Default funds
Ice Clear Europe default fund contributions jump 21%
The clearing house reported 78 clearing members for futures and options division
DTCC default fund contributions shrink 16%
CCP reports 268 clearing members at end-March
Default fund costs dominate US G-Sibs’ cleared swaps charges
Default fund contributions accounted for 62% of the eight banks’ RWAs
JSCC default funds shrink $1.7 billion in Q1
The CCP reported 281 clearing members at end-March
Credit portfolio stress testing using transition matrixes
In this paper, the authors propose a new methodology for modeling credit transition probability matrixes (TPMs) using macroeconomic factors.
Podcast: Kaminski on lessons from commodity market defaults
Professor Vince Kaminski analyses Nasdaq and PJM defaults
Don’t fear the clearer
Wider use of CCPs not systemic threat – but participants do face hard-to-measure risks
OCC members' default fund payments drop 39% in 2018
Calculation switch shaves billions off mandatory contributions
DTCC members add $26bn to default funds in 2018
Clearing house's own contributions dipped $8.5 million last year
Clearing members inject $2.5bn to JSCC default funds in 2018
Higher contributions likely reflect increased exposures at the CCP
Banks split over sending traders to default auctions
After Nasdaq auction failed, some see need for traders in process; others can’t afford to lose them
CFTC official: CCPs should war-game default auctions
Risk appetite should be factor in selecting auction participants – Wasserman
Margin or membership? Regulators react to Nasdaq default
Six supervisors – from Bafin to the MAS – downplay idea of mandatory increase in futures MPOR
CME trims default fund in Q3
Non-interest rate futures and options default fund reduces by $3.7 billion
BIS slams Nasdaq Clearing for risk management failures
Clearing member says it is giving notice to quit bourse, citing concerns over concentration of risk on venue
OCC default fund drops $5bn under new approach
Switch to stress-testing based approach triggers drop in required default resources
Margin model revamp should top 2019 agenda for Asian CCPs
As rates rise and trade tensions grow, CCPs must be prepared for higher volatility
Clearing houses urge CFTC to act on non-default losses
US clearing members divided on whether NDLs are CCPs’ responsibility or a mutual risk
The distribution of clearing members’ risk exposure and how it matters
In this paper, the authors compare the data from three major clearing houses concerning tail losses and member concentration.
Brace for more Nasdaq-like losses, HKEx CRO warns
Roland Chai says defaults more likely as global instability increases; CCPs should focus on auction processes
‘Cover 2’ CCP reserve standard inadequate – study
Stress tests underestimate how twin member failure affects clearing house stability
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