Clearing

News Feed

16 Aug 2019 — Liam Huxley Feed

‘How the mighty have fallen’

This statement can be aptly applied to the long-end EUREX-LCH basis on the EUR curve which has seen the 30y point on curve fall from around 3.5bps in March 2018, to almost flat earlier this year and now quotes below zero recently

+0
9 Views
24 Jan 2019 — ISDA Feed

Welcome to 2019 - The OTC Space has been busy with other projects, but I couldn't miss passing on this one from ISDA. Does anyone else find it interesting that ISDA has taken on the role of reminding CCPs how to do their job properly?

I would think regulators themselves should be reminding CCPs of these sensible guidelines. Given the flood of clearing regulations, is there some doubt that CCPs can do their job?

+0
2 Views
30 Sep 2018 — Financial Times | Clearing and Settlement Feed

Rising concern among executives about access to clearing houses after Brexit


Bill: Epic consequences for UK CCPs in late November or early December if there is no Brexit deal enabling clearing into the UK. Worth a read.

+0
1 View
26 Sep 2018 — ClarusFT Feed

What could cause a Rates CCP to lose €100m from the Default Fund? We look at 10y IRS in NOK vs SEK. We find that liquidity add-ons prevent very large positions from being under-margined. Nevertheless, we present a scenario that causes a €74m loss. And then we explain why we really shouldn’t worry about it! […]

+0
1 View
19 Sep 2018 — ClarusFT Feed

Last week’s default at Nasdaq Clearing in the power market, generated a lot of press, both because member defaults are few and far between events at CCPs and the fact that it coincided with the ten year anniversary of the Lehman’s bankruptcy. There are few analogies that we can draw between the two events; the […]

+0
1 View
31 Aug 2018 — ISDA Feed

ISDA has published a response to the European Securities and Markets Authority’s consultation on extending... Read more ISDA Responds to ESMA Consultation on Clearing Obligation

+0
1 View
03 Aug 2018 — ESMA Feed

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:

+0
1 View
12 Jun 2018 — Financial Times | Clearing and Settlement Feed

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

+0
1 View
20 Feb 2018 — ClarusFT Feed

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.

+0
1 View
13 Feb 2018 — OpenGamma Feed

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.

+0
1 View
07 Feb 2018 — ClarusFT Feed

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)

+0
1 View