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.
Korean parliament fails to pass clearing bill
Korean setback puts at risk September deadline for recognising KRX
Regulators to put CCP risks under microscope
CPMI-Iosco stress-testing quiz will be precursor for broader risk review
Cutting Edge introduction: Taming MVA
Lloyds quants tackle computation of margin add-on for derivatives prices
Lift-off for ASX Aussie dollar swap clearing business
Volumes jump following revamp of Sydney bourse's clearing incentive scheme
MVA by replication and regression
Burgard and Kjaer method is extended to include margin valuation adjustment
US vs EU CCP scrap may be settled by margin study
Isda AGM: analysis aims to end wrangle over merits of 1-day and 2-day margin rules
EC calls for more time to vet foreign CCP oversight
Third extension "necessary and proportionate", says EC internal document
Revamping of Korea's clearing model up for parliamentary vote
Pressure mounts to push through a crucial bill needed for CCP equivalence
Ice considers moving Brent contract to avoid EU margin hike
Ice says move is “not an outcome we want to see” but Emir margin could drive users away
Equity swaps clearing plans divide industry
Moves by CCPs to clear equity swaps leave market deeply divided
LCH warns on CCP ‘auction risk’
CCP stress tests should consider possibility of failed auctions
CCPs urged to coordinate on default management
Regulators may need to provide a framework for CCP interaction
Video – Asia's illiquid markets complicate CCP default process: Isda
Directional portfolios and limited diversification will hamper recovery process
Esma considering revisions to CSDR buy-in technical standards
Extra-territoriality, costs, information gaps in settlement chains are challenges
Standard stress tests could create more risk, CCPs warn
Diverse products and risk profiles make standardised stress testing difficult
CCPs raise alarm on South African OTC reform
Push for CCPs to establish domestic presence riles LCH and CME
Basel will address leverage ratio threat to clearing
FAQ document to tackle treatment of segregated initial margin
Pension funds sign hedge-only agreements with banks
Cardano and PGGM promise not to give banks speculative trades
Calypso Technology: No FCM, no problem
Ex-RBS clearing head maps out a world without FCMs
CCP debate needs to go beyond skin in the game
Discussion needs to move on to how to keep markets functioning in a default
Banks blame regulation for FCA's clearing worries
UK regulator warns client clearing could become a “missing market” but defers study
Basel III transforming securities lending market
New entrants respond to challenges facing primes and lenders
Call for user-owned utilities to lower central clearing cost
But monopoly or duopoly inefficient, BNY Mellon says