Counterparty
US MMFs clear record one-third of repos via FICC
Trades executed through sponsored access hit a $865 billion high at end-2024
The post-Archegos risk model rebuild begins… slowly
Following regulatory prodding, banks start to overhaul counterparty risk models. A flurry of new research on the topic may aid the effort
No end of peer-to-peer demand for securities financing
After Archegos, buy side turns to fellow asset managers for diversity and liquidity in securities financing and repo
FX HedgePool extends credit intermediation beyond FX swaps
New service lets buy side trade spot and forwards with LPs without prior credit ties, including non-banks
Data reveals hidden clockwork of FX forwards market
More than 70% of Vanguard’s volumes and nearly half of Pimco’s regularly occur on just four calendar days
Liquidity risk hits five-year high at LCH
Higher settlement obligations at Paris-based RepoClear blamed for €9bn spike
Weighting for leverage
A credit exposure model for leveraged collateralised counterparties is presented
Cleared rate for CDSs dropped in H2 2023
Record five-percentage point decline driven by multi-name contracts
Ice Europe’s liquidity risk at record high in Q4
Estimated largest payment obligation in euros more than double previous quarter’s figure
Nasdaq liquidity risk jumps 15% on increased settlement flows
Maximum amount owed to CCP by single member in stress scenario rises in Q4
Canada’s top dealers boost derivatives clearing as FRTB kicks in
BMO, RBC and TD Bank cleared record C$45.1 trillion in notionals in Q1
Dynamic margining long/short equity trading strategies
A repo haircut model extends a previous solution for long-only strategies
Cleared US repos hit record high as MMFs wean off Fed
Deflating tri-party volumes coincide with FICC DVP trades’ climb to $2tn
SA-CCR charges double at OCBC in Q3
Singaporean bank’s counterparty credit risk up 28% to multi-year high
Leveraged wrong-way risk
A model to assess the exposure to leveraged and collateralised counterparties is presented
Europe looks to US for guidance as market braces for T+1
Operations professionals in Europe look across the pond for lessons in managing shorter settlement cycles
BNP Paribas is biggest fish in shrinking repo pond
Counterparty Radar: US retail funds cut their repo exposure in Q2 to the lowest level since 2020
US insurers take different paths to hedge FX
Counterparty Radar: Maturity and size of FX forwards trades vary significantly between firms
Crypto ECNs aim to offer alternative to Clobs
CrossX and Cypator bring ECN-style trading and settlement to crypto, but rivals claim infrastructure isn’t ready
Liquidity risk hits multi-year highs at both CME divisions
Changes to clearing member exposures and portfolio composition drive increases
Rate of cleared OTC derivatives rises at European banks
Swedbank leads dealers in secular trend towards clearing space