Clearing
Correlation breakdowns, spread positions and central counterparty margin models
The authors investigate correlation behavior during adverse market conditions and the potential impact on CCP margins, finding that such breakdowns appear to be more common than expected.
Citi, Barclays raise FCM target residual interest 28% in June
Backstop funds also marginally up as a proportion of required customer funds
Marex plots interest rate clearing push
UK broker is live on LCH and plans to be a “day one” clearing member on FMX
Eurex default fund reshuffle leaves members frustrated
Clearing members say concentration margin add-ons would be fairer than buffer on all portfolios
CME, FICC in talks to expand cross-margining to client accounts
New rules and account structures will be needed to allow cross-margining by non-members
Margin calls jumped threefold as global markets sold off
FCMs claim no client defaults, but episode revives complaints of procyclical margining
Barclays overtakes BofA on client margin for swaps
July figures make FCM fifth-largest by total margin in the US
Déjà vu for common domain model
Piecemeal progress on ambitious derivatives data standard raises questions over business case
Six CCPs fail to cover concentration risk in Esma stress test
Largest shortfalls modelled in commodity derivatives segment, led by Ice Clear Europe ECC
CME launches term SOFR curve as clearing talks ebb
Give-and-get pricing tool addresses pressing transparency need in $2.5 trillion swaps market
DCOs show resilience beyond key default thresholds – CFTC
Reverse stress test reveals clearing houses remain resilient under low to moderate market shocks
Ace high or busted flush? Digital Asset and the big bet on DLT
Blockchain pioneer’s bumpy journey raises questions over future of distributed ledger technology in finance
CCPs vulnerable from reverse repo investments – Esma
European watchdog flags risks of uncovered exposure during liquidity stress event
Ice postpones migration to VAR in bid to improve offsets
Clearing house will move on freight products before energy, as users fret over margin spikes
Five battle for euro swaps clearing
Nasdaq aims to be regional hub, while BME seeks broader slice of ‘active accounts’ pie
RJ O’Brien plots expansion into US Treasury clearing
Chairman and CEO says futures house plans to capitalise on SEC’s new mandate for interdealer trades
Clearing members cry foul over restrictive FICC rule change
Draft interpreted as attempt to obstruct rival clearing houses entering US Treasuries market
Ice Europe’s liquid resources up 27% under new model
More comprehensive stress-testing model pushes highly marketable collateral to record high in Q1
Is JSCC-CFTC stalemate about to be broken?
Japan CCP gains allies in battle to clear yen swaps for US clients, but CFTC shakeup could dash hopes
Default funds at CME, JSCC and OCC grew to record levels in Q1
CCPs’ skin in the game fails to keep pace with member contributions
Open position concentration hits record high at top CCPs
LCH, Nasdaq and Eurex report biggest quarterly jumps among 16 clearing houses
JSCC’s initial margin soared as Japan’s stock market hit record high
Higher demand for exchange-traded products pushed requirements up in Q1
FCM-style client clearing comes to Europe
Eurex and LCH among CCPs ready to adopt new agency model aimed at easing bank capital
JSCC, ASX see hypothetical stress loss breaches in Q1
Single-member default in worst-case scenario would have exceeded available resources