OFR_2016_Financial-Stability-Report

Based on those data, Figures 48 and 49 show the amounts and proportions
of resources at the four largest derivatives CCPs with U.S. clearing
members. The data do not reflect the amount of margin held in any one
account. Although the amount of aggregate initial margin is large at each
CCP, only the defaulting clearing member’s portion of that amount can be
used to absorb losses from its default. The margin accounts of other clearing
members (or their customers) are protected from being used to cover losses
in other members’ accounts.
In contrast, the prepaid guarantee fund and the callable assessments are
designed to mutualize losses once the defaulter’s margin plus guarantee fund
contributions and the CCP’s equity are exhausted. The guarantee fund and
callable resources shown in the figures should reflect resources available to
absorb losses if the CCP collects all callable assessments.
The public disclosure data give information on the amount of margin the
CCP holds. The disclosure data also show the amount of CCP equity relative
Figure 48. CCP Margin and Default Resources (percent)
Proportion of initial margin (IM) in total central counterparty (CCP) resources varies significantly among CCPs
100
80
60
40
20
0
Base IRS CDS ICC CDS SwapClear Other OCC
CME
Group
ICE Clear
Credit
LCH.Clearnet Ltd.
Options
Clearing
Corporation
Assessment power
Required house IM
CCP “skin in the game”
Required prepaid guarantee fund
Required customer IM
Note: Data as of June 30, 2016. The CME Group provides three clearing services. Two of them, named CDS and IRS, focus on clearing
over-the-counter transactions in credit derivatives and interest rate swaps respectively. The third, named Base, clears the exchangetraded
futures and options derivatives that form the core of CME’s business.
Sources: Individual CCP responses to the CPMI-IOSCO Principles for Financial Market Infrastructures Public Quantitative Disclosure Standards for
Central Counterparties
Key Threats to Financial Stability 51