CCP GLOBAL AMR

CCP Global aims to promote effective, practical and appropriate risk management and operational standards for CCPs to ensure the safety and efficiency of the financial markets it represents.

AMR 2023

2024

May 2024 | Annual Markets Review

Table of Contents

1. GLOBAL ECONOMIC LANDSCAPE IN 2023

  1.1 THE YEAR IN CHARTS: KEY ECONOMIC INDICATORS, TRENDS, AND SELECTED MARKET EVENTS DURING 2023


2. CCP REGULATORY CONTEXT AND MARKET PRACTICES DEVELOPMENTS IN 2023

  2.1 CCP STANDARDS AND REGULATIONS

  2.2 CCP RECOVERY AND RESOLUTION REGIMES

  2.3 REGULATORY DEVELOPMENTS IMPACTING CENTRAL CLEARING

  2.4 DEFAULT MANAGEMENT AUCTIONS

  2.5 2023 CIDS EXERCISE

  2.6 CCP MARGINING PRACTICES

  2.7 CCP SUPERVISORY STRESS TESTS

  2.8 CCP OPERATIONAL RISK MANAGEMENT


3. CCP DATA AND RESILIENCE IN 2023

  3.1 CCP TRANSPARENCY

  3.2 IM, VM, AND DEFAULT FUND ANALYSIS

  3.3 CCP CORE SYSTEM AVAILABILITY AND OTHER STATISTICS

  3.4 CCP GLOBAL PQD QUARTERLY TRENDS REPORT

  3.5 CCP GLOBAL – QATL

 


4. CASE STUDIES

Case Studies

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By year

2023

July 2023 | Annual Markets Review

Table of Contents

1. GLOBAL ECONOMIC LANDSCAPE IN 2022

  1.1 THE YEAR IN CHARTS: KEY ECONOMIC INDICATORS, TRENDS, AND SELECTED MARKET EVENTS DURING 2022


2. THE CCP MODEL


3. CCP REGULATORY CONTEXT AND MARKET PRACTICES DEVELOPMENTS IN 2022

  3.1 NEW ASSET CLASSES OR CHANGES IN PRODUCTS’ UPTAKE IN CLEARING IN 2022

  3.2 CCP STANDARDS AND REGULATIONS

  3.3 CCP RECOVERY AND RESOLUTION REGIMES

  3.4 CPMI AND IOSCO CLIENT CLEARING AND PORTING

  3.5 CPMI AND IOSCO ANALYSIS ON CCP PRACTICES TO ADDRESS NDLs

  3.6 CCP GOVERNANCE REQUIREMENTS

  3.7 DEFAULT MANAGEMENT AUCTIONS

  3.8 CCP MARGINING PRACTICES

  3.9 CCP THIRD PARTY RISK MANAGEMENT (“TPRM”)

  3.10 CLIMATE-RELATED FINANCIAL RISK


4. CCP DATA AND RESILIENCE IN 2022

  4.1 CCP TRANSPARENCY

  4.2 IM, VM  AND DF ANALYSIS

  4.3 CCP CORE SYSTEM AVAILABILITY AND OTHER STATISTICS

  4.4 CCP Global QUARTERLY TRENDS REPORT


5. CASE STUDIES

Case Studies

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March 2021 | CCP12 Annual Markets Review in Central Counterparty Clearing

2020 was overshadowed by the health and economic crisis arising from the COVID-19 Crisis , so much so that what would otherwise have been remarkable news stories for the markets – transition to risk-free-rates, negative oil prices, Brexit, and key elections – have taken second stage.
This issue of the CCP Global Annual Markets Review has the COVID-19 Crisis and its effect on cleared markets as its main connecting theme, supplemented with case studies exploring salient aspects of both business-as-usual and special circumstances across our membership.
TABLE OF CONTENTS

 February 2020 | Progress and Initiatives in OTC Derivatives – A CCP12 Report

Following the G20 Leaders’ pledge in 2009 to change the process by which non-standardized Over-The-Counter derivatives are traded, this CCP12 paper explores three exclusive case studies across Collateral, Foreign Exchange, and Interest Rate Derivatives in order to research the market dynamics and build critical insights across the derivatives markets.

The report examines in detail how market participants across the spectrum of the CCP industry are managing in this constantly evolving market. The paper explores key drivers of change currently taking place, the evolution in the bilateral and cleared markets and how Uncleared Margin Rules are affecting the industry.

TABLE OF CONTENTS
MESSAGE FROM THE CEO
LIST OF ABBREVIATIONS
EXECUTIVE SUMMARY

1.INTRODUCTION TO THE ANALYSIS
1.1 REGULATORY TIMELINE
1.2 DATA ANALYSIS OF CLEARED MARKETS
1.3 DATA ANALYSIS OF UNCLEARED MARKETS

2.COLLATERAL OVERVIEW
2.1 DEFINING COLLATERAL
2.2 COUNTERPARTY EXPOSURES
2.3 COLLATERAL IN UNCLEARED MARKETS
2.4 COLLATERAL IN CLEARED MARKETS
2.5 INITIAL MARGIN COSTS

3. COLLATERAL RISK MANAGEMENT
3.1 COLLATERAL RISK MANAGEMENT IN CLEARING
3.2 COLLATERAL RISK MANAGEMENT IN BILATERAL MARKETS
3.3 COLLATERAL HAIRCUTS IN CLEARED MARKETS
3.4 CASE STUDY: COLLATERAL MANAGEMENT AT EUREX CLEARING
3.5 CASE STUDY: COLLATERAL MANAGEMENT AT JSCC
3.6 COLLATERAL LIQUIDITY AND BUFFERS

4. FX MARKETS
4.1 FX MARKET OVERVIEW
4.2 NDF MARKET REVIEW
4.3 G5 NDF CLEARING
4.4 REGULATORY CHANGES TO PROMOTE CLEARING
4.5 CASE STUDY: FX OPTIONS AT LCH FOREXCLEAR

5. SHORT-TERM INTEREST RATE DERIVATIVES
5.1 INCREASED TRADING VOLUMES
5.2 INCREASED VOLUMES IN USD INTEREST RATE DERIVATIVES
5.3 OTHER USD IRDS
5.4 RISK FREE RATES

6. CONCLUSIONS
6.1 COLLATERAL
6.2 FX OPTIONS CLEARING
6.3 SHORT USD RATES
6.4 OVERALL CONCIUSIONS

7. ABOUT CCP12

8. CCP12 MEMBERS