Default fund contribution
NSCC hit by $1.06bn margin breach
In total, the DTCC division reported 96 margin breaches at end-March 2021
No clearing sweeteners for European SSAs, argue dealers
As public entities eye CCP membership, dealers warn of heightened risk exposure from support waivers
Initial margin at Ice CCPs surged over 2020
Required IM at Ice Clear US increased 42% year on year
Eurex switches default fund calculation
As whipsawing markets see contributions balloon, CCP will now base charges on stress loss method
At CME, required IM increased over one-third in 2020
IM for futures and options hit $152.3 billion at end-December
Skin in the game of top CCPs varies
The average default fund has less than 4% of total resources contributed by the host CCP itself
JSCC increases skin in the game after merger
CCP added ¥2.4 billion to cover commodities contracts
Initial margin at the OCC leapt 20% in Q3
Cleared options contract volumes hit 1.9 billion in Q3
FICC default exposure exceeded size of clearing fund in Q2
Mortgage-backed securities division had $887 million of uncovered exposure to collapse of two members
JSCC placed majority of its default funds with the BoJ in Q2
Loss-absorbing resources stashed with commercial banks fell over the three months to end-June
Imperfect balance? Clearers weigh EU’s CCP resolution tools
Potential levels of loss mutualisation under EU rules are unnerving some clearing members
EU hands CCP members a narrow win on skin in the game
Clearing members could use the final rules to push for higher CCP capital globally
LME Clear stretched by CCP stress tests
Metals clearing house would exhaust prefunded resources under Esma’s default shock scenario
Citi’s default fund contributions climbed $2bn in Q1
US bank sees requirement hike 27% quarter-on-quarter
Top clearing houses bolstered default funds over Q1
NSCC reported its guaranty resources grew 231%
Don’t run CCP auctions by fear, study argues
Paper by BoE economist and co-authors backs ‘second-price’ auctions and limited penalties
Entering 2020, most CCPs had bigger default funds than a year ago
Majority of back-up funds to handle member defaults saw more pre-funded resources flow in
Of rats and men: would member compensation imperil CCPs?
CCPs and members split over whether compensation after default losses is moral hazard or fair
As business mix shifts, Eurex bulks up its default fund
Clearing house will raise charge to 9% from 7% as stress tests signal need for a fatter fund
OCC member default fund contributions up $1bn in Q3
Peak initial margin call was $9.9 billion in Q3
IM calls rocket at LCH’s repo service in Q3
Peak aggregate initial margin call of €462 million in third quarter
US clearers move to dole out losses besides default
ICC wants members to chip in on investment and custodial losses; the OCC, on the whole op risk enchilada
LCH SA members add €371m to cash, derivatives default fund
Funds for other clearing activities see quarter-on-quarter falls, in contrast
Ice’s European CDS clearing house adds €175m to default fund in Q2
In contrast, futures and options fund shrinks 6% quarter-on-quarter