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April 17, 2014

Weekly Roundup | Clearing, Collateral & Risk Management | 16 April 2014

Clearing

Eurex Takes Aim at SwapClear in Clearing Cost Study

German CCP says cross-product clearing makes it less risky than the competition, resulting in a smaller default fund and lower capital costs for members. But banks are divided on those claims.

 

Eurex Clearing Annex to the German Clearing Master Agreement

With our EurexOTC Clear service for interest rate swaps continuing to receive strong support from the buy and sell side alike we would like to inform our Clearing Members and their customers about the options they have with Eurex Clearing when choosing their client clearing documentation. Eurex: Eurex Clearing Annex to the German Clearing Master Agreement.

 

Eurex Clearing Publishes Study on Capital Efficiencies of Central Clearing

Quantitative analysis of clearing economics under the new capital rules/Results show significant cost benefits of an integrated cross-product CCP like Eurex Clearing. Eurex: Eurex Clearing Publishes Study on Capital Efficiencies of Central Clearing.

 

Eurex Clearing Receives EMIR Authorisation

Eurex Clearing, Europe’s leading clearing house, announced today that its national competent authority BaFin (Federal Financial Supervisory Authority) has approved its application as a clearing house in accordance with the European Market Infrastructure Regulation (EMIR).

 

European CCP Authorisation Score Sheet

Progress in authorising CCPs has moved on another step to make four now. The official announcement came from BaFIN and isn't on the ESMA website yet, but Eurex were proud to acknowledge the event. The OTC Space: European CCP Authorisation Score Sheet.

 

What is the End User Cost Impact of New Regulations on OTC Products? | Billions

Deloitte has a team called the Centre for Regulatory Strategy which has done something interesting, calculating the incremental cost of the new regulations on cleared and non-cleared OTC products. The OTC Space: What is the End User Cost Impact of New Regulations on OTC Products? | Billions.

 

Crowded Trades a Risk in Clearing Houses

Are clearing houses overlooking the risks around crowded trades? A new academic paper suggests investors’ positions are far more exposed in turbulent markets than they realise. FT: Crowded Trades a Risk in Clearing Houses.

 

ESMA Adds KDPW_CCP to List of Authorised CCPs under EMIR

The European Securities and Markets Authority (ESMA) has updated its list of Central Counterparties (CCPs) that have been authorised to offer services and activities in the Union in accordance with the European Markets Infrastructure Regulation EMIR (EMIR).

 

UniCredit's Mustier ‘Frightened’ by CCP Capital Levels

Italian bank's head of investment banking says he is worried by the low capital levels at Eurex and LCH.Clearnet, and suggests CCPs should not be for-profit entities. Clearing members are also pushing CCPs to boost their capital. Risk: UniCredit's Mustier ‘Frightened’ by CCP Capital Levels.

 

ICE Clear to Introduce Clearing of European Sovereign CDS Instruments

IntercontinentalExchange Group said ICE Clear Europe will introduce clearing for Western European Sovereign Credit Default Swaps (CDS) on April 28, 2014, following receipt of regulatory approval. ISS-MAG: ICE Clear to Introduce Clearing of European Sovereign CDS Instruments.

 

Barclay's Harrison Calls for Phased Start to Clearing in Europe

European authorities urged to learn from the successful roll-out of clearing in the US, by phasing compliance – and possibly also giving Esma the power to postpone start dates. Risk: Barclay's Harrison Calls for Phased Start to Clearing in Europe.

 

 

Collateral Management

Are There Giant CCP Buy Side Margin Calls Coming? Some Contrary Evidence.

Is the talk of enormous collateral needs — and an impeding collateral shortage — based on reality? We are starting to wonder…and have some interesting numbers to look at. Securities Finance Monitor: Are There Giant CCP Buy Side Margin Calls Coming? Some Contrary Evidence.

 

Frankel: New QIS Needed to Avoid Pro-cyclical Margin

Incoming margin rules for non-cleared swaps could be pro-cyclical – and a new QIS will be needed to ensure the regime is not dangerous, says Goldman's head of derivatives risk. Risk: Frankel: New QIS Needed to Avoid Pro-cyclical Margin.

 

 

Risk Management

Models Could Lose Appeal Under New Trading Book Rules

Panellists expect capital and complexity to jump under revised trading book regime, removing the incentive to obtain modelling approval. Risk: Models Could Lose Appeal under New Trading Book Rules.

 

Capital Standard for Bank Exposures to Central Counterparties Finalised by the Basel Committee

The Basel Committee has today published a final standard for calculating regulatory capital for banks' exposures to central counterparties (CCPs). BIS: Capital Standard for Bank Exposures to Central Counterparties Finalised by the Basel Committee.

 

Buy Side May Need ‘Persuasion’ to Give Up Termination Rights

Counterparties that refuse to give up their rights could be subjected to “moral and regulatory persuasion”, says Bafin president, Elke König. Risk: Buy Side May Need ‘Persuasion’ to Give Up Termination Rights.

 

Supervisory Framework for Measuring and Controlling Large Exposures – Final Standard

This Basel Committee on Banking Supervision standard sets out a supervisory framework for measuring and controlling large exposures.

 

 


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