Historic move off fed funds discounting leads to trading surge
Most clearing services said their estimated largest payment obligations fell quarter-on-quarter
Falling yields prompt review of 6% conversion factor for delivery-eligible bonds
Cash collateral held at central banks down 23% across top CCPs
Clearing giant is optimising its treasury function to combat low rates and CCP fee hikes
Secrecy at CME is contributing to volatility ahead of next week’s switch to SOFR discounting
Indicative auction portfolio unveiled by LCH shows discount risk heavily skewed to liquid end of curve
The collateral transition to SOFR will create convexity adjustments that need to be modelled
Re-couponing swaps to reduce discount risk could have adverse accounting consequences for insurers
Deluge of one-way risk and kinks in basis swap auctions could derail Libor transition milestone
Democrats and some lawyers say Tarbert’s new principles don’t achieve same goals as Reg AT
Firm cancels regulatory licences; traders receiving payouts on equity stakes
Clearing members could use the final rules to push for higher CCP capital globally
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.
Join CME Group Chief Economist, Blu Putnam, as he shares insights using alternative data and nowcasting to monitor developments in the US economy.
Rate cuts may have exacerbated discount risk as basis swap opt-outs move deeply in-the-money
CME increased cash reserves at central banks by 271% quarter-on-quarter
Administrators target year-end benchmark trials despite low swaps liquidity
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
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…
CCP members were able to meet massive margin calls in March. But could they do it again?