The OTC Space | Tag Archive

CCP Score Sheet as of October 2012

October 16, 2012 by Bill Hodgson 10 Comments

It’s been a while since I updated my popular chart with the current notionals at the various CCPs. New entrants to this months chart include: JSCC for IRS off to a quick start with $42bn Data for CME and LCH on NDFs IDCG became SwapClear US KDPW with concrete plans to launch next month Eurex […]

clearing houses, cme, derivatives, eurex, irs, lch clearnet, murex, otc derivatives, progress report, rate swaps, software platform

Analysis of the new SwapClear – the membership gates are wide open

April 27, 2012 by Bill Hodgson 4 Comments

The membership framework at SwapClear has been in place in the early 2000s, linking the entry criteria to the default management procedure tightly. The announcement yesterday of a heavily revised framework opens the door to many more direct members, provided they can live with the new approach to default. Below I’ve done a rough comparison […]

ccp, clearing houses, clearing member, cme, credit exposure, default fund, eligible collateral, lch clearnet, otc products, rate swaps, swap dealer

OTC Derivatives at LCH show 108% fee growth

February 10, 2012 by Bill Hodgson 0 Comments

The LCH annual report for 2011 (PDF here) shows that the majority of the revenue increase in revenue was from OTC products (SwapClear), a jump from €21.2m to €44.2m. This is explained by two factors, an increase in membership fee levels, and the growth in membership overall. CDSClear The following comment indicates a new growth […]

LCH.Clearnet

lch clearnet, otc products

Regional CCPs: How compelling a business case?

February 10, 2012 by corinaki24 8 Comments

Corinna Athanasopoulos with input from myself and David Gardiner, debates the arguments for and against the creation of national clearing houses for OTC (and other) products, in relation to the G20 commitments. Pre-Lehman The central clearing landscape in the aftermath of the Lehman default in 2008 looked very different to the one we see today. Pre-Lehman, LCH.Clearnet […]

cds service, hkex, jscc, lch clearnet

CCP Stress Tests

January 25, 2012 by Bill Hodgson 0 Comments

The European Association of Clearing Houses (EACH, here) has published a recommended set of stress tests for CCPs, in this PDF. They break down into the following areas: Market events: Three suggested approaches 1) historical simulation 2) Economic story lines 3) Statistical methods such as Extreme Value Theory Member correlation: How many members will simultaneously […]

Central Counter Party, EACH

central counterparty, extreme value theory, kdpw, lch clearnet, stress testing, stress tests

FIA article on margining at SwapClear & ICE

January 10, 2012 by Bill Hodgson 0 Comments

The FIA magazine (free with subscription) has two articles on margin calculations for IRS and CDS at SwapClear and ICE. Both make their approach to margin calculations more transparent to a public audience than is usually available, especially ICE. Worth a read. CDS clearing at ICE: http://www.futuresindustry-digital.com/futuresindustry/201111#pg33 IRS clearing at LCH.Clearnet SwapClear: http://www.futuresindustry-digital.com/futuresindustry/201111#pg36 Front page below.