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.

  //

 

Over the same period, the CCP’s own prefunded contributions remained flat at $100 million.

The maximum

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 [email protected] or view our subscription options here: http://subscriptions.risk.net/subscribe

You are currently unable to copy this content. Please contact [email protected] to find out more.

Sorry, our subscription options are not loading right now

Please try again later. Get in touch with our customer services team if this issue persists.

New to Risk.net? View our subscription options

If you already have an account, please sign in here.

To continue reading...

You need to sign in to use this feature. If you don’t have a Risk.net account, please register for a trial.

Sign in
You are currently on corporate access.

To use this feature you will need an individual account. If you have one already please sign in.

Sign in.

Alternatively you can request an individual account here: