Ice Clear Credit member default fund contributions climb 6%

Total pre-funded required participant payments hit a record high in Q2

Members’ contributions to Ice Clear Credit’s default fund rose 6% in the second quarter of the year to their highest level since public disclosures began in the third quarter of 2015.

Total pre-funded required participant payments to the default fund of Ice’s credit default swap (CDS) clearing unit stood at $3.3 billion, with members asked to pour an additional $175 million over the three months to end-June.



Ice Clear Credit’s own aggregate pre-funded contributions to its default funds was flat at $50 million, the same level it has been since 2015.

Quarter on quarter, the central counterparty (CCP) saw the size of its liquidity pool shrink by 12%, with holdings of cash stashed at the Federal Reserve down 14%.

Ice Clear Credit reported 12 clearing members at the end of Q2, the same number it had the previous quarter.

What is it?

The public disclosure templates put together by the Committee on Payments and Market Infrastructures and the International Organization of Securities Commissions require central counterparties to report quantitative data on their credit and liquidity management on a quarterly basis.

This includes the amount and origins of the funds used to protect them from the implosion of the largest, or the two largest, members on their roster. These default funds are furnished by contributions made by the clearing house itself, as well as clearing members, and consist of pre-funded and committed resources.

Why it matters

Ice Clear Credit did not provide commentary on the fluctuation of required participant payments to its default fund, but it’s possible the surge was linked to an increase in clearing activity.

If the CCP was warehousing more risk in Q2, it makes sense it would require its members to increase their contributions. Changes in the scenarios and data inputs used to generate internal risk assessments could also have played a role in triggering the spike.

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