What’s New in CCP Disclosures – 2Q24?

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

• Initial margin for ETD at $470 billion is down -2% QoQ and up 5% YoY
• Initial margin for IRS at $304 billion is down -3% QoQ and -4% YoY
• Initial margin for CDS at $59 billion is down -1% QoQ and -14% YoY
• In 1Q24 a number of CCP quantitative disclosure show record highs
• Highlighted are ASX, CC&G, CCIL, CDS, CME, LCH, LME, OCC
• Please continue to read for all the details

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 8 years of these quarterly disclosures for 44 Clearing Houses, each with multiple Clearing Services, covering the period from 30 Sep 2015 to 30 Jun 2024. 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 at these four CCPs was $304 billion on 28-Jun-2024
• Down $10 billion or 3% QoQ and down $13 billion or 4% YoY
• LCH SwapClear with $220 billion or £174 billion on 28-Jun-2024
• Down 3% QoQ and 0.6% YoY in GBP terms (Down 2% QoQ & 0.4% YoY in USD terms)
• Eurex OTC IRS with $39.8 billion or €37.2 billion
• Down €1.55 billion or 4% QoQ and down €9 billion or 20% YoY (in EUR terms)
• CME IRS with $35.3 billion, down $2.1 billion (5.6%) QoQ and $2.3 billion (6%) YoY
• JSCC IRS with $8.9 billion or Y1,424 billion, Down 0.1% QoQ and 3.6% YoY (in JPY terms).

Total IM for IRS at $304 billion continues the downward trend from the all-time high of $339 billion on 31-Mar-2023 and is also a touch lower than a year earlier.

Initial Margin for CDS

• Total IM at the two CCPs was $59.2 billion on 28-Jun-2024
• Down $0.8 billion or 1% QoQ and down $9.5 billion or 14% YoY
• ICE Credit Clear with $49.5 billion
• Flat QoQ and down $6.2 billion or 11% YoY
• LCH CDSClear with €9 billion
• Down €0.8 billion or 8% QoQ and Up €0.9 billion or 11% YoY
• ICE Europe Credit now closed

Total IM for Credit Derivatives consistently close to $60 billion for the past four quarters.

Initial Margin for ETD

• Total IM for these CCPs was $470 billion on 28-Jun-2024
• Down $11b or 2% QoQ and Up $21b or 4.6% YoY
• (Note the chart shows higher totals as Eurex includes OTC IRS IM, which I exclude)
• CME Base with $197 billion, down 4% ($8b) QoQ and up 3% ($6b) YoY.
• OCC with $108 billion, up 6% QoQ and up 33% ($27b) YoY.
• ICE Europe F&O with $81 billion, up 9% ($6.7b) QoQ and down 4% YoY.
• Eurex with $37 billion, down 24% ($11.5b) QoQ and down 16%YoY.
• ICE US F&O $17 billion, flat QoQ and up 11% ($1.7b) YoY.
• JSCC OSE Listed ETP with $13 billion, down 20% QoQ and 8% YoY
• SGX-DC $7.5 billion, down 12% QoQ and 11.5% YoY
• HKEX HKCC with $5.5 billion, down 7% QoQ and down 21% YoY
• ASX CLF ETD $4.6 billion, up 10% QoQ and flat YoY

IM at all CCPs of $470 billion is down from the high of $480 billion in the prior quarter, but it came in as the second highest quarter on record.

Other Disclosures of Interest

Next let’s do a quick scan of 28-Jun-24 disclosures, highlighting those with significant changes.

• ASX CLF – 4.4.7 Estimated largest aggregate stress loss (in excess of IM) that would be caused by the default of any two participants in extreme but plausible market conditions, PeakDayAmount over the previous 12 months was A$790 million, up from A$648 million, a record high
• ASX CLF – 4.4.8 Number of days on which 4.4.7 exceeded actual pre-funded default resources (in excess of IM) was 1 and 4.4.9 AmountExceeded was A$140 million
• CC&G Bonds – 4.4.3 Estimated largest aggregate stress loss (in excess of IM) that would be caused by the default of any single participant in extreme but plausible market conditions, PeakDayAmount over the previous 12 months was €1,560 million, a record low and down from €2,142 million at prior quarter end and €3,685 million at 30-Jun-2021
• CCIL Securities (Outright & Repo) – 4.1.4 Prefunded aggregate participant contributions required were $340 million, a new record and up from $278 million
• Canadian Depository for Securities (CDS) – 4.1.8 Committed aggregate participant contributions to address an initial default were $7,308 million, a new record and up from $3,689 million
• Canadian Depository for Securities (CDS) – 17.3.1 Total number of failures affecting the core system(s) involved in clearing over the previous 12 months was 2, up from 1 and 0 at prior quarter ends
• CME Base – 4.1.8 Committed aggregate participant commitments to address an initial participant default were $21.6 billion, up from $20.5 billion, which itself was a record high and the first time they have exceeded $20 billion
• CME Base – 4.4.3 Estimated largest aggregate stress loss (in excess of IM) that would be caused by the default of any single participant in extreme but plausible market conditions, PeakDayAmount over the previous 12 months was €5.3 billion, a record high and up from $4.4 billion. While 4.4.7 the equivalent measure for any two members was $8.9 billion, up from $7billion, also a record high.
• …….skipping down to L ….
• LCH ForexClear – 6.1.1. Total initial margin required was $10.7 billion, up from $8.1 billion, a record high
• LCH CDSClear SA – 4.1.4 Prefunded aggregate participant contributions required were €3.7 billion, a new record and up from €3 billion
• LME – 18.1.2.3 Number of bank participants was 14, down from 19 , while 18.1.2.4 number of other particpants was 28, up from 23, meaning the total base of investment firms remained at 35
• OCC – 6.1.1 House Net Initial margin required was $52.5 billion, a new high and up from $45.6 billion. It is also the first time it has exceeded Client Net initial margin required which was $52.4 billion.
• ….. we could go on …..
• There are a lot more Clearing Services and Disclosures but I will stop there and leave it to those of you with 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 June 2024.

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