The CCP price: users fear modelling mishaps

The CCP price

Kim Taylor

When people talk casually about the price of a derivative, it’s not always clear what they mean – it could be what they think the price should be, it could be the bid or the offer, or a mid-point aggregation of market quotes. But for products that have to be cleared by a central counterparty (CCP), one price trumps the rest – the CCP price.

This value sets how much initial and variation margin needs to be paid, the amount a member firm has to sink into the CCP’s default fund, and, by extension,

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