Payments
NSCC member received record $42bn cash call in Q1
Largest payment obligation was 22% larger than previous quarter
Liquidity risk hits record high at CME
Heightened market volatility in Q1 pushes F&O’s worst-case payment obligation up 13%
FICC’s liquidity pool $3.8bn short of payment obligation
Clearing unit for MBSs incurred first shortfall on record in January
Quantifying the economic benefits of payments modernization: the case of Canada’s large-value payment system
The authors analyze the economic benefits of the replacement of Canada’s large-value transfer system (LVTS) with the new system, Lynx.
Payment coordination and liquidity efficiency in wholesale payments systems
The authors investigate the two settlement mechanisms found in the Lynx payments system, finding that the highest liquidity efficiency is achieved if all payments were sent to the mechanism allowing offsetting.
Liquidity risk at OCC up 34% in Q3
Internal stress-testing of a clearing member’s portfolio triggered upward revision
Global banks’ systemic footprint grew at record pace in 2021
Every indicator up on previous year, only the second time in G-Sib assessment history
CLO equity investors stung by Libor basis
Growing mismatch between one- and three-month tenors slashes payouts by a third
Eurex liquidity pool jumps 39% as required IM rises
Members of the IRS clearing unit saw the largest increase of required margin in Q2
Liquidity risk up 138% at Eurex in Q2
CCP revised estimated worst-case payment obligation to highest level on record
Ice Clear Europe issued $5.4bn VM call in Q4
Price volatility in energy markets behind the largest cash call on record by the CCP
Ice Clear Europe boosts liquidity buffer by 77%
More than half of the CCP’s loss-absorbing funds is now deposited in central bank balances
Members of CME’s F&O unit added $950m to default fund in Q4
Market volatility triggered a $3.4bn peak initial margin call on one day during the last quarter of 2021
Ice Clear Europe hit by $1.03bn margin breach
The CCP’s futures and options division reported its second largest IM breach ever in Q4, as energy prices skyrocketed
Liquidity risk up 163% at Ice Clear Credit in Q4
Rate hike expectations led to the highest level on record of contributions to the CCP’s default fund
Op risk data: Allianz dealt a $4bn blow for not-so-Alpha Funds
Also: Credit Suisse cops two cartel shops; banks get slapped in gender pay gap. Data by ORX News
Russia’s foreign currency debt pile at risk of default
Sanctions could block coupon payments on $200bn of externally held foreign currency bonds
New GFXC chair aims to keep up reform on last look
SNB’s Andrea Maechler urges more liquidity providers and trading venues to address hold times
Liquidity risk rose at most CCPs in Q3
JSCC, CME, Ice and Eurex among those that revised their VM estimates
OCC member default fund contributions climb 11%
CCP's skin in the game up almost 5%
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
One NSCC member paid record $40bn to cover dues in Q3
The cash call was 141% larger than the previous quarter
Source of systemic risk varies by region
European, Canadian and UK banks are too big to fail because of their cross-border activities, Chinese and Japanese banks because of their size
Global banks grow systemic footprint
Nine out of the 12 G-Sib indicators increased in 2020