Inside top CCPs’ default funds

Cash and collateral taken in by central counterparties to guard against counterparty failures is invested in a wide variety of assets – and no two CCPs assemble their default funds the same way.

Among the top 10 CCPs, cash deposited at central banks made up 33% of default funds on average at end-September 2019. This doesn’t tell the whole story, though, as Ice Clear Europe, Ice Clear US and CME do not put any cash in central banks at all, while LCH SA has 94% of its fund invested this way.

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