Ice Europe’s CDS unit hit by almost 1,000 IM breaches in Q1

Louie Woodall
07 Jul 2020

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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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