Clearing
First SOFR swaps trade as banks test new benchmark
First OTC trades include two basis swaps and an OIS trade, with JP Morgan thought to be a counterparty
US swaps users want CFTC rules lifted in Libor switch
Dodd-Frank should not catch contracts amended as part of move to new rates, letter argues
Pimco criticises LCH over SOFR plan
Senior official calls on CCP to follow CME and use SOFR for margin interest and discounting immediately
CCPs build their liquidity buffers
$26 billion increase in deposits entrusted to commercial banks
A real-life stress test for CCP margin
Thanks to standardised reporting, we can track how clearing houses’ risk profiles have changed over time
Swaps data: the big get bigger in cleared swaps
First half of 2018 sees strong growth in cleared OTC derivatives volumes, writes Amir Khwaja of Clarus FT
Ice single-name clearing surge defies market trend
Ice Clear Credit open interest grows 31%
Eonia woes hold up euro swaptions switch
Eleventh-hour derailment for project that has been in the works for a year
Ice Clear Europe had a top margin breach of $91 million in Q1
A total 9 are reported, averaging $14 million
French regulator: we are not the Brexit bogeyman
AMF denies pursuing relocations from UK, but calls on EU27 to build its financial markets
OCC margin breaches spike in Q1
Peak exposure of $363 million in three months to March 31
CME reports two margin breaches in Q1
Shortfalls totalling $79 million were by far the largest for the CCP since public reporting started in 2015
Clearers diverge on SOFR swaps discounting
CME switches to new rate for clearing; rival LCH stays with Fed funds
Eurex rejigs liquidity portfolio
Half a billion euros placed with commercial banks at end-March
JSCC reinforces default funds
Member firm contributions swell ¥135.5 billion across derivatives clearing services
Banks fear loss of Emir intragroup exemptions
Firms would have to clear or margin transactions with affiliates in non-equivalent jurisdictions
FICC liquidity facility swells to $36 billion
Capped contingent liquidity facility adjusts in response to heightened liquidity risk
European banks vague on settled-to-market switch
UBS reported a cut in gross derivatives assets and liabilities attributable to STM of Sfr11.4 billion in 2017
New DTCC fee structure could lure non-bank traders
US regulator approves proposal targeted at government securities business
Asian and Americas CCPs seek EU recognition
16 CCPs apply for Esma's seal of approval
VM changes cut billions from US bank swaps values in 2017
Effects on potential future exposure (PFE) mixed
trueEX sues 11 banks over swaps ‘conspiracy’
Platform alleges market-makers acted to preserve dominance of bank-owned Tradeweb
Citi fastest growing FCM; Credit Suisse loses ground – CFTC data
Citi grows client margin 36% in year to end-April, Credit Suisse shrinks 16%
CDS market structure transformed – BIS
Inter-dealer trades have retreated as CCP dominance grows