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.
Swaps market braces for $60 trillion Libor conversion
Staggered timeline should smooth transition, but scale of the switch still presents challenges
CCP ‘skin in the game’ still dwarfed by member contributions
Even as markets churned in 2022, clearing houses coughed up only 2% of funds at end-September – the same as the previous year
Commercial bank cash grows more popular for initial margin
Shift driven by Ice Europe as CCPs diverge on preferred type of collateral
PBoC releases draft rules for Swap Connect
Foreign access to onshore CNY swaps limited to interbank bond market users, while Isda docs aren’t ruled out
Esma still waiting for Indian response to proposed CCP deal
EU regulators deny responsibility for dispute; will not initially enforce clearing ban
EU snub to clearing carve-out hurts optimisation efforts
Forcing firms to clear risk-reducing trades would squeeze collateral and potentially hike liquidity risk, dealers warn
Ice Clear Europe collateral spreads a ‘nightmare’, say banks
Risk.net spread analysis shows Ice pays little more than half the rate of other CCPs on cash margin
EU and UK CCPs dominated by foreign members
Non-domestic clearing members accounted for over 70% of LCH’s and Eurex’s pool in Q3
OTC share of EU gas derivatives surges to 25%
Energy price cap may supercharge flight from ETDs and affect CCPs’ ability to manage risks, Esma warns
RepoClear’s concentration risks see highest rate of increase
LCH's cash bond and repo trade-clearing service has steepest slope of IM and open positions over 2016–22
Clearing house of the year: LCH
Risk Awards 2023: A member default and a spike in UK rates were handled with aplomb, while cleared volumes rose
Derivatives client clearer of the year: BNP Paribas
Risk Awards 2023: When gas prices spiked, French bank provided much-needed credit to clients hit by jumbo margin calls
CCPs’ largest members account for almost half IM
Analysis of 30 clearing services shows wide dispersion in concentration risk – with LCH and JSCC leading the pack
NSCC and OCC to enhance co-operation on large cash calls
New deal would improve management of options expiries, but will stop short of cross-margining
Repo clearing: trends, developments and outlook
Recent volatility in the UK gilt market has highlighted the repo market’s need for CCP stability, predictability and resilience. LCH RepoClear unpacks the trends and key developments of 2022, and shares an outlook for 2023
LME model quirk saved members $915m nickel margin
Report on March 2022 blow-up says CCP may need to “intervene” on deduction of VM gains from IM
The evolving use of swaps by pension schemes
The end of the Emir mandatory swaps clearing exemption for pension scheme arrangements (PSAs) is approaching. Susi de Verdelon, global head of LCH SwapClear, discusses the significance of the upcoming change for PSAs, and the implications for their…
Uncleared, unrated CDS notionals boomed in H1 2022
Non-cleared trades up 21% in six months and 14% in twelve, BIS data shows
Ice Clear Credit may face Esma review as euro CDSs migrate to US
Upgrade in systemic status would depend on extent of migration from UK-based Ice Clear Europe
EU takes steps to avoid India clearing house lockout
Other Asian regulators may also have concerns about extraterritorial reach of Emir 2.2
LCH scoops up Ice Clear Europe’s CDS clients
“A sizeable majority” of European CDS users are shifting their business to CDSClear in Paris
CME revises estimated worst-case payment obligation
IRS and F&O clearing units both subject to revision in Q3
LCH Japan plan signals new fight for global clearing model
UK-based clearing house faces “uphill struggle” against JFSA location policy on yen derivatives
Liquidity risk at OCC up 34% in Q3
Internal stress-testing of a clearing member’s portfolio triggered upward revision