Depository Trust & Clearing Corporation (DTCC)
RepoClear’s concentration risks see highest rate of increase
LCH's cash bond and repo trade-clearing service has steepest slope of IM and open positions over 2016–22
CCPs’ largest members account for almost half IM
Analysis of 30 clearing services shows wide dispersion in concentration risk – with LCH and JSCC leading the pack
US retail funds further slash repo borrowing
Counterparty Radar: Manager activity in Q3 2022 lowest in nearly three years; BofA surpasses JP Morgan as top dealer
CFTC’s re-jigged swap reporting rules go into effect smoothly
No problems yet, but some warn of potential pitfalls ahead with package trades and margin reporting
Fed hike behind $682m and $460m breaches at FICC
Clearing units for MBS and government securities hit by backtesting deficiencies on September 21
PTFs call for reform before Treasuries clearing mandate
Non-banks warn all-to-all trading relies on requiring dealers to accept ‘done away’ trades
Treasury clearing will drive up trading costs: BofA exec
Rates co-head warns SEC proposal could squeeze smaller dealers out of Treasury market
US mutual funds pulled back from repo market in Q2
Counterparty Radar: Cash borrowing fell to lowest level since 2020; JP Morgan remains top dealer
BoJ action to strengthen yen spurs FX options traders
Traders turn bearish on USD/JPY FX vol over further central bank intervention
$899m margin breach at FICC’s mortgage unit
Three-day move in TBA prices on June 9 triggered second-highest backtesting deficiency to date
FICC’s government securities unit hit by $995m breach
Large moves in US Treasury yields in June to blame for largest backtesting exception on record
Options expiry triggered $135m liquidity shortfall at NSCC
The CCP collected supplemental liquidity deposits six times during the first quarter
Euro, Swiss swaps trading jump on rate hike chatter
Highest weekly volumes since at least 2020 as ECB and SNB gear up for policy change
Coded swaps reporting plan delights some, but not all
Cost-busting code for swaps reporting could be tricky if banks lack internal standardisation
Peak IM calls at FICC leapt 13% in Q4
Number of margin breaches at the central counterparty’s GSD also edged higher, as some members increase exposures after margin calculations
CFTC delays rewritten swaps reporting rules after industry plea
Firms still face multiple rounds of compliance to implement UPI and ISO standards
Liquidity risk rose at most CCPs in Q3
JSCC, CME, Ice and Eurex among those that revised their VM estimates
NSCC’s year of living dangerously
The CCP’s models are falling short time and time again, and the consequences could be disastrous
One NSCC member paid record $40bn to cover dues in Q3
The cash call was 141% larger than the previous quarter
NSCC’s liquidity pool twice short of payment obligation in Q3
The CCP reported a shortfall in its qualifying liquid resources for the third consecutive quarter
Review of 2021: Default, revolt, reform
Archegos, GameStop, the last days of Libor – markets just about coped in a bleak and disorderly year
FICC calls for rehypothecation relief to scale US Treasuries clearing
Current prohibition on margin re-use penalises sponsored clearing of cash instruments
Barclays looks to woo CCPs with CDM prototype
Plan to save billions in post-trade costs relies on the creation of central data utilities
NSCC caught $5 billion short in June
Worst-case losses would have wiped out the CCP’s available liquid resources on two separate days in Q2