Exchanges and CCPs
Eurostoxx dividend futures see trading frenzy
December 20 contracts drop 39% in March
OIS volumes collapse after rates plummet
USD OIS weekly traded notional falls to $502 billion from recent $3.3 trillion peak
Cleared sovereign CDS volumes build as pandemic spreads
South Korea and Italy CDS vols dominate Ice Clear Credit and Ice Clear Europe, respectively
Libor-SOFR blowout raises questions for fallback rate
Implied three-month SOFR v Libor basis gapped to 108bp on March 19
CDX volumes roar upward on coronavirus panic
Notional traded volumes hit multi-year highs in each of the last three weeks
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
OIS trading in sterling, euro and Aussie dollar soar
Euro overnight index swaps notional volumes hit €192 billion on March 1
FX options volumes surged last week amid market panic
USD/JPY options traded volumes highest since at least the start of 2018
CDX on junk bonds jumped 65% in H1 2019
Notionals to which CCPs were counterparty increased +85%
Dollar OIS volumes hit $3.3trn high
Short-dated swaps dominated trading in last week of February
€5trn of Eonia swaps mature after benchmark’s death
Almost 20% of derivatives notionals linked to retiring rate will expire post-2022
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
Giant £174bn Sonia swaps trading day may be biggest ever
Mammoth swaps focus on upcoming announcements from the Bank of England’s Monetary Policy Committee
Volume pop leads to higher IM at Ice Clear Europe CDS
Open interest in CDX contracts increased 78% in first nine months of 2019
At CME, required IM up 18% in Q3
Surge follows busy August and September for the swaps clearing business
OCC member default fund contributions up $1bn in Q3
Peak initial margin call was $9.9 billion in Q3
IM calls rocket at LCH’s repo service in Q3
Peak aggregate initial margin call of €462 million in third quarter
SwapClear model update causes IM hike
Maximum aggregate IM call for Q3 was £3.7 billion
Eurex: from EQD clearing specialist to all-rounder
Initial margin for equity derivatives makes up 41% of total, down from 63% four years prior
Rate options and futures volumes plummet $10trn in Q3
Open interest in short-term options collapses 10% quarter on quarter
JSCC issued ¥486bn VM call in Q3
Estimated largest payment obligation sized at ¥620 billion