FIA has updated its CCP Tracker visualizations on its website with data from the third quarter, which were released in early January. These visualizations show risk-related metrics for nine major clearinghouses side by side for each quarter going back to 2015. These metrics include initial margin, default funds, margin breaches, stress losses and concentration ratios. The data were obtained from the public quantitative disclosures published by these nine clearinghouses.
Highlights of the third quarter:
Initial Margin:
LCH Ltd had the highest amount of initial margin, with $218.9 billion in total for all of its clearing services. Of that amount, $199.4 billion was held for positions cleared through its interest rates service. CME had the second highest amount, with $196 billion in initial margin. Of that amount, $157.2 billion was held by CME's "base" clearing service for listed futures and options.
Default Fund:
OCC had the largest amount of member contributions in its default fund, with $10.4 billion at the end of the third quarter. LCH Ltd was close behind, with $10.3 billion. Third was the Japan Securities Clearing Corporation, with $8.8 billion. Looking at "skin in the game" contributions to default funds, JSCC had the largest with $261.6 million. Second was CME with $250 million, and third was ICE Clear Europe with $237 million.
Margin Breaches:
The largest margin breach over the 12 months ending in September was reported by Eurex, which had a breach of $779.7 million in its interest rate service. LCH Ltd had the second largest breach, $721.3 million, which occurred in its interest rates service. The third largest breach was again at Eurex, $598.1 million in its equity futures and options clearing service. CME had relatively low margin breaches compared to other large clearinghouses, with $83.5 million for its OTC interest rate swap clearing service and $84.6 million for its futures and options clearing service.
Stress Loss:
OCC had the highest potential loss in a stress scenario, with exposures of $4.6 billion in case of a single member default and $8.4 billion in case of a simultaneous default of two members. Three clearinghouses had the same exposure to a double default -- $5.4 billion. Those three were Eurex, JSCC's financial derivatives service, and LCH's interest rate service. The CCP Tracker also includes a table showing stress loss exposures relative to the size of default funds. For example, the stress loss exposure in a double default scenario was equivalent to 110% of the default fund covering CME's futures and options clearing service, a relatively high number compared to other large clearinghouses. In contrast, the ratio for JSCC's credit default swap clearing service was only 10%.
Concentration Ratios:
Among the large clearinghouses, LCH Ltd's interest rate service had the lowest concentration ratio for initial margin, with the top five members holding only 23.9% of initial margin at the end of the third quarter. ICE Clear US had the highest with 71.8%. LCH Ltd's interest rate service also had the lowest concentration ratio with respect to default fund contributions, with the top five members accounting for just 15%. CME's OTC interest rate clearing service had a relative high degree of default fund concentration, with 67.7% of the funding coming from the top five members.
