FIA has updated its CCP Tracker visualizations with data from the fourth quarter.
The CCP Tracker visualizations show risk-related metrics for 15 clearinghouses side by side for each quarter going back to 2015. The metrics include initial margin, default funds, margin breaches, stress losses and concentration ratios. The data were obtained from the public quantitative disclosures published by the clearinghouses, which are generally released two or three months after the end of the quarter.
FIA now makes the underlying data available in a separate report that can be downloaded from the FIA website. This report includes data from the most recently published quarterly reports as well as comparisons to the prior quarter and the same quarter of the previous year. The report shows the above-mentioned metrics as well as the maximum total variation margin paid and the maximum aggregate initial margin call in the quarter. The report also covers a wider range of CCPs. In addition to the 15 CCPs featured in the CCP Tracker online, the report includes eight additional clearinghouses and their services. The report is available to all FIA members. For more information, contact data@fia.org.
Highlights of the fourth quarter:
Initial margin functions as the first line of defense in case of a default. In the fourth quarter,
- CME Clearing had the highest IM requirement, with $315.3 billion at quarter end, up from $307 billion in the previous quarter. Of that amount, 80.5% was deposited on behalf of clients, with the remainder for house accounts.
- LCH Ltd. had the second largest IM, with $268.7 billion at quarter-end, down from $276 billion at the end of the previous quarter. Approximately 61.9% of that amount was deposited by clearing firms on behalf of their clients, with the remainder for house accounts.
- OCC was third with $152.5 billion at quarter-end. This was down from $179.6 billion in the previous quarter.
- Eurex Clearing was fourth with €84 billion ($98.6 billion) at quarter-end, up from €78.9 billion ($92.6 billion) in the previous quarter.
- ICE Clear Europe was fifth with $60.8 billion at quarter-end, down from $72.3 billion in the previous quarter.
Taking the view down to the service level:
- CME's "base" clearing service, which covers listed futures and options across several asset classes, had the highest amount of initial margin, with more than $277.2 billion at quarter-end, up from $268.9 billion last quarter.
- The interest rates clearing service at LCH Ltd. had more than £186.1 billion ($250.3 billion) in initial margin at quarter-end, down from £188.2 billion ($252.9 billion) last quarter.
- Eurex Clearing provided the most granular breakdown of initial margin by clearing service, with data on eight different sets of products. Among these, Eurex Clearing’s OTC IRS service reported the highest initial margin requirement with €38.5 billion ($45.2 billion) at quarter-end, down from €38.6 billion ($45.3 billion) at last quarter.
The default fund functions as a backstop in case a clearing member is unable to meet its obligations and its initial margin proves insufficient. Most default funds rely primarily on contributions from member firms, with some additional funding provided by the clearinghouse itself.
- OCC had the highest amount of member contributions to its default fund, with $21.2 billion at the end of the quarter.
- LCH Ltd. was second with $12.1 billion.
- Eurex Clearing was third with €9.4 billion ($11 billion).
- CME was fourth with $10.7 billion.
Many clearinghouses contribute their own funds, called "skin in the game", to an initial layer of protection that absorbs losses before the default fund is used.
- OCC contributed the largest amount to this initial layer, with $302.6 million deposited in the default fund at the end of the quarter.
- Australia’s ASX was second with a combined A$420 million ($280.1 million) across its two clearing services.
- CME was third with $250 million.
- HKEX was fourth with HK$1.6 billion ($209.8 million).
The FIA CCP Tracker includes data on the largest margin breach over the prior 12 months. Margin breaches are measured at the member level, not the customer level, and represent the potential exposure to losses not covered by initial margin (i.e. where variation margin losses exceed the initial margin requirement for a particular member).
The largest margin breach over the 12 months ending in December was reported by JSCC. That breach was ¥137.3 billion ($875.5 million) in its clearing service for Japanese government bonds. Eurex reported the second highest margin breach with €623.7 million ($731.8 million) in its clearing service for equity derivatives. The third highest breach also occurred at JSCC in its clearing service for index futures and options with ¥86.2 billion ($549.7 million) at quarter-end.
ICE Clear US had the lowest margin breach relative to other large CCPs. The peak margin breach reported in its fourth quarter disclosure was $70.6 million for its futures and options clearing service. This was same as the previous two quarters, meaning that this breach must have occurred within the second quarter of 2025.
This section of the FIA CCP Tracker shows data on stress losses, which are defined as a CCP's estimate of the potential loss in case of a default by a single member and by two members at the same time.
- OCC reported the largest stress loss estimate: $9.9 billion in case of a single default and $17.2 billion in case of a double default.
- Eurex Clearing was second, with €5.8 billion ($6.8 billion) and €8.8 billion ($10.3 billion), respectively.
- LCH’s interest rate service had the third largest estimated loss exposure, with £3.6 billion ($4.8 billion) and £6.3 billion ($8.5 billion) in case of a single and a double default, respectively.
- CME’s base clearing service was fourth, with $4.4 billion and $6.9 billion, respectively.
FIA also calculates the ratio of the stress loss to the default fund as a way to gauge how much of the loss the surviving clearing members might have to absorb.
CME’s clearing services for interest rates had the lowest ratios of a single exposure to the default fund with just 0.4. CME's futures and options clearing services also had a relatively low ratio with just a 0.5 ratio.
At the other end of the spectrum, the three clearing services operated by Hong Exchanges and Clearing -- HKXX, SEOCH, and OTC Clearing -- had ratios of 0.9, 1.1, and 1.4 respectively. Five of JSCC’s clearing services exhibited ratios greater than 1. In particular, the precious metals service on the Osaka Dojima Exchange, the energy, and the rubber services had high ratios, with ratios of 1.2, 1.4, and 1.9 respectively.
This section of the FIA CCP Tracker includes data on the number of general clearing members at each clearinghouse. General clearing members, also known as futures commission merchants in the US, are those members that provide clearing for clients and affiliates. Some clearinghouses also have direct members that clear only their own positions.
- OCC reported the highest number of general clearing members with 106 at the end of the fourth quarter, up from 104 in the third quarter.
- Eurex was second with 81 members, up from 79 in the third quarter.
- JSCC’s bond futures and options service also had 79 members, same as in the third quarter.
- JSCC’s index futures and options service was fourth with 66 members, same as in the third quarter.
- ICE Clear Europe’s futures and options service was fifth with 65 members, same as in the third quarter.
The CCP Tracker also includes data on concentration ratios, i.e., the ratio of initial margin held by the top five members. The following table shows the IM concentration ratios during the fourth quarter for a sample set of CCPs.
- 71.6% CME OTC IRS
- 59.4% CME Base F&O
- 34.3% Eurex
- 38.1% ICE Clear Europe F&O
- 64.6% JSCC IRS
- 25.9% LCH Ltd Interest Rates
- 55.4% Nasdaq Commodities
- 58.4% OCC
- 54.6% SGX Derivatives
