Risk Quantum/European Securities and Markets Authority (Esma)
Six CCPs fail to cover concentration risk in Esma stress test
Largest shortfalls modelled in commodity derivatives segment, led by Ice Clear Europe ECC
Share of required margin increases at top EU CCP members
Number of clearing members with total requirements of €10bn and above has been increasing since 2017
EU funds levered up over 2019
Gross hedge fund leverage came to 6,450% of NAV
Climate shocks could cut ‘polluting’ EU funds’ value by 20%
Esma researchers say carbon-intensive funds also pose more of a systemic risk
Majority of EU funds’ CDSs are ‘naked’ exposures
Of more than 4,000 CDS positions assessed by Esma researchers, 71% were uncovered
EU funds lack liquidity management tools – Esma
Most Ucits can only rely on temporary borrowing or gating to weather crises
LME Clear stretched by CCP stress tests
Metals clearing house would exhaust prefunded resources under Esma’s default shock scenario
Investors abandoned junk bond ETFs in March
Forced sale of ‘fallen angels’ could exacerbate outflows at end-April
€5trn of Eonia swaps mature after benchmark’s death
Almost 20% of derivatives notionals linked to retiring rate will expire post-2022