Default funds
After Nasdaq, cracks appear in foundation of clearing
Default fund loss triggers debate on risk sharing, auction rules and ‘skin in the game’ at CCPs
Risk.net podcast: OCC’s Fennell on Nasdaq breach, crypto and ‘skin in the game’
Clearing house is “seriously considering” contributing to own default waterfall
Eurex default fund swells to €4.5 billion
Second quarter saw the second-largest quarterly increase since the CCP began reporting in 2015
Stuck in traffic: EU turf war holds up CCP resolution rules
Unsuitable rules for failed banks could be used to resolve French and German clearing houses
EU clients face axe from UK CCPs
But Esma’s Maijoor offers lifeline, calling for continued access for EU members
OCC default fund shrinks $3 billion
Change reflects CCP's model methodology and calmer markets in Q2
Nasdaq slow to share defaulter info with peer CCPs
“Why didn’t you tell us earlier?” other clearers want to know
Spotlight on auction in €114m Nasdaq clearing blow-up
Four-member auction may have turned 39% margin breach into huge default fund loss
OCC’s move to ‘Cover 2’ won’t cost members more, CRO says
New clearing fund methodology will shift cost burden to firms that take more tail risk
OCC swells liquidity after reinforcing clearing fund
Further changes expected following September clearing fund revamp
JSCC reinforces default funds
Member firm contributions swell ¥135.5 billion across derivatives clearing services
One for my baby (and one more for the road): incentives, default waterfalls and central counterparty skin-in-the-game
In this paper, the authors argue that both for-profit central counterparties and their clearing members should contribute to the default waterfall, with a CCP’s two contributions coming directly before and directly after the tranche of clearing member…
A floored plan: Europe’s CCP recovery rules draw fire
CCPs and clearing members both unhappy with proposed allocation of non-default losses
Swaps data: breaking down CCPs’ $750 billion funding bill
Amir Khwaja of Clarus FT considers how initial margin, variation margin and default fund contributions can quickly add up
Exchanges and FCMs clash over bitcoin clearing carve-out
Market participants say CME, CBOE should clear bitcoin futures separately
CCP stress tests have found capital shortfalls – Esma
Small increases to stress-test scenarios would have left Ice Clear Europe “in material breach”
CCPs should pay twice into default waterfall, say researchers
Chicago Fed paper calls for contributions before members’ capital is tapped and after it is depleted
Fear of something worse seen as key to CCP recovery
Forcing banks to pick up defaulted trades is “viable option”, says Fed researcher
Ice rule change will see members post more cash
Changes pinned on CCP’s lack of access to Fed deposit account
Buy side may have to take on CCP losses – FSB’s König
Exempting ailing banks from CCP wind-up process could force wider allocation of losses
CCP resolution plans ‘on the wrong path’, says Fed adviser
Bank framework has “contaminated” policy for CCPs, says Chicago Fed’s Steigerwald
CME’s European CCP to lower rates default fund burden
Firm hopes move will entice smaller players to join rates clearing service