LCH
SOFR trading tails off after ‘big bang’ boost
Volumes peak, then slow down on CCPs’ shift to new RFR, but remain above 2020 averages
CCP discount switch drives record SOFR swap volumes
Historic move off fed funds discounting leads to trading surge
CCP liquidity risks varied in Q2
Most clearing services said their estimated largest payment obligations fell quarter-on-quarter
CCPs mull ‘big bang’ €STR swap conversion
A co-ordinated transition of Eonia contracts is being discussed with members and end-users
Initial margin held by top CCPs declined over Q2
Cash collateral held at central banks down 23% across top CCPs
Citi turns to fintech to boost FCM interest income
Clearing giant is optimising its treasury function to combat low rates and CCP fee hikes
‘Big bang’ sends basis swaps on roller-coaster ride
Secrecy at CME is contributing to volatility ahead of next week’s switch to SOFR discounting
Solid foundations – Bridging the transition gap
Phil Whitehurst, head of service development, rates, SwapClear at LCH, explores the potential parallels between forward-looking term Sonia rates and term SOFR rates. He presents his thoughts on the recent announcement of increased powers for the…
Sovereign bond IM increases at LCH Ltd
Margin held in own sovereign debt up 50% year-on-year
Hammer time? Clearers mull co-operation on default auctions
Some CCPs are mooting joint auctions to resolve large defaults – but critics deem them unworkable
Libor webinar playback: spotlight on euros
Panellists from ECB, LCH, Natixis and Societe Generale discuss struggling liquidity in €STR
ECB’s Holthausen urges market to ditch Eonia
Regulator sees risk in relying on fallbacks to effect switch to €STR – and calls on dealers to educate clients
SOFR basis tightens on ‘big bang’ auction disclosure
Indicative auction portfolio unveiled by LCH shows discount risk heavily skewed to liquid end of curve
CCP discounting big bang: convexity adjustment
The collateral transition to SOFR will create convexity adjustments that need to be modelled
Accounting rules snare insurers in SOFR discounting switch
Re-couponing swaps to reduce discount risk could have adverse accounting consequences for insurers
EU CCPs expand overseas footprint
Thirteen per cent of EU CCP clearing members are from outside the EU
SOFR discounting: CCPs prepare for make or break auctions
Deluge of one-way risk and kinks in basis swap auctions could derail Libor transition milestone
Clearing house of the year: LCH
Asia Risk Awards 2020
LCH to accept Sing dollar bonds as collateral
Singapore’s banks hope move will ease margin funding burdens, and speed direct membership
Asia Risk Awards 2020: The winners
Winners of the Asia Risk Awards and Technology Awards
Imperfect balance? Clearers weigh EU’s CCP resolution tools
Potential levels of loss mutualisation under EU rules are unnerving some clearing members
Goldman signs up as NDF client clearer at LCH
US bank expecting jump in cleared trades when initial margin rules hit buy side
EU hands CCP members a narrow win on skin in the game
Clearing members could use the final rules to push for higher CCP capital globally
SOFR basis blows out amid CCP discounting changes
Rate cuts may have exacerbated discount risk as basis swap opt-outs move deeply in-the-money