Central Counterparty Clearing (CCP)

The CCP service interposes itself as the legal counterparty to every trade. It novates fills into CCP-vs-participant legs, posts initial margin, marks margin to market on a fixed cadence, and tracks settlement obligations through to settlement date.

Why a CCP

In a bilateral world, every fill leaves two participants exposed to each other's credit until settlement. A central counterparty replaces that bilateral relationship with two new contracts: the CCP becomes the buyer to every seller and the seller to every buyer. Counterparty risk is mutualised across the clearing pool, and post-trade processing converges on a single risk-managed entity.

The platform's CCP is a simplified educational simulation, but it implements the three core jobs of a real clearing house: novation, margin, and settlement.

Inputs

The CCP consumes two streams from the message bus:

• orders.filled — lit-market and dark-pool fills produced by the EMS and the dark-pool ATS
• rfq.executed — bond executions produced by the RFQ service

Both streams carry the same fill shape (instrument, side, quantity, price, counterparty), so the CCP can clear lit, dark, and RFQ trades through a single pipeline.

Per-fill processing

For each fill the CCP performs the following work:

1. Novation. The bilateral counterparty relationship is replaced by two CCP-vs-participant legs. A novation record for each leg is published on ccp.novation.

2. Initial margin. Margin is posted to both buyer and seller accounts at an asset-class-specific rate:

   | Asset class | Initial margin | | --- | ---: | | Equity | 10% notional | | Fixed income| 2% notional | | Derivatives | 15% notional | | OTC default | 5% notional |

   A ccp.margin event is published for each margin movement.

3. Settlement queueing. The trade is added to the settlement queue under its settlement date. A ccp.settlement.queued event records the obligation.

Mark-to-market and variation margin

Every CCP_MARGIN_MTM_MS (10 s by default) the CCP revalues outstanding positions against the latest prices from Market Simulator. Where current exposure exceeds the maintenance margin threshold (which is below the initial margin rate by asset class), a variation margin call is published on ccp.margin.

Settlement sweep

Every CCP_SETTLEMENT_SWEEP_MS (30 s by default) a sweep walks the queue, picks obligations whose settlement date has arrived, and publishes ccp.settlement.complete for each one. The compressed time base means T+2 equity settlement, T+1 FI, and same-day derivatives can all be exercised in a short demo session.

HTTP surface

| Path | Purpose | | --- | --- | | GET /health | liveness | | GET /ccp/margin/:userId | account margin summary | | GET /ccp/settlements | pending settlement queue | | GET /ccp/settlements/:date | obligations on a specific date | | GET /ccp/stats | aggregate clearing stats |

Source

backend/src/ccp/ccp-service.ts