Members of CME’s F&O unit added $950m to default fund in Q4
Market volatility triggered a $3.4bn peak initial margin call on one day during the last quarter of 2021
Members’ contributions to CME Clearing’s default funds for futures and options (F&O) rose 19% to $5.9 billion in Q4 2021, the highest level on record.
Risk Quantum understands changes to portfolio composition by the central counterparty’s (CCP) clearing members impacted the stress tests used to calibrate the required amount each quarter, which was revised upwards as a result.
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Over the same period, the CCP’s own prefunded contributions remained flat at $100 million.
The maximum
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