LCH
IM at LCH Ltd fell to post-Covid low in Q4
Required IM for SwapClear dropped to £149.5 billion, down 3% quarter on quarter
Japan debuts swaptions linked to risk-free rate
Sparse liquidity in Tonar swaps may put premium on swaption pricing, dealers warn
New risk-free rate in Korea gets industry thumbs-up
Majority of 26-member benchmark panel back “credible” repo-based rate
Buy-side physical FX clearing at LCH faces scepticism
Lack of clearing mandate and settlement wrangles mean demand for putative service remains weak
Swaps users shun cash compensation in LCH Libor switch
Members push for spread adjustment to maintain risk profiles, ignoring warnings of market bifurcation
People moves: new CRO at LCH, changes at Natixis investment bank, and more
Latest job changes across the industry
UK Treasury opens door to ditching Mifid open access rules
Champion of competition in derivatives clearing may throw in the towel
FCMs to let clients offset swaps and futures margin at Eurex
Banks target Q2 support for client cross-margining following lengthy lobby effort from hedge funds
Libor Risk – Quarterly report Q4 2020
Exactly when Libor’s regulator will sign the official death warrant for the most popular US dollar settings is now a cause of huge uncertainty. It’s also a matter of huge significance
People moves: new op risk head for Deutsche, NatWest loses inflation execs, and more
Latest job changes across the industry
LCH Ltd sent record €6bn VM call to one clearing member in Q3
Largest estimated payment obligation in the event of a member default also climbs quarter on quarter
Top CCPs invest little clearing member cash in securities
Cash payments of initial margin and default fund contributions are typically placed with central banks
Skin in the game of top CCPs varies
The average default fund has less than 4% of total resources contributed by the host CCP itself
At LCH Ltd, IM levels edged lower in Q3
Peak aggregate initial margin call for equities fund hit £3 billion
Approaching the endgame – What’s left for completing Libor transition?
Philip Whitehurst, head of service development, rates at LCH, discusses the International Swaps and Derivatives Association’s 2020 Ibor fallbacks protocol, its relevance for cleared swaps, remaining transition steps and major developments to look out for…
LCH plans Libor swap switch to RFRs
Proposal would see trades moved to compounded RFRs, with cash compensation paid to those who lose out
SOFR trading tails off after ‘big bang’ boost
Volumes peak, then slow down on CCPs’ shift to new RFR, but remain above 2020 averages
CCP discount switch drives record SOFR swap volumes
Historic move off fed funds discounting leads to trading surge
CCP liquidity risks varied in Q2
Most clearing services said their estimated largest payment obligations fell quarter-on-quarter
CCPs mull ‘big bang’ €STR swap conversion
A co-ordinated transition of Eonia contracts is being discussed with members and end-users
Initial margin held by top CCPs declined over Q2
Cash collateral held at central banks down 23% across top CCPs
Citi turns to fintech to boost FCM interest income
Clearing giant is optimising its treasury function to combat low rates and CCP fee hikes
‘Big bang’ sends basis swaps on roller-coaster ride
Secrecy at CME is contributing to volatility ahead of next week’s switch to SOFR discounting
Solid foundations – Bridging the transition gap
Phil Whitehurst, head of service development, rates, SwapClear at LCH, explores the potential parallels between forward-looking term Sonia rates and term SOFR rates. He presents his thoughts on the recent announcement of increased powers for the…