Risk Waterfall at CME, ICE Makes Porting Harder, Dealers Say
By Ramya Jaidev
Published August 03 2011 Risk Magazine
The need to port client positions within central counterparties (CCPs) could force clearing houses to rethink how they structure the ‘risk waterfall’ used to absorb losses, dealers say. Clearing houses such as LCH.Clearnet’s SwapClear already lean more heavily towards initial margin – which individual members and their clients post to cover their own losses – while others, such as Chicago Mercantile Exchange (CME), are said to have a higher reliance on default funds, which are pooled contributions from members only and are drawn on to absorb spillover losses, meaning exposure is mutualised.
full article 
(subscription)
