Clarus Financial Technology

What’s New in CCP Disclosures – 3Q21

Clearing Houses have published their latest CPMI-IOSCO Quantitative Disclosures:

Background

Under the CPMI-IOSCO Public Quantitative Disclosures, CCPs publish over two hundred quantitative data fields covering margin, default resources, credit risk, collateral, liquidity risk, back-testing and more.

CCPView has 6 years of these quarterly disclosures for 43 Clearing Houses, each with multiple Clearing Services, covering the period from 30 Sep 2015 to 30 Sep 2021. This disclosure data provides insights into trends over time at one CCP and comparisons between CCPs.

Initial Margin for IRS

IM at major IRS CCPs (usd billions)

IM for IRS staying in the $250-270 billion range for over a year now, seemingly a new plateau and a marked change from the QoQ and YoY increases in the three years from 2017-2019.

Eurex and JSCC both with QoQ and YoY increases in IM, while LCH and CME with decreases.

Initial Margin for CDS

IM at major CDS CCPs (usd billions)

Overall CDS IM up QoQ, with ICE Credit Clear responsible for this increase, while both ICE Europe Credit and LCH CDSClear are down QoQ and YoY.

Initial Margin for ETD

IM at selected ETD CCPs (usd billions)

ETD IM rising QoQ by $26b and YoY by $54b, due mostly to the large increase of $20b QoQ and $29b YoY at ICE Clear Europe.

Explanatory Notes

A new feature we have recently added to CCPView is the ability to view any explanatory notes published by CCPs with their disclosures. Typically these can be in different documents, which we have now parsed and uploaded into our database. Users can now select the display type Notes and view these, as shown below for ICE Clear Europe for 4.1 Default Resources on 30-Sep-21.

ICE Clear Europe – Explanatory Notes for 4.1.x

Other Disclosures of Interest

Next let’s do a quick scan of 30-Sep-2021 disclosures highlighting a few with a change tolerance >10% outside the 3 year range of values:

There are a lot more Disclosures and Clearing Services but I will stop there and leave it to those of you with your own CCPView access to analyze further changes.

More Disclosures

CCPView has disclosures from 43 Clearing Houses, each with many Clearing Services, covering Equities, Bonds, Futures, Options and OTC Derivatives with over 200 quantitative data fields each quarter and quarterly figures from September 2015 to September 2021; there is a lot of interesting data to analyze.

Please contact us if you are interested in subscribing to CCPView.

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