

Ice Europe’s CDS unit hit by almost 1,000 IM breaches in Q1
Wild market swings in the first quarter overwhelmed the initial margin (IM) model used by Ice Clear Europe’s credit default swaps (CDS) entity, leading to 967 backtesting breaches – incidents where the IM in a client account understated the clearing house’s mark-to-market exposure.
It was the first quarter in which the service suffered a margin shortfall going back to Q1 2016, when it incurred a single breach. Risk Quantum understands the margin shortfalls were concentrated among small client
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