Ice US incurs $644m hypothetical stress loss shortfall
Double-member default in worst-case scenario would have overwhelmed CCP’s default fund
On a single day in the first quarter, the hypothetical simultaneous default of Ice Clear US’s two largest clearing members would have triggered a stress loss of $1.7 billion – exceeding the clearing house’s prefunded default resources by $664.4 million.
The central counterparty (CCP) attributed the shortfall to an incorrect system configuration on one day in March, which has since been corrected.
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