Thin current trading may lead to poor fallback choices, and dim SOFR’s appeal ahead of Libor’s death
CCP’s risk analytics head will replace Laux in July
Central counterparty wrangled more money market repo cash than banks did by end-2018
CCPs added $20.8 billion to their liquidity buffers in the third quarter of 2018
In total, 55 margin breaches reported at end-September 2018
Clearing member says it is giving notice to quit bourse, citing concerns over concentration of risk on venue
This paper studies the effect of less procyclical margin models on cleared volumes and risk taking in a stylized CCP.
The centrally cleared interest rate derivatives market: how are clients changing the risk perspective?
This paper analyzes counterparty relationships within both direct (house) and client clearing in the interest rate derivatives market in the European Union.
As rates rise and trade tensions grow, CCPs must be prepared for higher volatility
US clearing members divided on whether NDLs are CCPs’ responsibility or a mutual risk
Efforts to prevent ‘margin spiral’ during stress could encourage more risk-taking, paper argues
Potential EC, French and German no-deal relief is expected to be short-lived and incomplete
CCP shutters plan after feedback from regulators and market participants
In this paper, the authors compare the data from three major clearing houses concerning tail losses and member concentration.
Investment firm to make leap away from clearing broker reliance
Roland Chai says defaults more likely as global instability increases; CCPs should focus on auction processes
CCP aims for Q1 2019 roll-out of new Monte Carlo-based methodology as it plans launch of index swaptions
Nasdaq Clearing blow-up prompts questions over CCPs’ methods of applying top-ups to concentrated positions
Stress tests underestimate how twin member failure affects clearing house stability
German dealer accounted for 8% of total notionals across 75 largest banks
Fears of Nasdaq-style failures spur rethink of margining practices at HKEx, JSCC, SGX
Decision will leave some contracts without a CCP from next April