CME Group
SOFR futures volumes surge as overnight repo rates spike
Daily trading volume of one-month contracts climbs 156% between September 16-17
Benchmark reform, LCH-Eurex basis and FX algo fears
The week on Risk.net, September 9-13, 2019
SOFR discounting switch splits Goldman and JP Morgan
CFTC committee calls on clearing houses to align timing and compensation mechanisms
An old fight over margin protections rears its head
CFTC rules on margin and loss limits for separate accounts are being torn up for asset managers
Span 2: a fine balance
Switching margin model means walking a tightrope of competing interests amid regulatory scrutiny
A look under the hood of Span 2, CME’s new margin engine
VAR-based framework has new ways of netting contracts and setting volatility floors and more
Virtue bonds, Hong Kong FRTB and letting go of Lehman
The week on Risk.net, August 24–30, 2019
CME no longer looking back to Lehman
Changes to rates margin model move CCP into line with rivals
CME-LCH basis collapses amid rates downturn
Brexit and recent LCH initial margin raise could also be factors
CurveGlobal and the curious case of the lost open interest
One-third short sterling plunge in open interest on CurveGlobal may signal more capital-sensitive times
Splits emerge over ‘pre-cessation’ fallback triggers
CCPs say cleared swaps will move to new rates if Libor is no longer representative of markets
The great migration: CCPs ponder life after Span
As CME moves to a value-at-risk methodology, CCPs that license its model look on nervously
LCH plans October 2020 SOFR discounting switch
Cash and basis swaps will reverse value transfer on US dollar derivatives
SGX’s Koh defends clearing methods post-Nasdaq
Existing tools still work, despite external scrutiny on default management, says risk chief
People moves: CRO role for SG’s Ricke, Barclays continues hiring spree, new SwapClear head, and more
Latest job changes across the industry
Top CCPs’ liquidity pools hardly grow in Q1
LCH SA the only outlier as most clearing houses see cash, collateral and credit on hand shrink
Quadruple witching triggers $1.5bn VM call at CME Clearing
Peak VM call was 56% bigger than the one in Q4 2018
Ice, CME set to launch new VAR models in early 2020
Bourses plan to switch margining of energy futures at different times, prompting speculation of “arbitrage opportunities”
Greenwich Associates Publishes New TCA Study
FX Options in the Age of Uncleared Margin Rules