Risk Quantum/Ice Clear Credit
Ice Credit makes biggest IM call since early pandemic
Aggregate peak calls were 17% higher in Q1 than previous quarter across 25 clearing houses
CCPs shun central banks in liquidity buffers rejig
LCH, Ice US and CME lead the way towards commercial banks
Initial margin requirements for IR swaps hit record $325bn
CME, Eurex and LCH report aggregate 10% rise in month marred by most severe crisis since 2008
Ice Clear Credit worst-case liquidity scenario worsens by half
Estimated largest payment obligation at highest ever level in euros in Q4 2022
CCP ‘skin in the game’ still dwarfed by member contributions
Even as markets churned in 2022, clearing houses coughed up only 2% of funds at end-September – the same as the previous year
Commercial bank cash grows more popular for initial margin
Shift driven by Ice Europe as CCPs diverge on preferred type of collateral
EU and UK CCPs dominated by foreign members
Non-domestic clearing members accounted for over 70% of LCH’s and Eurex’s pool in Q3
RepoClear’s concentration risks see highest rate of increase
LCH's cash bond and repo trade-clearing service has steepest slope of IM and open positions over 2016–22
CCPs’ largest members account for almost half IM
Analysis of 30 clearing services shows wide dispersion in concentration risk – with LCH and JSCC leading the pack
Ice Credit’s required initial margin up 18% in Q2
CCP reported highest level on record, superseding Covid-19-induced peak
Ice Clear Europe boosts liquidity buffer by 77%
More than half of the CCP’s loss-absorbing funds is now deposited in central bank balances
Liquidity risk up 163% at Ice Clear Credit in Q4
Rate hike expectations led to the highest level on record of contributions to the CCP’s default fund