CCP Disclosures 3Q 2017 – What the Data Shows

Central Counterparties recently published their latest quarterly CPMI-IOSCO Quantitative Disclosures and in this article I will highlight what the data shows, similar to my article on 2Q 2017 trends.

Background

Under the voluntary CPMI-IOSCO Public Quantitative Disclosures by CCPs, over two hundred quantitative data fields covering margin, default resources, credit risk, collateral, liquidity risk and more are published each quarter with a quarterly lag.

CCPView now has nine sets of quarterly disclosures, from 30 Sep 2015 to 30 Sep 2017 inclusive, which means we can observe both trends over time at one CCP and compare CCPs to each other.

Lets take a look at a few of the main disclosures.

Initial Margin for IRS

Starting with the Initial Margin requirement for Interest Rate Swaps.

Initial Margin at major IRS CCPs
  • Total IM for these four CCPs, exceeding $150 billion for the first time
  • This is a 14% increase in USD terms, between Sep 2016 and Sep 2017
  • LCH SwapClear IM is $120.5 billion, up 21% from a year earlier
  • CME IRS IM is $24.7 billion, down 9% from a year earlier
  • JSCC IRS is $5 billion, down 10% in USD terms from a year earlier
  • Eurex Clearing OTC IRS is up from $3.6 billion, up 76% from $2 billion a year earlier

Growth over the year coming from LCH SwapClear and Eurex Clearing.

Initial Margin for CDS

Next lets look at the Initial Margin requirement for Credit Default Swaps.

Initial Margin for CDS
  • Total IM for these four CCPs was $35.4 billion on 29-Jun-2017
  • This is up from $33.8 billion on 30-Jun-2017
  • And up from $29.1 billion on 30-Sep-2016, an increase of 22% (in USD terms)
  • ICE Credit Clear by far the largest at $24.7 billion, up 26% from a year earlier
  • ICE Europe Credit next with $6.7 billion, down 2% in USD terms from a year earlier
  • LCH CDSClear with $2.4 billion, up from $1.1 billion a year earlier
  • CME CDS with $1.6 billion, similar to $1.5 billion a year earlier

Growth over the year coming from ICE Credit Clear and LCH CDSClear.

Initial Margin for ETD

Next Initial Margin for ETD (Futures & Options).

Initial Margin for ETD
  • Total IM for these CCPs was $191 billion on 29-Sep-2017
  • Down from $196.5 billion a year earlier, a drop of 3%
  • CME Base is the largest with $88.4 billion
  • Eurex Clearing is next with $46 billion
  • ICE Europe F&O is $35 billion
  • ICE US F&O is $12.7 billion
  • SGX DC is $4.6 billion
  • ASX CLF is $4.1 billion

Other Disclosures of Interest

While there are lots of further disclosures covering margin, default fund, credit risk, liquidity and more, I will just highlight a few of these:

  • LCH SwapClear, number of client accounts has increased from 18,358 to 18,831
  • CME Base now holds 92% of participants cash at central banks
  • Eurex Clearing’s maximum total VM paid to the CCP on a single day in the quarter was $5 billion, while the maximum aggregate IM call was $7 billion (this includes intra-day VM)
  • London Metal Exchange (LME), Total IM required is $8 billion of which $6 billion is Client IM and there are 46 clearing members
  • HKEX HKCC Total IM required is $5.9 billion and there are 163 clearing members
  • DTCC Government Securities Division (GSD) Total IM required is $11.7 billion, there are 108 clearing members, with the largest 5 members posting 35% of IM (on average)

Many others to look at, but will leave those of you that are interested to do yourself with CCPView.

More Disclosures

CCPView has a lot more CPMI-IOSCO Disclosures covering Interest Rate Derivates, Credit Derivatives, Futures and Options and now Securities, currently from fifteen Clearing Houses each with many Clearing Services and we continue to add more.

With over 200 quantitative data fields and nine sets of quarterly figures from these CCPs, there is no lack of information for analysis and discussion.

If you are interested in this data please contact us for a CCPView subscription.

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