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News: ISDA sees risk of contagion if derivatives clearing member defaulted

04 April 2013 | Bill Hodgson

The story below reported at the Investment and Pensions Europe website relates to this PDF Capital Treatment for Exposure to CCP Default Funds (posted on the front page of the ISDA website on the 2nd.) I've yet to read it, but let me know what you find. ISDA sees risk of contagion if derivatives clearing member defaulted - 3 April 2013.


Comments

Reblogged this on Carl A R Weir's Blog.

Hard to get to the bottom of the paper without studying but the gist I imagine this leads to a reduced capital charge on clearing members for CCP default fund exposures by factoring in correlations between CM's exposures to multiple CCPs (given largely the same CM's are members of each).This is quite important given multiple CCP per asset class world we are entering for OTC and are already in for futures (also covered by Basel III though not part of ISDA's remit).