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
Broad wording of digital services tax could place market infrastructure in firing line
Default fund loss triggers debate on risk sharing, auction rules and ‘skin in the game’ at CCPs
Energy could be particularly badly affected by the €114m default of Nasdaq power trader Einar Aas
The week on Risk.net, October 20–26, 2018
Share of cleared interest rate derivatives climbs to 58%
The CFTC may block US CCPs from acceding to EU supervision
Four sources say draft will make concession; it could also revive EU-US segregation drama
Regulators and exchanges need to learn from the Greenhat/PJM and Norwegian Nasdaq defaults