International Organization of Securities Commissions (Iosco)
Top clearing houses bolstered default funds over Q1
NSCC reported its guaranty resources grew 231%
Initial margin models of top CCPs slipped in Q1
Achieved coverage levels declined quarter-on-quarter
DTCC’s mortgage unit hit by $1.5bn margin breach in Q1
A large, directional portfolio $100 billion in size was to blame
OCC made $32bn initial margin call in Q1
Clearing house reported peak margin breach of $273 million
Fourteen margin breaches at CME’s swap unit in Q1
The peak breach was almost $80 million in size
CFTC advisory body backs six-month initial margin ‘grace period’
Majority vote to recommend extra six-month extension for phases five and six of initial margin rules
Delay to IM calculation window leaves some exasperated
“Hasty” decision by global rule-makers frustrates firms that had already started initial margin prep
How regional banks could shape US Libor replacement
Regulators convene working group to address credit sensitivity concerns
Entering 2020, most CCPs had bigger default funds than a year ago
Majority of back-up funds to handle member defaults saw more pre-funded resources flow in
Industry calls for suspension of IM compliance dates
Associations warn phase five deadline may no longer be possible for hundreds of buy-side firms amid Covid-19 disruption
Margin exchange threshold relief: get out of jail free?
‘Game-changing’ IM exchange threshold relief may not be the phase five free pass it first appears
Fast-track SOFR term rate, says JP Morgan’s Pluta
Traders divided on whether liquidity in SOFR futures is sufficient to support a forward rate
Custody battle: competing tensions put IM prep in jeopardy
Conflicting custody interests and delayed docs call IM phase five readiness into question
Top five clearing members dominate CCPs
Thirteen of 25 clearing services surveyed have 50% or more open positions in hands of top five members
At CCPs, sovereign bonds are top IM collateral
Government debt makes up 48% of IM on average among top clearing houses
Inside top CCPs’ default funds
Central banks favoured by CCPs to hold default resources
European CCPs home to 241 non-bank clearing members
Majority of non-financial counterparties are energy and power firms
Volume pop leads to higher IM at Ice Clear Europe CDS
Open interest in CDX contracts increased 78% in first nine months of 2019
At CME, required IM up 18% in Q3
Surge follows busy August and September for the swaps clearing business
OCC member default fund contributions up $1bn in Q3
Peak initial margin call was $9.9 billion in Q3
Eurex: from EQD clearing specialist to all-rounder
Initial margin for equity derivatives makes up 41% of total, down from 63% four years prior
Compounded rate out of favour, finds Japan survey
Users prefer forward-looking term rate to replace yen Libor, but dealers bemoan “lack of understanding”
Banks warn of trader crunch at CCP default auctions
Risk USA: dealers hope for more cross-CCP fire drills
Buy side continues with IM prep despite delays
Firms looking at custodian types, docs and trading strategies to optimise margin