Exchanges and CCPs
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
OCC member default fund contributions jump 8%
CCP’s skin in the game fell slightly in Q4, making up 1.8% of the prefunded total
OCC issued $6.1bn VM call in Q4
December options expiration behind highest VM call in six years
Eurex boosts liquidity buffer by 26%
Increase largely driven by the growth of the CCP’s IRS business
Liquidity risk rose at most CCPs in Q3
JSCC, CME, Ice and Eurex among those that revised their VM estimates
Libor’s death propels SOFR swaps market
Trading in the risk-free rate jumped to a weekly high and long-dated swaps activity grew
OCC member default fund contributions climb 11%
CCP's skin in the game up almost 5%
JSCC member received $3bn cash call in Q3
The CCP revised its estimate of the worst-case payment obligation that would have to be met should one of its participants collapse
At LCH, required IM rose over Q3
Required minimum demanded of clients increased at ForexClear, RepoClear and EquityClear, but fell at SwapClear
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
CME turns to Fed in rejig of liquidity pool
Central bank balances accounted for more than 70% of the CCP’s total liquidity buffer in Q3
Interest rate ETD volumes drop in Q3
Shorter-dated contracts led the way, falling 9% quarter on quarter
Rate of centrally cleared CDSs hits record high
Multi-name products drove increase in first half of 2021
OTC derivatives amount rose 5% in H1
While notional amounts were up from end-2020, gross market values fell 20% across all instruments tracked by the BIS
Libor basis swaps jump amid rates uncertainty
Trading in the one-month, three-month basis highlights the market’s preference for Libor
CME boosts liquidity buffers by 5%
Central bank balances accounted for 68% of the CCP’s total liquidity buffer in Q2
Initial margin at LCH Ltd rose in Q2
RepoClear and ForexClear saw biggest increase over the quarter
OCC increases skin in the game in Q2
Own funds to handle a participant collapse amounted to $313 million
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
Ice Clear Credit member default fund contributions climb 6%
Total pre-funded required participant payments hit a record high in Q2
Sonia/SOFR swaps jump ahead of ‘RFR First’ initiative
Cross-currency swaps increasingly seeing RFRs on both legs
Interest rate ETD volumes up 40% from 2020 nadir
Shorter-dated contracts push total open interest higher
JSCC turns to commercial banks in rejig of liquidity reserves
Funds stashed at the Bank of Japan down 31% on the previous quarter