Clarus FT: SACCR Multipliers, Initial Margin and KCCP

  • KCCP defines the amount of capital that must be held versus default fund contributions at a CCP.
  • The lower the value of KCCP, the lower the overall cost of clearing.
  • The SACCR multiplier used to calculate KCCP suggests that KCCP reduces for every extra dollar of Initial Margin posted at a CCP.
  • We look at the relationship between KCCP and Initial Margin for 6 large Clearing Services.

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