OFR_2016_Financial-Stability-Report

Figure 49. CCP Default Waterfall ($ billions)
CME
ICE Clear
Credit
LCH.Clearnet Ltd.
Options Clearing
Corporation
Base
IRS
CDS
ICC CDS
SwapClear a
Other
OCC
Required customer
initial margin b $83.37 $19.66 $0.86 $9.57 $36.62 $0.69 $36.98
Required house
initial margin
Total initial margin
held less required
initial margin
CCP “skin in the
game”
Required prepaid
guarantee fund
Guarantee fund held
in excess of
requirement
$14.13 $8.10 $0.73 $9.76 $57.35 $12.27 $4.70
$11.76 c $1.13 $27.33 c $14.23 d
$0.10 $0.15 $0.05 $0.05 $0.06 $0.02 $0.25 e
$3.28 $2.85 $0.65 $1.37 $4.85 $1.65 $5.75
$0.19 $0.16 $0.02 $0.22 ($0.00) ($0.00) $0.42
Assessment power $9.01 $1.91 $0.15 $1.37 $4.85 $1.65 $5.75
a Some items are reported by LCH.Clearnet Ltd. by product class rather than by clearing service. The OFR has used figures for OTC IRS
(over-the-counter interest rate swaps) to represent the SwapClear clearing service.
b This row reflects gross required initial margin (IM), except for LCH.Clearnet Other. In that case, the OFR used net required margin
because the gross amount was not reported. OCC reports part of its required IM amount on a net basis.
c Total initial margin held is reported at the CCP level for CME and LCH.Clearnet, and thus aggregates across multiple clearing services.
d This figure is calculated using post-haircut amounts for instances in which pre-haircut amounts were not reported by OCC. The figure
also includes $4.85 billion in secured cash on deposit at commercial banks (such as reverse repo transactions), which was reported in
OCC’s explanatory notes.
e In 2015, OCC increased its capital after it became a systemically important financial market utility. As provided for in OCC’s bylaws,
Article VIII, Section 5(d), OCC could contribute its corporate capital in the event of a default. For this reason, OCC’s end-of year value
in 2015 of $247 million of equity has been included in OCC’s potential skin-in-the-game contribution. These funds would be available
once the rest of the waterfall had been exhausted.
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. LCH.Clearnet Ltd. provides seven clearing services, the
largest of which is SwapClear. The column titled Other aggregates information from the remaining six clearing services.
Sources: Individual CCP responses to the CPMI-IOSCO Principles for Financial Market Infrastructures Public Quantitative Disclosure Standards for
Central Counterparties
52 2016 | OFR Financial Stability Report