Discussion Paper
Non-Default Loss Allocation at CCPs
Lewis, Rebecca; McPartland, John (2017-04-01)
In this paper, we answer three questions about the appropriate allocation of non-default losses at central counterparties (CCPs): 1) “Who should assume financial responsibility for a non-default loss?”, 2) “What portion of a non-default loss should each party pay?”, and 3) “How should CCPs and clearing members address catastrophic non-default losses?”. To answer the first question, we argue that financial responsibility should be shared among the parties whose decisions contributed to the loss. Determining whose decisions contributed to a loss requires an understanding of the type ...
Policy Discussion Paper Series