CCP Risk Assessments

The choice of CCP will have a major impact on the margin requirements and calls that fund managers face from their chosen clearing member(s) and clearing broker(s); the impact of the risk model at each CCP varies according to a number of factors. Whether it is a CCP’s margin model or the impact of individual segregation on asset safety, the risk assessment provides users with a primary source of information. Take the default waterfall as an example, our CCP reports offer a colour-coded waterfall diagram for each CCP with detailed descriptions. Our online comparison tool can generate a report across various CCPs, enabling users to easily identify any lack of CCP’s ‘skin-in-the-game’, inappropriate commingling of different asset classes, significant or unlimited liability to replenish the default fund, or other problems illustrated by the waterfall diagrams.

CCPs, in their central role as a buyer to every seller and a seller to every buyer, have taken a central role in the post-crises regulatory reforms at a global level. They are risk concentrators in the markets, since mandatory clearing will mean that the vast majority of off and on exchange transactions will need to be cleared.

With a plethora of CCPs globally, each is different from the other. This means that there are different risks and cost structures, so selecting a CCP to clear your trading activity is a hugely important decision.

Our CCP Risk Assessments comprise of the actual risk assessment report, which provides our independent analysis into the risks, margining and default waterfalls of each CCP we monitor, ongoing surveillance of each CCP and a transparency index. We cover a global pool of CCPs.


If you would like to purchase this service, or find out more about it, please contact Nick Bradley at nbradley@ids.thomasmurray.com or telephone him on +44 (0) 20 8600 2300.