Global Statistical Bulletin Q2 2019: CCP12 Insights
Explore key insights from the CCP12 Global Statistical Bulletin for Q2 2019, providing an overview of risk management practices by Central Counterparties worldwide, including initial margin requirements and collateral utilization.
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Presentation Transcript
Public Quantitative Disclosure Global Statistical Bulletin Q2 2019 October 2019
The CCP12 Global Statistical Bulletin The CCP12 Global Statistical Bulletin gives an overview of the risk management provided by Central Counterparties around the globe. It seeks to complement existing public statistics, such as the BIS derivatives statistics, by providing a summary of key indicators. The data is compiled directly from the source the CCPs themselves according to a standardized template carrying information stipulated in global regulatory guidance. Further details for individual CCPs can be found in links provided on the CCP12 website (http://ccp12.org/ccp12-public-quantitative-disclosures/). This statistical bulletin helps to inform participants, authorities, and the general public of key features of the scale and nature of financial market infrastructurerisk management. This publication underlines the scope and scale of risk mitigation provided by central clearing. In this collation 39 CCPs (representing 24 CCP12 members) are included: 11 CCPs from the Americas, 15 CCPs from APAC, and 13 CCPs from EMEA For Q2 2019 the CCPs included in the collation require over USD 746 billion of initial margin and USD 92 billion default fund resources CCPs risk-manage their clearing exposure by collecting mark-to-market losses through regular variation (or similar) margin payments CCPs exposure to credit risk is collateralizedthroughhigh-quality and liquid collateral Please send your questions to: question.pqd@ccp12global.com
Highlights of Public Quantitative Disclosures Q2 2019 (in $B USD) Global Initial Margin Requirement * Global Initial Margin Requirement * Total Global Initial Margin Requirement * $746 Total Global Default Fund Requirement * $92 343 300 Required House Initial Margin 41% Total Global CCP Collateral Requirement * $838 Total Global Average Daily Variation Margin $31.6 Required Client Initial Margin 59% Global CCP Collateral Held * in form of: 93 Initial Margin Default Fund Cash At Central Bank Secured Cash (incl. Reverse Repos) Unsecured at Commercial Banks 11% 11% 5% 35% 15% 11% CLEARING MEMBER (HOUSE) CLIENT NET CLIENT GROSS Non-Cash Sovereign Government Bonds Domestic Sovereign Government Bonds Foreign Agency Bonds State/ Municipal bonds Corporate Bonds Equities Mutual Funds / UCITs Commodities - Gold Commodities - Other Other 36% 18% 1% 0% 6% 8% 0% 0% 0% 3% 29% 4% 4% 0% 1% 0% 0% 0% 0% 1% Total Global Average Daily Variation Margin Q1 2019 Average 30.3 Q2 2019 Average 31.6 - 2 4 6 8 10 12 14 16 18 20 22 24 26 28 30 32 34 * Figures as of quarter end, Sum of IM Required split by House/Clients (Net and Gross) is lower than Total IM required, due to no breakdown of IM required of NSE and HKSCC
