suggest policy measures intended to make APC tools more effective.
Clearing members fear CFTC bending rules for crypto
Critics warn new framework for Bitnomial and LedgerX could undermine clearing integrity
Council of the EU resists centralised clearing house supervision
Esma wants more powers, but member states will only agree to provide it with more information
Clearing members cheer plan for more transparency on CCP margin
European Parliament wants to amend Emir 3.0 draft to put extra obligations on clearing houses
Citi and JP Morgan vie to extend collateral optimisation to CCPs
High rates and increasing collateral requirements have ignited race for greater efficiency
On the recovery tools of a central counterparty
The author argues that assessments should be preferred over variation margin gains haircutting when CCP resilience is tested by cases of default loss being greater than prefunded financial resources.
IM surges at LCH following CDS users’ shift from ICEU
Figures for Q3 show 16% jump at Paris-based CDSClear
Bloating CCP default funds. New margin models. Are the two linked?
Dealers grumble that greater guaranty fund payments could undermine the ‘defaulter pays’ principle of clearing
Holes in the netting: the limits of CME-Ficc cross-margin deal
Big margin savings for some, but more needed to ease pressure of UST clearing mandate
Clearing members sour further on cash for IM collateral
Sovereign bonds remain preferred choice at top CCPs in Q3