CME Group
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
Traiana on the buy-side’s increasing adoption of post-trade technology
Head of Product Strategy for CME Group’s Traiana, Steve French, talks to HFM Asia editor Tom Duffell about the buy-side and post-trade technology.
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
CCPs added cash to their liquidity buffers in Q1
CME increased cash reserves at central banks by 271% quarter-on-quarter
Term SOFR rate still possible this year, benchmark firms say
Administrators target year-end benchmark trials despite low swaps liquidity
Delivering certainty in uncertain times
TriOptima explains how it combines the reduction of gross notional exposure and the conversion of net risk exposure to deliver outsized results, partnering its portfolio compression network with core net ICE Libor over-the-counter swap portfolios
How Covid‑19 is impacting transition preparations
A forum of industry leaders, including the sponsors of this report, discusses key industry concerns around the transition away from Libor, including how the discontinuation deadline will be impacted by the Covid‑19 pandemic, the benefits and challenges…
Clearing banks show they’ve learned lessons of the past
CCP members were able to meet massive margin calls in March. But could they do it again?