Ice Clear Europe
Bachelier – a strange new world for oil options
Model tuned to negative prices has implications for pricing, margining and delta hedging
EU ‘non-paper’ reveals new effort to delay CCP open access
Negotiations on CCP recovery and resolution could provide a route to postpone Mifid rule
CCPs built up liquidity buffers heading into 2020
LCH SA grew qualifying liquid resources 49% year on year
LCH suffered longest operational outages of top CCPs in 2019
London-based LCH LTD said core systems were down for almost seven hours in 2019
Entering 2020, most CCPs had bigger default funds than a year ago
Majority of back-up funds to handle member defaults saw more pre-funded resources flow in
Cleared sovereign CDS volumes build as pandemic spreads
South Korea and Italy CDS vols dominate Ice Clear Credit and Ice Clear Europe, respectively
Coronavirus rout revives attacks on futures margining
FCMs call for permanently higher margins following “unprecedented” number of breaches
iTraxx volumes spike amid market panic
Volumes of Ice-cleared index contracts more than four times higher than average
Oil futures and options see record volumes
Brent crude contract traded volumes hit 3.4 million on March 9
Oil price shock triggers big margin calls
Banks and exchanges worked through weekend in anticipation of oil collapse
Top five clearing members dominate CCPs
Thirteen of 25 clearing services surveyed have 50% or more open positions in hands of top five members
At CCPs, sovereign bonds are top IM collateral
Government debt makes up 48% of IM on average among top clearing houses
Inside top CCPs’ default funds
Central banks favoured by CCPs to hold default resources
Volume pop leads to higher IM at Ice Clear Europe CDS
Open interest in CDX contracts increased 78% in first nine months of 2019
People moves: CRO Landy takes helm at Brevan, SocGen names new Asia chief, Murray out at Bridgewater, and more
Latest job changes across the industry
Ice adds insurance to default waterfall
Protection promises partial recovery of guarantee funds at three CCPs
Top 10 CCPs add $5.4 billion to liquidity pools in Q2
Clearing houses expand size of secured credit lines over the second quarter
Defaults would dent, but not destroy, CCP liquidity buffers
Max payment obligations in event of member default would be sufficiently covered
LCH leads top CCPs on operational failures
London-based clearing house said core systems were down for over seven hours in 12-month period
Two Ice clearing houses trim liquid assets
Ice Clear Europe and Ice Clear US both removed cash from commercial lenders in Q2
Ice’s European CDS clearing house adds €175m to default fund in Q2
In contrast, futures and options fund shrinks 6% quarter-on-quarter
Carney: Germany and France risk Brexit derivatives cliff edge
BoE governor says it is in EU countries’ “interest” to ensure full viability of financial contracts pre-Brexit
CCP margin buffers too big, research suggests
Procyclicality calculations should depend on expected spikes in volatility, argue Ice risk experts
Top CCPs’ liquidity pools hardly grow in Q1
LCH SA the only outlier as most clearing houses see cash, collateral and credit on hand shrink