Protection promises partial recovery of guarantee funds at three CCPs
CME, Ice bat away suggestions of flaws in clearing house risk management
Default fund loss triggers debate on risk sharing, auction rules and ‘skin in the game’ at CCPs
Clearing house is “seriously considering” contributing to own default waterfall
This paper analyzes the cost of putting aside capital as skin in the game (SITG).
Four-member auction may have turned 39% margin breach into huge default fund loss