Default funds
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
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