Article: Bank of England | Financial Stability Paper No 20: Central counterparty loss-allocation rules

29 April 2013 | Bill Hodgson


Bill, Thanks. Useful to have the CCP comparison in appendix 1 and the pictures in particular are useful to help explain. This partially corroborates the point that the bigger CCPs seem to size their default fund at minimum at the sum of the largest two clearing member losses (or four in the case of CME), how does that square with the comments of that chap from HSBC about a single defaulting member bringing down the system?ICE is notable by not being on the list of CCPs in appendix 1 - presumably either it doesn't have a final loss allocation rule or because it doesn't publish it?Jon

Reblogged this on Carl A R Weir's Blog.

paper published by the Bank of England relating to CCP loss allocation rules (first spotted over on The OTC Space). The paper explains the reasons why CCPs must maintain a matched book at all times and the