# Credit data: a sharp turning point in CCP credit risk

## The credit risk of CCPs is worsening, even as margin requirements rise, writes David Carruthers

For anyone who shudders at the mere thought of a clearing house failure, the latest bank-sourced data from Credit Benchmark could make for uncomfortable reading.

After improving by more than 5% from November 2017 to September 2019, the credit risk of 30 central counterparties (CCPs) reversed sharply at the end of last year. The 2.6% deterioration seen in October and November was the worst in two years, and compares with a drop of less than 2% following the default of power trader Einar Aas at Nasdaq Clearing in September 2018.

The sudden shift in sentiment defies easy explanation. CCPs have made a concerted effort to improve their risk management since the Nasdaq default, resulting in higher margin requirements and deeper liquidity buffers.

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The week on Risk.net, March 21–27, 2020