CME Group
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
Regulators’ margin model rules too lax – BlackRock exec
Risk USA: EU anti-procyclicality rules like “putting a curtain over a draughty window”
SOFR trading tails off after ‘big bang’ boost
Volumes peak, then slow down on CCPs’ shift to new RFR, but remain above 2020 averages
CFTC’s swap stay plan for clearing houses sparks alarm
Lawyers warn proposal could invalidate close-out netting and expose members to higher risks
CCP discount switch drives record SOFR swap volumes
Historic move off fed funds discounting leads to trading surge
CCP liquidity risks varied in Q2
Most clearing services said their estimated largest payment obligations fell quarter-on-quarter
CME asks clients about changing implied UST futures coupon
Falling yields prompt review of 6% conversion factor for delivery-eligible bonds
Initial margin held by top CCPs declined over Q2
Cash collateral held at central banks down 23% across top CCPs
Citi turns to fintech to boost FCM interest income
Clearing giant is optimising its treasury function to combat low rates and CCP fee hikes
‘Big bang’ sends basis swaps on roller-coaster ride
Secrecy at CME is contributing to volatility ahead of next week’s switch to SOFR discounting
SOFR basis tightens on ‘big bang’ auction disclosure
Indicative auction portfolio unveiled by LCH shows discount risk heavily skewed to liquid end of curve
CCP discounting big bang: convexity adjustment
The collateral transition to SOFR will create convexity adjustments that need to be modelled
Accounting rules snare insurers in SOFR discounting switch
Re-couponing swaps to reduce discount risk could have adverse accounting consequences for insurers
SOFR discounting: CCPs prepare for make or break auctions
Deluge of one-way risk and kinks in basis swap auctions could derail Libor transition milestone
Reg AT withdrawal could delay a Biden agenda for the CFTC
Democrats and some lawyers say Tarbert’s new principles don’t achieve same goals as Reg AT
Ronin, felled prop giant, shuts up shop
Firm cancels regulatory licences; traders receiving payouts on equity stakes
EU hands CCP members a narrow win on skin in the game
Clearing members could use the final rules to push for higher CCP capital globally
Webinar – Nowcasting the US economy
Join CME Group Chief Economist, Blu Putnam, as he shares insights using alternative data and nowcasting to monitor developments in the US economy.
SOFR basis blows out amid CCP discounting changes
Rate cuts may have exacerbated discount risk as basis swap opt-outs move deeply in-the-money