CME Group
Time to act – Smart transitions to UMR compliance
Firms face many challenges as deadlines loom for phases five and six of the uncleared margin rules (UMR), including getting their average aggregate notional amount calculations right to determine which phase they are in. With only three months to prepare…
Turning challenges into solutions
With margin requirements a potential drain on financial resources, delivering healthy returns while meeting regulatory obligations is paramount. To help participants optimise more of their risk, Varqa Abyaneh, chief product officer, Quantile, discusses…
CME, FICC to overhaul Treasury market margining
Clearers eye deal to dramatically improve cross-margin savings, aim to extend offsets to end-users
Navigating UMR phases five and six
As awareness grows of the complexities ahead, a panel discusses best practice, their recent experiences and the challenges in-scope firms face as they prepare to meet UMR
CME rebuts accusations of procyclical margining
Merc issues white paper touting strong portfolio-level coverage during pandemic, rebuffs calls for higher MPOR
Options to mitigate the challenges of index cessation fallbacks and conversion
This has so far been a defining year for index cessation, Isda’s fallbacks protocol and central counterparty conversions. TriOptima insists that now is the time for firms to get their interest rate swap portfolios in order before year-end
CME wins term SOFR race
Fed-backed working group puts term rate back on track, but low volumes keep endorsement on hold
Net losers? Benefits of clearing US Treasuries are cloudy
Practical obstacles and questionable netting benefits muddy the path to a clearing mandate, argues economist
CME unveils term SOFR in face of ARRC doubts
Exchange group says benchmark aligns with ARRC principles – but committee has pushed back endorsement plans
At CME, required IM increased over one-third in 2020
IM for futures and options hit $152.3 billion at end-December
US stumbles in pursuit of term SOFR
Flaky swaps liquidity sees June 2021 target slip; CME claims indicative settings already meet international standards
Solving the domino effect of delayed trade allocations
One year on from the pandemic-driven volatility of March 2020, Joanna Davies of Traiana looks at how buy-side firms can gain greater visibility and efficiency in exchange-traded derivatives (ETD) markets
CME looks to life after Eurodollars, as rivals circle
Eurodollar futures will die with Libor but there is no obvious ready-made replacement
Utility is success? Row brews over futures post-trade workflows
Industry confronts competing models and hard questions in search of better allocations workflow
Optimisation firms prep for SA-CCR boom
Flush with new cash, vendors ready rebalancing services ahead of risk-sensitive leverage framework
CFTC urged to take lead on CCP margin models
Advisory committee unable to agree steps on margin period of risk, model transparency
Exchange of the year: CME Group
Risk Awards 2021: changes to options strikes helped CME avoid major mishaps in volatile 2020
Futures industry weighs need for new post-trade utility
Three large FCMs say standardising trade allocations could prevent a repeat of breaks seen during Covid volatility
Bloomberg, IHS Markit join race for SOFR credit add-on
BSBY index seen as ‘easy option’ add-on for regulator-preferred RFR; Markit preps for Q2 launch
Top CCPs invest little clearing member cash in securities
Cash payments of initial margin and default fund contributions are typically placed with central banks
Skin in the game of top CCPs varies
The average default fund has less than 4% of total resources contributed by the host CCP itself
IM, default fund resources fell at Eurex in Q3
Total collateral held remains elevated compared to pre-coronavirus crisis
Can CCPs zone in on improved margin buffers?
Dynamically adjusting margin add-ons could reduce cyclical funding demands
FCMs fret over S&P 500 options settlement changes
Dealers say CME, Cboe settlement time shift for S&P 500-linked options causes risk management headache