Initial margin at Ice CCPs surged over 2020
Required IM at Ice Clear US increased 42% year on year
Required initial margin (IM) held by Ice Clear Credit (ICC), Ice Clear US (ICUS) and Ice Clear Europe (ICEU) at end-2020 was almost 25% higher than a year ago, but far below its mid-year peak, disclosures show.
Required IM at ICC ended 2020 at $44 billion, up 26% on end-2019 but down 13% from its Q1 peak. Total IM, including amounts surplus to minimum requirements, came to $44.5 billion. Of this, 64% was held in cash at ICC’s central bank.
At Ice Clear US, required IM amounted to $26.6 billion
Only users who have a paid subscription or are part of a corporate subscription are able to print or copy content.
To access these options, along with all other subscription benefits, please contact info@risk.net or view our subscription options here: http://subscriptions.risk.net/subscribe
You are currently unable to print this content. Please contact info@risk.net to find out more.
You are currently unable to copy this content. Please contact info@risk.net to find out more.
Copyright Infopro Digital Limited. All rights reserved.
As outlined in our terms and conditions, https://www.infopro-digital.com/terms-and-conditions/subscriptions/ (point 2.4), printing is limited to a single copy.
If you would like to purchase additional rights please email info@risk.net
Copyright Infopro Digital Limited. All rights reserved.
You may share this content using our article tools. As outlined in our terms and conditions, https://www.infopro-digital.com/terms-and-conditions/subscriptions/ (clause 2.4), an Authorised User may only make one copy of the materials for their own personal use. You must also comply with the restrictions in clause 2.5.
If you would like to purchase additional rights please email info@risk.net
More on Risk Quantum
Estimated stressed losses rise at OCC, LCH and JSCC
New stress scenario boosts worst-case loss at Options Clearing Corporation by half
TD Bank’s annual op loss tab surges 144% amid AML settlement
US plea deal drives bank’s op RWAs to record C$120 billion
Initial margin requirements hit record highs at major CCPs
Tumultuous third quarter sees $94bn surge across 14 CCPs
Junk-rated CDS clearing rates slid in H1 2024
Shift away from CCPs concentrated in sub-investment grade multi-name products
Default and credit spread risks drive Canadian banks’ FRTB charges
New Basel III disclosures give first glimpse into market risk mix after internal models retirement
SGX suffered five-hour op failure from CrowdStrike outage
First major service disruption at CCP’s Central Depository service in nine years
RBC’s CVA risk charges swell 42% in first year under FRTB
Bloating RWAs contrast with declines at peers employing new standardised approach
Margin breaches skyrocket at JSCC amid market volatility
August turmoil led to record initial margin shortfalls at six clearing divisions
