Default funds
OCC increases skin in the game in Q2
Own funds to handle a participant collapse amounted to $313 million
Ice Clear Credit member default fund contributions climb 6%
Total pre-funded required participant payments hit a record high in Q2
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
LCH SA skin in the game fell in Q4
In contrast, pre-funded clearing member contributions to the default funds increased 10% to €6.1 billion
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
Nasdaq whacked with $36 million fine over Aas default
Swedish regulator’s fine poses serious questions over default management and margining, while providing few answers
Top CCPs invest little clearing member cash in securities
Cash payments of initial margin and default fund contributions are typically placed with central banks
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
Hammer time? Clearers mull co-operation on default auctions
Some CCPs are mooting joint auctions to resolve large defaults – but critics deem them unworkable
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
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
Margin scuffle at Eurex blurs lines between risk and returns
Disagreement over liquidity risk add-ons may owe more to self-interest than risk management
Ronin expanded rapidly before flaming out, accounts show
Chicago prop firm tapped $450m financing line with broker-dealer as assets grew to $34bn
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