Fixed Income Clearing Corporation (FICC)
How repo roll risk could spoil US Treasury basis trade
Financing worries emerge as popular trade becomes increasingly reliant on overnight repo
Market ‘not ready’ for US Treasuries clearing mandate
“Client clearing for Treasuries doesn’t really exist,” says Barclays exec, while DTCC points to gaps in market awareness
Members’ contributions to MBSD’s default fund up 11%
CCP’s skin in the game also up slightly, pushing aggregate amount to highest since Q1 2022
Iosco takes aim at pre-hedging with new probe
Global standard-setter intends to release results of review in third quarter of 2024
Overboard: ditching clients imperils Treasuries clearing mandate
Standardised docs a drop in the ocean as dealers eye potential costs of sponsored Treasuries clearing
Peak IM call hits record $4.8bn at FICC’s GSD
Required IM also rose to all-time high during volatile Q1
FICC’s liquidity pool $3.8bn short of payment obligation
Clearing unit for MBSs incurred first shortfall on record in January
Soft inflation print triggers initial margin breaches at FICC
Clearing units for MBSs and government securities hit by backtesting deficiencies as coverage levels dip
EU and UK CCPs dominated by foreign members
Non-domestic clearing members accounted for over 70% of LCH’s and Eurex’s pool in Q3
CCPs’ largest members account for almost half IM
Analysis of 30 clearing services shows wide dispersion in concentration risk – with LCH and JSCC leading the pack
Fed hike behind $682m and $460m breaches at FICC
Clearing units for MBS and government securities hit by backtesting deficiencies on September 21
Relative value trades face Treasury clearing squeeze
SEC’s clearing proposals may hurt levered basis trades and worsen illiquidity in off-the-run bonds
$899m margin breach at FICC’s mortgage unit
Three-day move in TBA prices on June 9 triggered second-highest backtesting deficiency to date
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
‘Very little support’ for a US Treasury clearing mandate – Isda
Dealers and clients prefer carrot to stick in efforts to improve Treasury market liquidity
Late EU clearing house recognition spooks dealers
Bank capital requirements on exposures to affected foreign CCPs could jump after June 28 deadline
Peak IM calls at FICC leapt 13% in Q4
Number of margin breaches at the central counterparty’s GSD also edged higher, as some members increase exposures after margin calculations
Ex-regulators urge tougher rules for non-banks in UST markets
Mandatory clearing and standing repo facility fees could cut risk of liquidity stress
Industry relief as US keeps leverage ratio reform on the table
Risk USA: Market participants welcome Treasury market report, which includes possible SLR changes
FICC calls for rehypothecation relief to scale US Treasuries clearing
Current prohibition on margin re-use penalises sponsored clearing of cash instruments
Don’t bank on it: Fed urged to widen access to new repo facility
Central clearing of SRF’s repos and less unease over its use could also buoy glitchy Treasury market
Ex-regulators back PTFs’ call to reform Treasuries clearing
G30 proposal comes just weeks after PTFs requested improvements to Ficc sponsored clearing
CME, FICC to overhaul Treasury market margining
Clearers eye deal to dramatically improve cross-margin savings, aim to extend offsets to end-users