Exchanges and CCPs
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
JSCC had a top margin breach of ¥114m in Q3
Three backtesting exceptions disclosed for 12-month period to end-September
Trading non-cleared derivatives tougher in Q3 – ECB
Twelve percent of respondents said trading conditions worsened for interest rate products
OTC derivatives amounts surge 18% in H1 2019
Interest rate products alone see notionals increase to $523.9 trillion
Top 10 CCPs add $5.4 billion to liquidity pools in Q2
Clearing houses expand size of secured credit lines over the second quarter
Post-crisis rules roil US cross-currency basis – IMF
EU leverage ratio causes basis spikes at quarter-ends
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
Initial margin posted to LCH’s repo service tripled at end-June
Surge in required IM indicates explosion in repo demand
Two Ice clearing houses trim liquid assets
Ice Clear Europe and Ice Clear US both removed cash from commercial lenders in Q2
LCH SA members add €371m to cash, derivatives default fund
Funds for other clearing activities see quarter-on-quarter falls, in contrast
Ice’s European CDS clearing house adds €175m to default fund in Q2
In contrast, futures and options fund shrinks 6% quarter-on-quarter
LCH SA on the hook for €32bn if member defaults
Payment obligation, if realised, would wipe out 50% of CCP’s liquidity buffer
CME issued $1.8 billion VM call in Q2
Margin call was the fourth largest made by CME’s futures and options unit since disclosures began
Eurex Clearing reports sharp rise in default exposures
Clearing house’s peak same-day payment obligation rose to €5 billion in the second quarter
DTCC default fund contributions climb 15%
CCP had 270 clearing members at end-June
OCC reports 24% spike in default exposure
Clearing house’s peak same-day payment obligation rose to $5 billion in the second quarter
DTCC’s total liquidity pool shrank in Q2
Aggregate liquidity resources fall to $260 billion
Eurex Clearing members add €609m to default fund
Initial margin posted in Q2 soars 5%
Short-term interest rate ETD notionals leap $14trn in Q2
Open interest in exchange-traded options with maturities of a year or less rise 19%
SOFR futures volumes surge as overnight repo rates spike
Daily trading volume of one-month contracts climbs 156% between September 16-17
Firms favour swaps over spot when trading FX – BIS
Forex swaps account for 49% of global average daily turnover in April
Renminbi contracts grow share of interest rate derivatives turnover
Instruments denominated in non-G10 currencies accounted for 3.8% of average daily turnover in April 2019