What’s New in CCP Disclosures – 4Q22?

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

• Initial margin for ETD at $494 billion is down 10% QoQ and down 3% YoY
• Initial margin for IRS at $312 billion is up 11% QoQ (to a record high) and up 19% YoY
• Initial margin for CDS at $69 billion is down 6% QoQ and up 9% YoY
• A number of CCP disclosures show record highs since reporting began in Sep 2015
• Including B3, CDCC, CDS, CFFEX, DTCC GSD, Eurex, HKEX OTC Clear, LCH RepoClear, OCC …
• Charts and details below

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 over 7 years of these quarterly disclosures for 44 Clearing Houses, each with multiple Clearing Services, covering the period from 30 Sep 2015 to 31 Dec 2022. This disclosure data provides insights into trends over time at one CCP and comparisons between CCPs.

Let’s take a look at the latest disclosures.

Initial Margin for IRS

• Total IM for these four CCPs was $312 billion on 30-Dec-2022
• Up $31 billion or 11% QoQ and $51 billion or 19% higher YoY
• LCH SwapClear with $204 billion or £169 billion on 30-Dec-2022
• Down 2% QoQ and Up 17% YoY in GBP terms (Up 7% and 5% in USD terms)
• Eurex OTC IRS with $63 billion or €59 billion
• Up €9 billion or 17% QoQ and €36 billion or 152% YoY (in EUR terms)
• CME IRS with $33 billion, up 1% QoQ and up 7% YoY
• JSCC IRS with $12 billion or Y1,560 billion, up 16% QoQ and up 52% YoY (in JPY terms).

Total IM for IRS at $312 billion, is a new record high, up from the prior high of $281 billion on 30-Sep-22.

Eurex OTC IRS IM increasing $37 billion YoY is responsible for the majority of the $51 billion increase.

Initial Margin for CDS

• Total IM for these three CCPs was $69 billion on 30-Dec-2022
• Down $4.6 billion or 6% QoQ and up $9.2 billion or 9% YoY
• ICE Credit Clear with $53.5 billion, down 6% QoQ and up 14% YoY
• ICE Europe Credit with €8.7 billion, down 15% QoQ and up 8% YoY
• LCH CDSClear with €6.1 billion, down 16% QoQ and up 69% YoY

Each CCP down QoQ and up YoY. LCH moving the most and still significant IM at ICE Europe Credit even though this is slated to shut down in March 2023.

Initial Margin for ETD

• Total IM for these CCPs was $494 billion on 30-Dec-2022
• Down $53b or 10% QoQ and down $13b or 3% YoY
• (Note the chart shows higher totals as Eurex includes OTC IRS IM, which I exclude)
• CME Base with $173 billion, down 4% QoQ and up 9% YoY.
• ICE Europe F&O with $145 billion, down 10% QoQ and up 8% YoY
• OCC with $70 billion, down 30% ($30b) QoQ and down 42% ($51b) YoY.
• Eurex with $62 billion, flat QoQ and up 56% ($22b) YoY.
• ICE US F&O $15.5 billion, up 9% QoQ and down 33% YoY.
• JSCC OSE Listed ETP with $10.5 billion, flat 2% QoQ and YoY
• HKEX HKCC with $7.4 billion, up 14% QoQ and up 29% YoY
• SGX-DC $7.3 billion, down 12% QoQ and 13% YoY
• ASX CLF $3.9 billion, down 13% QoQ and 36% YoY

OCC the largest contributer to the IM decrease QoQ and YoY; a symptom of a decrease in equity option trading by reddit/retail investors?

ICE US F&O and HKEX HKCC the only ones with QoQ increases.

Eurex, HKEX HKCC and ASX CLF with large percentage YoY increases.

Other Disclosures of Interest

Next let’s do a quick scan of 30-Dec-22 disclosures, highlighting those with significant changes.

Before we do, a quick note to state that the majority of Clearing Houses have moved to a 2-month lag in reporting these disclosures. However a number of CCPs have not yet reported, so are either sticking to the old 3-month lag or have missed the 2-month date. These are AthexClear, BME, CC&G, CCIL, EuroCCP, OMIClear, SCH and SIX. If you work at one of these, or at a clearing member, please consider/request moving as soon as possible to publishing 2-months after the quarter end.

Selected Changes:

• B3 (Brasil Bolsa Balcao) – 6.2.5 Total IM PreHaircut held as Non-Cash Sovereign Government Bonds – Domestic, was $92 billion, the highest on record, the prior high was $82 billion on 31-Mar-2022
• CDCC (Canadian Derivatives Clearing Corporation) – 4.4.4 Number of Business days on which 4.4.3  Estimated largest stress loss (in excess of IM) from the default of any single participant, PeakDayAmount, exceeded acutal pre-funded default resources (in excess of IM) was 2, up from 1 in the prior quarter and 0 on 31-Dec-2021. The excess amount was $89 million.
• CDCC (Canadian Derivatives Clearing Corporation) – 6.8.1 Maximum aggregate IM call on any given day in the period was $1.8 billion, up from $857 million and the highest on record, (the prior high was $1.47 billion in the period ending 30-Jun-2020
• CDS (Canadian Depository for Securities) – 5.3.4 Number of days during the look-book period (12m) on which the fall in value during the assuming liquidation period exceed the haircut on an asset, increased to 40 days, from 33, 29 and 20 days in prior periods.
• CFFEX (China Financial Futures Exchange) – 6.2.5 Total IM PreHaircut held as Non-Cash Sovereign Government Bonds – Domestic, was $6.5 billion, up from $5.76 billion and the highest on record
• DTCC GSD – 4.1.4 Prefunded -Aggregate Participant Contributions Required was $28.68 billion, up from $21.16 billion and the highest on record, the prior high was $24.15 billion on 31-Dec-2020
• DTCC GSD – 4.3.1 PreHaircut Cash deposited at central bank of issue of the currency concerned (USD) was $13.68 billion, up from $10.8 billion, the prior record high.
• DTCC GSD & MBSD, 5.3.4 Number of days during the look-book period (10+ years) on which the fall in value during the assuming liquidation period exceed the haircut on an asset, was 7 for Treasury and 61 for Mortgage bonds
• Eurex Clearing, 6.7.1 Maximum total variation margin paid to the CCP on any business day was Eur 13.3 billion, the highest on record, with the prior high in 30-Jun-2022 quarter of Eur 12 billion.
• HKEX OTC Clear, 6.7.1 Maximum total variation margin paid to the CCP on any business day was $171 million, the highest on record, prior high as $133 million in quarter ending 30-Jun-2022
• LCH ForexClear, 6.5.1.1 Number of times over the past 12m that margin cover held against any account fell below the actual mtm exposure of that memeber account, jumped to 26 from 1 in the prior quarter
• LCH RepoClear, 6.8.1 Maximum aggregate IM call on any given day in the period was $3.45 billion, a new high and up from $3.1 billion, $1.75 billion and $1.8 billion in prior quarters
• LME (London Metal Exchange), 16.2.17 Estimate of the risk on the investment portfolio (99% 1-day VaR, 2y history), increased to $491 million, a new high and up from $222 million, in the prior quarter
• OCC (Options Clearing Corporation), 16.2.2 Percentage of total participant cash held as cash deposits at central banks of issue of the currency deposited, increased to 89%, a record high, with a signifciant drop in 16.2.4 Cash deposits at commercial banks (secured, including thru reverse repo), thr prior high was 71.5% on 30-Sep-2019
• ……

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

As well as a Web UI, we also offer an API to programatically access this data.

IOSCO Quantitative Disclosures

CCPView has disclosures from 44 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 2022.

If you are interested in this data, please get in touch.