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ICE Clear Credit Rule Submission, November 25, 2011
Rule Numbers - Implementation of enhancements to the ICE Clear Credit margin methodology (the “Decomp Model”). The proposed rule change consists of the implementation of ICE Clear Credit’s (“ICC”) enhanced margin methodology. The ICC Decomp Model includes the following enhancements to the ICC margin methodology for Credit Default Swap (“CDS”) Indices: replacing standard deviation with Mean Absolute deviation (“MAD”) as a measure of spread volatility, use of an auto regressive process to obtain multi-horizon risk measures, expansion of spread response scenarios, introduction of liquidity requirements, and base concentration charges. In addition, a fundamental aspect of the Decomp Model is the recognition that the CDS Indices cleared by ICC are essentially a composition of specific Single Name CDS instruments. As a result of the decomposition of the CDS Indices, ICC will be able to (1) incorporate jump-to-default risk as a component of the risk margin associated with CDS Indices and (2) provide appropriate portfolio margin relief between CDS Indices and offsetting CDS Single Name positions with respect to proprietary accounts.
11/25/2011
This is a description.
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2011-12-01T11:00:23-05:00
2011-12-01T11:00:23-05:00
2011-12-01T11:00:23-05:00
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