OFR_2016_Financial-Stability-Report

Figure 50: CCP Ratios and Amounts for Liquidity and Concentration
Margin accounts are relatively large for traditional options and futures markets
CME
ICE Clear
Credit
LCH.Clearnet Ltd.
Options
Clearing
Corp.
Base
IRS
CDS
ICC CDS
SwapClear a
Other
(OCC)
Liquidity
Customer initial margin (IM) held
as liquid assets b $92.18 billion $9.85 billion $36.33 billion
House initial margin (IM) held as
liquid assets b $22.96 billion $10.30 billion $94.06 billion
Peak variation margin (VM) paid
to the CCP on any one day in the
previous year
$13.01 billion $1.08 billion
$18.61 billion
$15.81 $1.55
billion billion d 0.00
Total liquid IM / total IM 83.1% 98.5% 97.1% 33.3% c
Total liquid IM / average daily
VM (ratio)
Total liquid IM / peak daily VM
(ratio)
Concentration
34.3x 101.9x 37.2x -
8.8x 18.7x - d -
Exposures: Top 5 member share
of daily average exposure
IM: Top 5 member share of daily
average IM
IM: Top 5 member share of peak
daily IM
GF: Top 5 member share of daily
average guarantee fund (GF)
52.7% 65.4% 66.2% 44.0% 28.2% 77.8% 54.0%
48.8% 65.4% 68.8% 42.0% 23.3% 73.1% 39.0%
49.9% 65.4% 68.8% 45.0% 24.1% 75.8% 42.0%
49.6% 49.3% 38.5% 38.0% 15.7% 62.4% 42.0%
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 OFR defines liquid initial margin (IM) as IM held in central banks, secured and unsecured deposits with commercial banks, and government
bonds.
c OCC allows the use of referenced equity securities to collateralize covered calls. If its posted equity assets were included as liquid
assets, its initial margin would be 98.13 percent liquid.
d LCH.Clearnet Ltd. reports peak variation margin exposures by product class rather than as a joint exposure to the entire CCP, but
reports liquid asset classifications on an aggregate basis. If those peak variation margin exposures were summed, reflecting a perfect
correlation across product classes, the resulting ratio would be 7.51x.
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 Infrastructure Public Quantitative Disclosure Standards for
Central Counterparties
54 2016 | OFR Financial Stability Report