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.
Capital framework hurts clearing resilience, Citi execs argue
This paper is meant to serve as a comparison of the approaches and margin models employed by CCPs.
This paper discusses the different approaches to incorporating market liquidity risk within a CCP’s default waterfall and the challenges that these approaches pose.
This paper presents a new approach to parameter selection based on the statistical properties of the worst loss over a margin period of risk estimated by the margin model under scrutiny.
This paper proposes a performance test based on empirical similarity that would account for margin shortfall, procyclicality and efficiency in a single score.
In this paper, the authors address one aspect of CCP risk management: initial margining practices. The paper provides a historical review of margining at selected CCPs as well as an overview of their current margin policies.
New FSB analysis reveals interdependencies of clearing system
Fragmentation of market-based finance could raise costs and risk for EU and UK companies
Powell implies support for practice that saved UBS $300m in capital
CCP clamps down on bond-for-cash switches driven by reporting and quarter-end repo spikes
Brexit heightens concern over importance of central counterparties
CFTC hearing warns of increased margining costs and a pre-Brexit client onboarding crunch
Some firms may stop clearing US Treasury trades if the CCLF is implemented
Proposals give central bank and regulator the power to bar biggest third-country CCPs
Eurex set to challenge LCH estimates of clearing relocation costs
CCP members must offer new arrangements for exchange-traded derivatives in January 2018
Project will allow buy-side firms to access CCP through sponsor banks in coming months
Market participants unsure who will report client-side leg of exchange-traded derivatives trades to CCPs
Isda AGM: New analysis – due next month – looks at clearing network risks
European Commission proposal would shine light on clearing house margin charges
Isda AGM: CFTC’s Giancarlo says geography has been no barrier for EU CCPs in the US
Isda AGM: netting of clearing collateral would boost activity without weakening banks, claims CFTC chair
Isda AGM: location policy would result in higher margin costs, lower liquidity, says Maguire
Isda AGM: regulator and industry emphasise need for effective clearing house supervision