CME Group
Libor Risk – Quarterly report Q2 2020
Detaching an estimated $350 trillion of financial contracts from Libor was always going to be an uphill struggle. For a rump of so-called “tough legacy” contracts it’s a near impossible task. Now their future lies in the hands of legislators
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?
Top clearing houses bolstered default funds over Q1
NSCC reported its guaranty resources grew 231%
Oil funds want to reduce risk. Will investors let them?
Despite posting big losses, funds that track front-month contracts remain popular with investors
Metals – Caught in a supply–demand tug of war
In the face of a deep, global economic contraction in the first half of 2020, prices of industrial metals have been remarkably resilient. Copper has rebounded to pre-pandemic levels at the start of the year, and while aluminium prices are lower than at…
Initial margin models of top CCPs slipped in Q1
Achieved coverage levels declined quarter-on-quarter
2020 SOFR ecosystem mid-year recap
After building tremendous momentum in autumn 2019, SOFR floating rate note (FRN) issuance saw a slowdown in winter, only to surge to new highs in Q1 and Q2 2020. Already over $650 billion notional to date, from 50+ participants, the FRN market growth is…
Fourteen margin breaches at CME’s swap unit in Q1
The peak breach was almost $80 million in size
Why CME couldn’t sell its reg reporting arms
Costs and competition proved fatal for Abide and Nex businesses and trade repositories
Eurex CRO: market meltdown will mean margins stay higher
Record breaches at global exchanges fuelling pressure to keep rates permanently higher, says risk chief
Clearing banks feel pinch as rates turn negative
Negative returns on dollar deposits at Eurex, Ice and LCH spur talk of business model change
FX traders sound alarm on tagging ‘abuse’
Front running and tag refreshing concerns abound on semi-anonymous trading platforms
June mid-month auctions – Coupon and yield trends
As Treasury issuance amounts set new records, coupons at the front end of the curve have marched downward, while back-end coupons have lagged. Yield spreads across each popular measure show a consistent steepening of the curve through the first half of…
Ronin expanded rapidly before flaming out, accounts show
Chicago prop firm tapped $450m financing line with broker-dealer as assets grew to $34bn
Swaptions compensation method divides market
US and European firms back redress payments, but disagree over how they would work
Bachelier – a strange new world for oil options
Model tuned to negative prices has implications for pricing, margining and delta hedging
People moves: Brevan Howard risk head moves to Coremont unit, Pimco PMs, and more
Latest job changes across the industry
Negative oil prices put spotlight on investors
What part did Bank of China and other investors play in last month’s oil rout, asks derivatives veteran
The mysterious disappearance of a Chicago trading giant
Puzzling losses, a closely guarded auction and possible redemption – sources unpick Ronin’s collapse
Funds piled into WTI futures in wild week for crude
Funds long 325 million barrels on April 21
CME was ill-prepared for negative oil prices, FCMs say
Bourse draws criticism over timing of options model change; delay in sending key margin file
CCPs postpone euro discounting switch to July
Five-week extension agreed after working group proposal for September delay fails to find consensus