Clearing
Carney: Germany and France risk Brexit derivatives cliff edge
BoE governor says it is in EU countries’ “interest” to ensure full viability of financial contracts pre-Brexit
Two US dealers grow appetite for counterparty risk
JP Morgan sees risk weight of portfolio climb to 41.5%
CME-LCH basis collapses amid rates downturn
Brexit and recent LCH initial margin raise could also be factors
CurveGlobal and the curious case of the lost open interest
One-third short sterling plunge in open interest on CurveGlobal may signal more capital-sensitive times
Most active CDS users get biggest savings – research
CFTC economists see benefits to having many counterparties since move to Sef trading
UK banks added OTC notionals in 2018 as EU peers cut back
Barclays, HSBC, Lloyds, Standard Chartered increased notionals by almost €15 trillion
Splits emerge over ‘pre-cessation’ fallback triggers
CCPs say cleared swaps will move to new rates if Libor is no longer representative of markets
Swaps data: Fed’s change of tack on rates fuels volume rise
Cleared dollar rates jump by half year-on-year, as LCH market share tightens
Citi’s swaps clearing unit boosts client margin by $2bn
The largest FCM accounts for 27.1% of all required client margin
The great migration: CCPs ponder life after Span
As CME moves to a value-at-risk methodology, CCPs that license its model look on nervously
Derivatives up $4.9trn at HSBC in H1
Swollen portfolio could push bank into higher G-Sib surcharge bucket
LCH plans October 2020 SOFR discounting switch
Cash and basis swaps will reverse value transfer on US dollar derivatives
Funding and credit risk with locally elliptical portfolio processes: an application to central counterparties
In this paper, the authors extend the scaling approach of Andersen et al (2017a) from a model driven by Brownian motion to one driven by an arbitrary isotropic Lévy process.
SGX’s Koh defends clearing methods post-Nasdaq
Existing tools still work, despite external scrutiny on default management, says risk chief
As revamp begins, Deutsche’s RWAs for CVA fall
Credit valuation adjustment RWAs down 30% year-on-year
LCH tightens harness on market experts in defaults
CCP sets punctilious rules for loaned traders to be ready for defaults – or to pre-empt them
Swaptions face valuation hit on discounting switch
Move to new reference rates could hurt some swaptions holders, while others enjoy “windfall gain”
OCC on the hook for $4bn if member defaults
Clearing house’s liquidity resources hit $7.9 billion in Q1
Top CCPs’ liquidity pools hardly grow in Q1
LCH SA the only outlier as most clearing houses see cash, collateral and credit on hand shrink
Euro repo shift doubles LCH SA liquidity pool
Total liquidity resources jumped to €65.9 billion at end-March
Ice Clear Europe default fund contributions jump 21%
The clearing house reported 78 clearing members for futures and options division
At Ice Clear US, largest margin breach on record
The clearing house last reported a margin shortfall in Q2 2017
Quadruple witching triggers $1.5bn VM call at CME Clearing
Peak VM call was 56% bigger than the one in Q4 2018