Liquidity risk up 163% at Ice Clear Credit in Q4
Rate hike expectations led to the highest level on record of contributions to the CCP’s default fund
Changes to the risk profile of a number of Ice Clear Credit’s clients prompted the central counterparty (CCP) to revise its estimate of the worst-case payment obligation that would have to be met should one of its participants collapse.
The projected largest multi-day payment obligation was set at $1.7 billion in Q4, up 163% quarter on quarter and at its highest level since Q3 2020. The largest variation margin call Ice Clear Credit made in the quarter stood at $438 million, up 38% from Q2.
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