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LCH has cleared the first Israeli Shekel-denominated interest rate swaps.
ILS is the latest currency to be cleared at SwapClear, which offers clearing for interest rate derivatives in 27 currencies. Clearing brokers supporting ILS include Citi, Goldman Sachs, HSBC and J.P. Morgan.
ISDA has published a paper illustrating the wide variety of terms in cleared IRS. ISDA suggest that there may be a perception that by mandating clearing for OTC products they have become 'standard' rather than their variable nature in the wild. Those of us on the inside of the market know this not to be the case, but just to prove a point, ISDA and DTCC have assembled the data to show how variable cleared OTC IRS can be.
Quantile has completed its first cleared interest rate initial margin (IM) optimisation run with LCH. Clients accessing this new service benefit from superior risk management and reduced margin funding costs, increasing the efficiency and liquidity of derivatives markets.
The BIS have conducated a rigorous study using public metrics to look for a relationship between the amount of CCP capital at risk in the default waterfall, and the behaviour of CCP risk models. I won't spoil the surprise on the outcome, but this appears to be the first quantitative study into the possibility that if a CCP is likely to lose money, they operate more conservative risk models.
The paper covers:
Since 2005 the Monetary Authority of Singapore has been publishing the SORA benchmark each day. The Singapore Overnight Rate Average (SORA) is the volume-weighted average rate of unsecured overnight interbank SGD transactions in Singapore between 9:00 am and 6:15 pm.
Learn more about how European CCPs have adapted to the COVID-19 pandemic via the EACH resource page
RBC becomes the first Canadian bank to join the cleared repo platform
LCH provides assurance on their continuity during the Pandemic
Eurex can now offer clearing services onshore in Japan.
Growth in all LCH business lines and record results from the UK clearing business.
Cboe Global Markets has entered into an agreement to acquire EuroCCP, for an undisclosed amount. The transaction is expected to close in the first half of 2020 subject to regulatory approval.
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The World Federation of Exchanges (“WFE”), the global industry group for exchanges and central counterparties (CCPs), has published a joint report with Oliver Wyman examining the post-crisis developments that have shaped the current clearing landscape, along with forward-looking recommendations on how to build the CCP of the future.