Clearing

What’s next for EUREX-LCH basis ?

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‘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

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Compression in cleared Inflation Swaps

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Since 2016, uncleared margin rules have driven a steady rise in cleared inflation swaps open interest and CCP IM.  In July TriOptima announced their first cleared inflation swap compression run,  so let’s look at what data on cleared volumes in CCPView tells us. Inflation swaps in the context of overall IRD volumes Inflation swaps are a somewhat specialised corner of the IRD […]

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FIA and ISDA Respond to the CPMI-IOSCO Discussion Paper on CCP Default Management Auctions

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The Futures Industry Association (FIA) and the International Swaps and Derivatives Association (ISDA, the associations) welcome the efforts by CPMI and IOSCO on auction design, especially the extensive engagement with the industry including the two workshops held on this topic. The CPMI-IOSCO discussion paper on central counterparty default management auctions  (the discussion paper) accurately represents the views presented at these workshops, including some questions where different constituents of the industry do not agree.

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RFR Swaps and Futures Volumes July 2019

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We recently added an RFR view in CCPView to show volumes and open interest of Swaps and Futures that reference risk free rates (RFRs), covering SOFR, SONIA, SARON and AONIA. Lets look at what the data shows for July 2019 and prior months. SOFR Futures Showing July 2019 a new high at CME with $2.25 […]

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Final Response to Tiering and Comparable Compliance ESMA

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On 29 July,  FIA, ISDA and AFME responded to the ESMA consultations (i) draft technical advice on criteria for tiering under Article 25(2a) of EMIR 2.2; and (ii) Technical Advice on Comparable Compliance under article 25a EMIR.

Tiering
The response outlines that the indicators proposed by ESMA, that shall assist with the determination of whether a Third-County  CPP  (TC-CCP) is systemically important,  are so broad as to effectively preclude legal certainty and therefore ESMA’s technical advice would benefit from:

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CPMI-IOSCO Quantitative Disclosures 1Q 2019

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Clearing Houses 1Q 2019 CPMI-IOSCO Quantitative Disclosures are now available, so lets look at what the data shows, similar to my CCP Disclosures 4Q 2018 article. Summary: IM is up for IRS, CDS & ETD with YoY growth of 6%, 15%, 10% respectively Quarter-on-Quarter IM in CDS was flat ICE Europe F&O and ASX CLF IMs were […]

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Gresham Wins Major Contract with Global Clearing Services Provider

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Unique ability to manage cross asset international processing demands identified as key differentiator in £1.2M contract

Gresham Technologies plc, the leading software and services company that specialises in providing real-time data integrity and control solutions, announced today that it has signed a strategic contract with a leading global multi-asset class Clearing House.

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