Default funds
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
Banks and CCPs clash over non-default losses
Banks balk at being on the hook for losses from investments or cyber attack, but many clearers say the risk should be shared
Cat bonds can help combat the systemic risks of CCPs
Bonds could pre-fund CCP default funds and higher margins during market stress, authors argue
Fresh delay for EU rules on CCP spillover losses
Recovery and resolution rules will miss the revised February delivery date
EU regulators split over using initial margin to resolve CCPs
Rules on CCP resolution were due last month but are now slated for February
BoE questions unfunded CCP default fund top-ups
Funds would have to be replenished during period of stress
JP Morgan exec challenges CCPs over skin in the game
"Why wouldn't you put up... all of your capital?" asks Olsen