Depository Trust & Clearing Corporation (DTCC)
NSCC caught $600m short during meme-stock frenzy
Worst-case losses would have wiped out the CCP’s available liquid resources on one day in Q1
NSCC hit by $1.06bn margin breach
In total, the DTCC division reported 96 margin breaches at end-March 2021
The US Treasury’s great market makeover
Changes to regulation will need to take account of evolving market structure
Net losers? Benefits of clearing US Treasuries are cloudy
Practical obstacles and questionable netting benefits muddy the path to a clearing mandate, argues economist
One FICC member paid record $102bn to cover dues in Q4
Previous highest payment obligation of a single participant was $77 billion in size
Games of hazard: NSCC’s margin waiver sets bad precedent
By waiving a $2.2 billion cash call for Robinhood, members worry the NSCC may have dug itself a trap
Hero or villain? NSCC draws fire for Robinhood margin waiver
Fears of moral hazard after CCP waives billions in margin demands following meme-stock volatility
Credit derivatives traded volume up 15% in 2020
Week ending March 1 was the most active in dollar-denominated swaps
SOFR swaps traded volume hit new high in January
Notional volumes surpass $222 billion
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
Can CCPs zone in on improved margin buffers?
Dynamically adjusting margin add-ons could reduce cyclical funding demands
SOFR trading tails off after ‘big bang’ boost
Volumes peak, then slow down on CCPs’ shift to new RFR, but remain above 2020 averages
CCP liquidity risks varied in Q2
Most clearing services said their estimated largest payment obligations fell quarter-on-quarter
Initial margin held by top CCPs declined over Q2
Cash collateral held at central banks down 23% across top CCPs
FICC default exposure exceeded size of clearing fund in Q2
Mortgage-backed securities division had $887 million of uncovered exposure to collapse of two members
Escape from Emir? Not so fast, swaps users
Emir Refit, which seemed to promise reporting relief for corporate users, is not a master key
Number of SOFR swaps traded hits new peak
Over 220 swaps struck for the first time since trading began
CCPs added cash to their liquidity buffers in Q1
CME increased cash reserves at central banks by 271% quarter-on-quarter
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%
Initial margin models of top CCPs slipped in Q1
Achieved coverage levels declined quarter-on-quarter
DTCC’s mortgage unit hit by $1.5bn margin breach in Q1
A large, directional portfolio $100 billion in size was to blame
Sonia proves its mettle through Covid-19 crisis
New risk-free rate gaining ground at Libor’s expense