Default funds
Estimated stress losses at CME, Eurex and LCH surge to record high
Latest projections likely behind increases in contributions to CCPs’ default funds in Q2
Clearing members cry foul over restrictive FICC rule change
Draft interpreted as attempt to obstruct rival clearing houses entering US Treasuries market
Default funds at CME, JSCC and OCC grew to record levels in Q1
CCPs’ skin in the game fails to keep pace with member contributions
JSCC, ASX see hypothetical stress loss breaches in Q1
Single-member default in worst-case scenario would have exceeded available resources
New FICC clearing model still holds fears for buy side
Sponsored access with margin segregation hasn’t reassured firms about loss mutualisation
Bloating CCP default funds. New margin models. Are the two linked?
Dealers grumble that greater guaranty fund payments could undermine the ‘defaulter pays’ principle of clearing
Concentration risk ticks up at large CCPs
Top five clearing members accounted for almost half IM and open positions in Q3
OCC default fund up 19% in Q3
Hypothetical stress losses behind latest spike in member contributions
Rule change cuts ECC default fund by over a third
Member contributions hit two-year low and may fall further
CME member contributions up 11%
Default fund for F&O clearing unit hits record size driving CCP’s skin-in-the game share to all-time low
CFTC sounds the alarm on clearing capacity
US regulator warns porting cannot be guaranteed in the event of a large member default
Indian CCPs derecognition costs BNPP, Deutsche €6bn in RWAs
Esma’s decision forces re-weighting of local exposures by EU dealers
FSB warned not to overfill its planned CCP resolution toolbox
Network contagion could make cash calls systemically risky, but TLAC also controversial
BNP Paribas’s default contributions hit record high in H1
Requirements from CCPs up 19% across 13 EU and UK banks
ECC default fund changes set to cut clearing member contributions
Stress loss over margin designed to ease procyclical behaviour seen during 2022 energy shock
Morgan Stanley’s default fund contributions jump $1.9bn in Q2
Aggregate increase across US clearing banks pushes requirements to highest point since 2021
LCH SA’s default funds hit record highs
CCP’s own contributions account for less than 1% across three clearing services
OCC skin in the game down by nearly a third
Hike in capital expenditures and tax payments drives decrease
CFTC’s clearing house recovery rule splits industry
Some fear CCPs will fast-track recovery, others say any rule book will be ignored in emergency
Worst-case double default would have caused breach at CME
Stress loss based on hypothetical scenario was $390m higher than prefunded resources
At Eurex, default fund grows 45% to record size
Market volatility and current interest rates level behind increase in Q2