This visualization shows the estimated loss that would be absorbed by a derivatives clearinghouse in two closely related scenarios: the default of the single largest clearing member, as reported in field 4.4.3 of its quarterly public quantitative disclosures; and the simultaneous default of any two clearing members, as reported in field 4.4.7.
The estimated loss in the first scenario is calculated as the largest aggregate stress loss in excess of initial margin that would be caused by the default of any single participant and its affiliates, including transactions cleared for indirect participants, in extreme but plausible market conditions. The visualization shows the peak day amount in the previous 12 months.
The estimated loss in the second scenario is calculated as the largest aggregate stress loss in excess of initial margin that would be caused by the default of any two participants and their affiliates, including transactions cleared for indirect participants, in extreme but plausible market conditions. The visualization shows the peak day amount in the previous 12 months.
The visualization includes a table that shows the peak loss exposures side by side with the default fund resources that would be used to absorb these losses. The table includes the amounts of the CCPs' own funds contribution (skin in the game) and member contributions to the default fund at the end of the quarter as well as ratios of peak exposures to each one of these three amounts.
Functionality: use the "Select Report Quarter" to access historical data. To narrow down the list of CCP clearing services included in the visualization, unclick the boxes next to the names of the clearing services. The table is interactive: click the column headers to sort the rows by size.
Stress testing of the potential credit risk exposures posed by clearing members is a core element of CCP risk management. This chart shows CCP estimates for the largest aggregate loss that a member default could cause in extreme but plausible market conditions. The estimated loss is measured as the largest potential loss on any single day, in excess of an individual member’s initial margin, during the past 12 months, caused by either a single default or two simultaneous defaults.
These charts show several metrics that can be used to measure the concentration of risk among CCP members. General clearing members refers to members that provide clearing services for clients.
Disclaimer: The data in this report are collected from the exchanges. FIA publishes this report for informational purposes and does not guarantee its accuracy or completeness. FIA specifically disclaims any legal responsibility for any errors or omissions and any liability for losses or damages incurred through the use of the report. Please notify firstname.lastname@example.org if there are any errors or omissions.
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