Clearing
LME most battered in BoE’s stress test
Clearing house close to depleting default fund under toughest credit stress scenario
Gilt volatility to live on in IM and capital models
Even if sterling rates vol subsides, it will impact interest rate and cross-currency swap costs for years
Brokers slam CME over ‘conflict of interest’ in FCM plan
Clearing members question how CME could be quasi-regulator as well as direct competitor
Markets mull UK pension clearing exemption
Treasury expected to extend regulation exempting retirement funds from having to clear OTC trades
Pension funds foresaw margin meltdown (a decade ago)
Years of warnings went largely unheeded. Questions may now spread to post-crisis clearing and margining project
Client margin at Credit Suisse shrinks to just $25m
Required funds for swaps meet same fate as F&O trades, as exit from prime services continues
LSEG to launch clearing for equity swaps
Turquoise, LCH tie-up comes as equity swaps attract regulatory scrutiny in wake of Archegos
$899m margin breach at FICC’s mortgage unit
Three-day move in TBA prices on June 9 triggered second-highest backtesting deficiency to date
Ice to accept EUAs as collateral
Emissions certificates accepted to offset short EUA futures positions, subject to 14-day comment period
Duffie: SEC plan heralds all-to-all Treasuries trading
Former Fed adviser welcomes long-advocated Treasuries clearing mandate
FICC’s government securities unit hit by $995m breach
Large moves in US Treasury yields in June to blame for largest backtesting exception on record
Esma’s €4bn clearing limit sparks ire from energy firms – again
European watchdog backs rise in commodity clearing threshold from €3bn in new letter, but energy traders say it’s not enough
Eurex liquidity pool jumps 39% as required IM rises
Members of the IRS clearing unit saw the largest increase of required margin in Q2
IM at three LCH clearing units rose in Q2
Increase in clearing volumes pushed collateral up at EquityClear, RepoClear and SwapClear
Ice Credit’s required initial margin up 18% in Q2
CCP reported highest level on record, superseding Covid-19-induced peak
Liquidity risk up 138% at Eurex in Q2
CCP revised estimated worst-case payment obligation to highest level on record
Banks face capital hit on broader energy market collateral
Non-standard clearing house margin for energy trades would increase RWAs unless relief granted
European pension funds must start clearing next year – EC
Exemption preventing pension funds from mandatory clearing will come to an end permanently in June 2023
CFTC backs banks in tussle over clearing house governance
CME and Ice will need to pay more attention to clearing members on risk committees
Peak IM call at OCC jumps 38% in Q2
Outsized equity price moves behind third-largest IM call on record
Bypassing consent may aid CCP porting – report
CPMI-Iosco report says clearing houses cannot reasonably accommodate client preference; brokers favour rule book harmony
EU plan to suspend power derivatives gets icy response
Proposal from energy ministers to ease collateral burdens blasted as “silly” and “terrible idea”
Interest rate vol triggered three breaches at CME in Q2
CCP’s interest rate swaps clearing unit reported its first initial margin shortfalls since Q3 2020
Esma to meet with clearing industry over EU energy crisis
Widening eligible collateral on table; ECB intervention would need government indemnities