Clearing
CCPs to review conversion blueprint ahead of SOFR switch
Rising rates vol expected to push US transition to the wire, but process likely to follow previous runs
Eurex upgrade timeline too tough, say banks
As exchanges prepare roll-out of major upgrades, banks are struggling to cope
LSEG beefs up non-cleared ambitions with Quantile deal
Agreement to buy optimisation firm for £274m strengthens LCH’s FX foothold as SA-CCR bites
A cost–benefit analysis of anti-procyclicality: analyzing approaches to procyclicality reduction in central counterparty initial margin models
In this paper, the authors suggest how margin setters and policy makers might measure procyclicality and target particular levels of it by recalibrating parameters in a margin model to reduce its procyclicality or by applying an anti-procyclicality tool.
Libor’s death propels SOFR swaps market
Trading in the risk-free rate jumped to a weekly high and long-dated swaps activity grew
OCC member default fund contributions climb 11%
CCP's skin in the game up almost 5%
NSCC’s year of living dangerously
The CCP’s models are falling short time and time again, and the consequences could be disastrous
JSCC member received $3bn cash call in Q3
The CCP revised its estimate of the worst-case payment obligation that would have to be met should one of its participants collapse
Credit Suisse’s US clearing unit cuts client margin by over 40%
Required segregated customer funds for swaps, futures and options down sharply since Archegos default
At LCH, required IM rose over Q3
Required minimum demanded of clients increased at ForexClear, RepoClear and EquityClear, but fell at SwapClear
One NSCC member paid record $40bn to cover dues in Q3
The cash call was 141% larger than the previous quarter
Down but not out: US Libor trading continues amid ban
Outgoing rate hits market share lows in US swaps but little dent made in listed markets
NSCC’s liquidity pool twice short of payment obligation in Q3
The CCP reported a shortfall in its qualifying liquid resources for the third consecutive quarter
CME turns to Fed in rejig of liquidity pool
Central bank balances accounted for more than 70% of the CCP’s total liquidity buffer in Q3
Review of 2021: Default, revolt, reform
Archegos, GameStop, the last days of Libor – markets just about coped in a bleak and disorderly year
Interest rate swap activity surges ahead of Fed tightening
Counterparty Radar: Managers react to fastest rise in inflation in three decades
Margin rules lead to rise in Asian NDF clearing volumes
LCH and Eurex position themselves for NDF clearing uptick ahead of next UMR phase
Mizuho’s F&O clearing unit boosts client margin by $1.05bn
In contrast, Morgan Stanley reports largest drop over same period
Pimco, Capital Group lead expansion of index CDS market
Counterparty Radar: Total positions reach new high driven by growth of swaps referencing CDX NA IG
CCPs unlikely to be wiped out by op losses, research suggests
Former LCH risk chief says sharing loss data would help CCPs avoid risk of holding too little capital, or too much
US mutual funds paused inflation bets in Q3
Counterparty Radar: Uncertainty over inflation appears to have dampened trading activity
Client margin up 7% at Bank of America’s swaps unit
Aggregate required client margin across all FCMs at highest point since second quarter of 2020
Esma calls for more powers over UK CCPs
Sources say Emir 3.0 could be on the way with Esma a big winner
McLaughlin departs London Stock Exchange Group
Former CRO and head of financial risk left the group in October