SIX x-clear recently advised EuroCCP that it plans to amend the level of margin it collects from its members and the co-CCPs by adding 30% to the current level of SIX x-clear’s initial margin, whilst at the same time reducing the overall size of its default fund.
In addition, it will also introduce a “Link Margin Element Add-on (LME Add-on)” for the co-CCPs. The co-CCP LME Add-on will be levied on the co-CCPs as part of SIX x-clear’s margin requirement should the total margin requirement of a co-CCP to SIX x-clear for a given exposure be higher than SIX x-clear’s corresponding total margin requirement (excluding the variation margin). EuroCCP has been in discussion with SIX x-clear to clarify the implications of its proposals, and further discussions are envisaged on harmonisation of the models and improved communication of proposals.
SIX x-clear has advised that it intends to implement these changes as from 1 June 2017.
EuroCCP will continue to pass on the margin requirements of its co-CCPs through the interoperability fund to its clearing participants and as SIX x-clear’s margin requirements will increase by the above levels, the overall size of the interoperability fund will also increase commensurately.