A post-trade trial between Credit Suisse and Nomura indicates the future for equities clearing, if blockchain technology can be scaled to meet the needs of a global equities market. Gillian Tett from the FT explains more.
Incentives are at the heart of CCP’s robust risk management. Our newly published paper delves into the key CCP concept of skin-in-the-game (SIG), considers its purpose as an incentive for CCPs’ risk management, analyse SIG requirements across different jurisdictions and compares it to the rest of the default management resources available at CCPs to deal with market stresses.
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.