CCP Tracker

Initial Margin – Combined

Three classes of initial margin are shown: House Net, Client Net, and Client Gross. This reflects differences in account structure at the CCPs. The "house" subset consists of initial margin required for positions held in respect of CCP members for their own house accounts. The "client net" subset consists of initial margin required for client accounts that allow CCP members to net the requirements across multiple clients. The "client gross" subset consists of the sum of all initial margin required for each client held within a gross client margin account.

Functionality: use the "Select Report Quarter" to access historical data. To narrow down the list of CCPs included in the visualization, unclick the boxes next to the CCP names.

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Initial Margin
PQD Field 6.1.1

Disclaimer: The data in this report are collected from the exchanges. FIA publishes this report for informational purposes and does not guarantee its accuracy or completeness. FIA specifically disclaims any legal responsibility for any errors or omissions and any liability for losses or damages incurred through the use of the report. Please notify data@fia.org if there are any errors or omissions.

Initial Margin – Service Level

Three classes of initial margin are shown: House Net, Client Net, and Client Gross. This reflects differences in account structure at the CCPs. The "house" subset consists of initial margin required for positions held in respect of CCP members for their own house accounts. The "client net" subset consists of initial margin required for client accounts that allow CCP members to net the requirements across multiple clients. The "client gross" subset consists of the sum of all initial margin required for each client held within a gross client margin account.

Functionality: use the "Select Report Quarter" to access historical data. To narrow down the list of CCP clearing services included in the visualization, unclick the boxes next to the names of the clearing services.

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Initial Margin
PQD Field 6.1.1

Disclaimer: The data in this report are collected from the exchanges. FIA publishes this report for informational purposes and does not guarantee its accuracy or completeness. FIA specifically disclaims any legal responsibility for any errors or omissions and any liability for losses or damages incurred through the use of the report. Please notify data@fia.org if there are any errors or omissions.

Default Resources – Combined

Functionality: use the "Select Report Quarter" to access historical data. To narrow down the list of CCPs included in the visualization, unclick the boxes next to the CCP names.

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Default Fund Member Contributions
PQD Field 4.1.4

This amount consists of the total funds contributed by all CCP members to all default funds maintained by each CCP. A default fund serves as a backstop in case losses from a member default cannot be covered by that member's initial margin and default fund contribution.

Default Fund Skin in the Game
PQD Field 4.1.1

This amount consists of the funds contributed by the CCP out of its own resources to a default fund. The amounts shown in this chart consist only of those funds available to absorb losses from a default before member default fund contributions are used. Some CCPs allocate additional funds to be used alongside member contributions. In addition, Intercontinental Exchange, the parent company of several CCPs in this visualization, provides an extra layer of protection through a default insurance policy.

Ratio of Skin in the Game to Member Contributions
PQD Field 4.1.1 / 4.1.4

This ratio shows the size of the CCP's contribution to the default fund relative to the sum of the member contributions.

Note: The clearinghouses operated by Intercontinental Exchange also have a layer of protection provided by a default insurance policy that is intended to cover losses from a clearing member default.

Disclaimer: The data in this report are collected from the exchanges. FIA publishes this report for informational purposes and does not guarantee its accuracy or completeness. FIA specifically disclaims any legal responsibility for any errors or omissions and any liability for losses or damages incurred through the use of the report. Please notify data@fia.org if there are any errors or omissions.

Default Resources – Service Level

Functionality: use the "Select Report Quarter" to access historical data. To narrow down the list of CCP clearing services included in the visualization, unclick the boxes next to the names of the clearing services.

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Default Fund Member Contributions
PQD Field 4.1.4

This amount consists of the total funds contributed by all CCP members to the default fund for each clearing service offered by these CCPs. A default fund serves as a backstop in case losses from a member default cannot be covered by that member's initial margin and default fund contribution.

Default Fund Skin in the Game
PQD Field 4.1.1

This amount consists of the funds contributed by the CCP out of its own resources to a default fund. The amounts shown in this chart consist only of those funds available to absorb losses from a default before member default fund contributions are used. Some CCPs allocate additional funds to be used alongside member contributions. In addition, Intercontinental Exchange, the parent company of several CCPs in this visualization, provides an extra layer of protection through a default insurance policy.

Ratio of Skin in the Game to Member Contributions
PQD Field 4.1.1 / 4.1.4

This ratio shows the size of the CCP's contribution to the default fund relative to the sum of the member contributions.

Note: The clearinghouses operated by Intercontinental Exchange also have a layer of protection provided by a default insurance policy that is intended to cover losses from a clearing member default.

Disclaimer: The data in this report are collected from the exchanges. FIA publishes this report for informational purposes and does not guarantee its accuracy or completeness. FIA specifically disclaims any legal responsibility for any errors or omissions and any liability for losses or damages incurred through the use of the report. Please notify data@fia.org if there are any errors or omissions.

Margin Breaches

Functionality: use the "Select Report Quarter" to access historical data. To narrow down the list of CCP clearing services included in the visualization, unclick the boxes next to the names of the clearing services.

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Peak Margin Breach in Trailing 12 Months
PQD Field 6.5.4

Disclaimer: The data in this report are collected from the exchanges. FIA publishes this report for informational purposes and does not guarantee its accuracy or completeness. FIA specifically disclaims any legal responsibility for any errors or omissions and any liability for losses or damages incurred through the use of the report. Please notify data@fia.org if there are any errors or omissions.

Peak Stress Loss Exposure

The estimated loss in the first scenario is calculated as the largest aggregate stress loss in excess of initial margin that would be caused by the default of any single participant and its affiliates, including transactions cleared for indirect participants, in extreme but plausible market conditions. The visualization shows the peak day amount in the previous 12 months.

The estimated loss in the second scenario is calculated as the largest aggregate stress loss in excess of initial margin that would be caused by the default of any two participants and their affiliates, including transactions cleared for indirect participants, in extreme but plausible market conditions. The visualization shows the peak day amount in the previous 12 months.

The visualization includes a table that shows the peak loss exposures side by side with the default fund resources that would be used to absorb these losses. The table includes the amounts of the CCPs' own funds contribution (skin in the game) and member contributions to the default fund at the end of the quarter as well as ratios of peak exposures to each one of these three amounts.

Functionality: use the "Select Report Quarter" to access historical data. To narrow down the list of CCP clearing services included in the visualization, unclick the boxes next to the names of the clearing services. The table is interactive: click the column headers to sort the rows by size.

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Peak Stress Loss in Trailing 12 Months
PQD Fields 4.4.3, 4.4.7

Stress testing of the potential credit risk exposures posed by clearing members is a core element of CCP risk management. This chart shows CCP estimates for the largest aggregate loss that a member default could cause in extreme but plausible market conditions. The estimated loss is measured as the largest potential loss on any single day, in excess of an individual member’s initial margin, during the past 12 months, caused by either a single default or two simultaneous defaults.

Peak Stress Loss Table

These charts show several metrics that can be used to measure the concentration of risk among CCP members. General clearing members refers to members that provide clearing services for clients.

Disclaimer: The data in this report are collected from the exchanges. FIA publishes this report for informational purposes and does not guarantee its accuracy or completeness. FIA specifically disclaims any legal responsibility for any errors or omissions and any liability for losses or damages incurred through the use of the report. Please notify data@fia.org if there are any errors or omissions.

Clearing Members and Concentration

In those cases where the CCP offers separate clearing services, the chart shows the number of GCMs for each service. The vertical bar is set at 25 members, which corresponds to the threshold used in the quantitative disclosures to distinguish between large and small clearing services.

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Number of General Clearing Members by Subset
PQD Field 18.1.1.1

Disclaimer: The data in this report are collected from the exchanges. FIA publishes this report for informational purposes and does not guarantee its accuracy or completeness. FIA specifically disclaims any legal responsibility for any errors or omissions and any liability for losses or damages incurred through the use of the report. Please notify data@fia.org if there are any errors or omissions.

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CCP Tracker

Quarterly data on risk exposures at derivatives clearinghouses

IM Combined

IM Service Level

DF Combined

DF Service Level

Margin Breaches

Stress Loss

Concentration

Initial Margin – Combined

Initial Margin PQD Field 6.1.1

Initial Margin – Service Level

Initial Margin PQD Field 6.1.1

Default Resources – Combined

Default Fund Member Contributions PQD Field 4.1.4

Default Fund Skin in the Game PQD Field 4.1.1

Ratio of Skin in the Game to Member Contributions PQD Field 4.1.1 / 4.1.4

Default Resources – Service Level

Default Fund Member Contributions PQD Field 4.1.4

Default Fund Skin in the Game PQD Field 4.1.1

Ratio of Skin in the Game to Member Contributions PQD Field 4.1.1 / 4.1.4

Margin Breaches

Peak Margin Breach in Trailing 12 Months PQD Field 6.5.4

Peak Stress Loss Exposure

Peak Stress Loss in Trailing 12 Months PQD Fields 4.4.3, 4.4.7

Peak Stress Loss Table

Clearing Members and Concentration

Number of General Clearing Members by Subset PQD Field 18.1.1.1

Share of Initial Margin held by Top 5 Members PQD Fields 18.3.1, 18.3.2

Share of Default Fund held by Top 5 Members PQD Fields 18.4.1, 18.4.2

Key Issues

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Initial Margin
PQD Field 6.1.1

Initial Margin
PQD Field 6.1.1

Default Fund Member Contributions
PQD Field 4.1.4

Default Fund Skin in the Game
PQD Field 4.1.1

Ratio of Skin in the Game to Member Contributions
PQD Field 4.1.1 / 4.1.4

Default Fund Member Contributions
PQD Field 4.1.4

Default Fund Skin in the Game
PQD Field 4.1.1

Ratio of Skin in the Game to Member Contributions
PQD Field 4.1.1 / 4.1.4

Peak Margin Breach in Trailing 12 Months
PQD Field 6.5.4

Peak Stress Loss in Trailing 12 Months
PQD Fields 4.4.3, 4.4.7

Number of General Clearing Members by Subset
PQD Field 18.1.1.1

Share of Initial Margin held by Top 5 Members
PQD Fields 18.3.1, 18.3.2

Share of Default Fund held by Top 5 Members
PQD Fields 18.4.1, 18.4.2