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In January, $222.7 billion of swaps linked to the secured overnight funding rate (SOFR) changed hands, the highest notional volume on record, surpassing last October’s total by more than $5 billion.
The majority of SOFR-linked instruments traded last month were swaps covering the basis between SOFR and other floating rates, like Libor. Overnight index swaps (OIS) were the second-most traded, followed by SOFR cap and floor products.
Basis swaps saw particularly active trading, with volumes of
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Only five of the 10 top central counterparties (CCPs) assessed by
Risk Quantum invest cash received from their clearing members into securities. Of these, three downsized their portfolios over the 12 months to end-September.
LCH Ltd, LCH SA, Ice Clear Europe, Ice Clear US and the futures and options unit of CME all disclosed that some amount of cash received as initial margin or default fund contribution from their members was invested as of Q3. LCH Ltd had the largest share of received cash
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At most leading central counterparties (CCPs), the amount of own capital they put on the line to cover losses in the event of a clearing members’ default is vanishingly small relative to that contributed by participants.
On average, CCP own funds made up a little less than 4% of prefunded default fund resources as of Q3.
Risk Quantum assessed data disclosed for 23 default funds across 10 top CCPs.
The Fixed Income Clearing Corporation (FICC) had the lowest amount of skin in the game (SITG) as
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