In 2018, Ice Clear Europe’s futures and options division reported its highest number of initial margin breaches since public disclosure began.
The central counterparty (CCP) disclosed 84 such breaches in 2018. This compares with nine in 2017, 28 in 2016 and six in 2015.
The average size of the 2018 margin breaches was $38 million, up from $11 million in 2017. In 2015 and 2016, margin breaches averaged $1.5 million and $3 million in size, respectively.
The single-largest margin breach posted