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Clearing

Consultation Paper no.6 on the Clearing Obligation under EMIR

A very long paper which in short asks: Should the exemptions from the Clearing Obligation for a third-country entity which is part of a consolidated group based in the EU, be extended? The answer is almost certainly Yes, but I'll allow you to submit your own feedback.

Excerpt:

Two big UK banks shift some euro clearing from London to Frankfurt

Without giving away the story in the FT - it seems that the Eurex scheme to provide incentives to clear Swaps in Frankfurt is beginning to bear fruit. Subscription needed, follow the link below.

Shift gives Germany’s Deutsche Börse larger foothold in the euro clearing market

FIA IDX 2018

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Get on down to the FIA IDX show in London, amongst the biggest capital markets events in the year. OTC Space and Brandex Publishing will be there, come and chat about our future plans.

ISDA AGM Round-Up - 8 Announcements with a Focus on Margin

The ISDA AGM generated a wave of content last week which we've assembled into one handy place. Most of the material is focussed on margin for non-cleared products given the changes due in 2019.

The real cost of clearing

The costs of clearing come from many drivers, John explains when a porfolio meets a threshold for IM optimisation and options for bringing cost down.

ICYMI: Save a Million on Clearing Costs Webinar

Feedback from early registrations is that funding IM, CCP fees and operational costs are a concern. Join us to find out how to manage down all of those drivers.

Swaps Data: the monopoly effect in clearing

My Monthly Swaps Data Review for Risk Magazine was published this week. This looks at 2017 CCP Volumes for: Interest Rate Swaps, in major and minor currencies Credit Derivatives, index and single-name Non-Deliverable Forwards It shows the dominance of one global CCP in each asset class and significant share by other CCPs in a specific […]

Free access to the full article on Risk.net is via the link on the ClarusFT page.

What happens to my exchange traded derivatives (ETD) margin when there’s a big market move?

When asking most traders this question, the common assumption is ‘a large increase in margin.’

However, the impact of market moves on margin depends upon the type of margin; Initial Margin or Variation Margin. Each are impacted by large market moves differently.

Almost all ETD CCPs use the SPAN (or a SPAN like) methodology for margin calculations. The one exception to this is Eurex that has switched to use a VaR based methodology.

Is Eurex Gaining Share in IRS Clearing?

Reading Philip Stafford’s recent article in the Financial Times, Deutsche Borse makes ground in UK derivatives push, I was struck by the paragraph: Seven times! Impressive, indeed. Is this the start of a ratcheting up in Eurex volumes and gain in market share vs LCH SwapClear? Lets look at what the data shows in detail. EUR […]


(An early valentines note for for Ricky and Byron)

ESMA publishes results of the second EU-wide CCP stress test

This paper produces the most detailed analysis I've seen of the state of CCPs and their ability to resist market stress conditions. It also provides an insight into the relative size and strength of global CCPs using a variety of data.  The overall conclusion is that CCPs are 'safe' but looking at the anonymised concentration risk charts it is evident that some banks are significant in their inter-connnectedness to the network of CCPs and therefore their impact in a default scenario.

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