Committee on
Payments and Market
Infrastructures
Board of the International
Organization of Securities
Commissions

Public quantitative
disclosure standards forcentral counterparties

February 2015

This publication is available on the BIS website (www.bis.org) and the IOSCO website (www.iosco.org).

©

Bank for International Settlements and International Organization of Securities Commissions 2015. All
rights reserved. Brief excerpts may be reproduced or translated provided the source is stated.

Statement by IOSCO: Certain IOSCO authorities may consider rule proposals or standards that relate to
the substance of this report. These authorities provided information to IOSCO or otherwise participated in
the preparation of this report, but their participation should not be viewed as an expression of a judgmentby these authorities regarding their current or future regulatory proposals or of their rulemaking or
standards implementation work. This report thus does not reflect a judgment by, or limit the choices of,these authorities with regard to their proposed or final versions of their rules or standards.

ISBN 978-92-9197-048-3 (online)

Introduction
The CPSS-IOSCO Principles for financial market infrastructures (PFMI)1 states that financial market
infrastructures (FMIs) should provide relevant information to participants, relevant authorities and thebroader public. Quantitative data are important components of the set of public disclosures that is
expected of FMIs as part of satisfying the PFMI. This document sets out the public quantitative disclosure
standards that central counterparties (CCPs) are expected to meet. These standards complement theDisclosure framework published by CPSS and IOSCO in December 2012.
These quantitative disclosures, together with the Disclosure framework, form the minimum disclosures
expected of CCPs under Principle 23, Key Consideration 5, of the PFMI. CCPs are encouraged tocomplete this minimum set of disclosures as soon as practicable, and by 1 January 2016 at the latest, andto update in accordance with the frequencies set out in the matrix below.
CCPs should work with the relevant authorities on the preparation of the disclosures. CPMI2 and IOSCO
will review the consistency of the disclosures as part of their wider work on monitoring implementationof the PFMI.

Purpose of the disclosures
The disclosures are intended to support the objectives of enabling stakeholders, including authorities,
participants (direct, indirect and prospective) and the public, to:compare CCP risk controls, including their financial condition and financial resources towithstand potential losses;have a clear, accurate and full understanding of the risks associated with a CCP (in accordancewith Principle 23, Key Consideration 5);understand and assess a CCP’s systemic importance and its impact on systemic risk in all
jurisdictions and currency areas for which it provides services, from which it has material
membership or in which there are linked infrastructures; andunderstand and assess the risks of participating in CCPs (directly, and, to the extent relevant,indirectly).

Principle 23 states that FMIs should, at a minimum, disclose “basic data” on transaction volumes andvalues. Principle 23 also states that FMIs should disclose data on their financial condition, their financial
resources to withstand potential losses, the timeliness of settlements, and other performance statistics.
They should disclose sufficient information for participants and prospective participants to understandfully the risks of participating in the system. This disclosure is expected to be to the public rather thanrestricted to participants or members. The Public quantitative disclosure standards for central
counterparties establish a common set of such “basic data” on transaction volumes and values, and acommon minimum set of quantitative information on the financial condition, financial resources andperformance of a CCP.

1

CPSS-IOSCO Principles for financial market infrastructures (April 2012).

2

The Committee on Payment and Settlement Systems (CPSS) changed its name to the Committee on Payments and Market
Infrastructures (CPMI) in September 2014.

CPMI-IOSCO – Public quantitative disclosure standards for central counterparties – February 2015

1

The quantitative disclosures should be seen and interpreted as a part of the overall disclosures made by
CCPs to satisfy Principle 23 and the Disclosure framework. Given the differences between the markets
and products cleared by CCPs, and differences in CCP structure, it is likely to be important for CCPs tocomplement the minimum quantitative disclosures with appropriate explanatory notes, and links toother qualitative disclosures, so that recipients can understand the data correctly.
In the context of understanding and assessing the risks of participating in CCPs, the objective of CPMI
and IOSCO is not to provide policy guidance on a set of information that is sufficient for counterparty
due diligence reviews, notwithstanding that the proposed metrics would be supportive of such reviews.
To complete such due diligence reviews, CCP participants may have legitimate requirements for
additional information from CCPs.
In preparing these quantitative disclosure standards CPMI and IOSCO have had regard to comments
provided by CCPs and CCP participants during the consultation period. CPMI and IOSCO have alsosought to avoid imposing unreasonable or disproportionate additional burden on CCPs and havetherefore endeavoured to focus on data that most or all CCPs would generally collect and maintain aspart of day-to-day business and risk management. CCPs have indicated that making information
available to all in a standardised format would potentially be less burdensome to CCPs than meeting
multiple separate requests for information from different parties. The data are almost all anonymised
and aggregated, and the degree of granularity has been set so as to avoid revealing sensitive
information about the positions of individual CCP participants. Overall, therefore, the standards attempt
to reflect the feedback received from CCPs and other respondents on the benefits and costs ofpublishing the information.

Frequency and type of disclosure
The matrix below follows the structure of the PFMI. When completing and reading the disclosure matrix,
CCPs and readers should do so in conjunction with the explanatory notes at the end of the matrix.
To serve their purpose in allowing evaluation and comparison of CCPs, most of these quantitative
disclosures will need to be updated more frequently than the Disclosure framework (which should be
updated on at least a biennial basis). Updates to the quantitative disclosures should be in accordancewith the frequencies set out in the matrix.
CPMI and IOSCO expect CCPs to use a common template within which to publish their quantitative
disclosures. There was strong demand from respondents in the public consultation for such a common
approach as it will help to enable all CCPs to disclose comprehensive and objective information in asimilar structure to facilitate comparability across CCPs.3 CPMI and IOSCO encourage CCPs, theirrepresentative bodies and their participants to work together to develop such a common template, andto consult CPMI and IOSCO on their proposed solution.
A completed version of the matrix should be provided on the CCP’s website in an accessible format.
Previous reports should remain available and CCPs should consider making data available as a timeseries.
In order for the objectives of disclosure to be achieved, it is essential that reporting is accurate. CCPs
should ensure their disclosures are subject to appropriate quality control.

32

The consultation version of Public quantitative disclosure standards for central counterparties was published in October 2013.

CPMI-IOSCO – Public quantitative disclosure standards for central counterparties – February 2015

In some cases specific features of a CCP’s operations or business model will mean that some of the listed
quantitative data are not relevant or, more rarely, that data would be relevant but are not available.
Where this is the case, CCPs should explain the reasons for this in their disclosure. If a particular data
item is considered by the CCP to reveal confidential information about a CCP participant, the CCP should
explain to its supervisory authorities its proposal to exclude the particular data item from the publisheddisclosures. It is envisaged, however, that such exclusions will be exceptional and, where the elapse oftime means there is no longer material sensitivity to the data, temporary.
More generally, CCPs are encouraged to add explanatory notes wherever they consider this will aid
understanding, where there may otherwise be a risk of misinterpretation or where this will increase theusefulness and comparability of the data.

CPMI-IOSCO – Public quantitative disclosure standards for central counterparties – February 20153

Matrix
See the explanatory notes after the matrix for more information about the data required.
There are no quantitative disclosure requirements in the matrix relating to PFMI Principles 1-3, 8-11, 21,
22 and 24.
Disclosure
4.
4.1

4

Frequency and type of data

Credit risk (Principle 4)
Total value of default resources (excluding initial and retained variation margin),
split by clearing service if default funds are segregated by clearing service [seeexplanatory notes], split by:(a) pre-funded
i. own capital that forms part of the default waterfall (further split bywhether used before, alongside, or after, member contributions)ii. aggregate participant contributions (both amount required and posthaircut amount posted, where different)iii. other(b) committed
i. own/parent funds that are committed to address a participant default(or round of participant defaults)
ii. aggregate participant commitments to address an initial participant
default (or initial round of participant defaults)
iii. aggregate participant commitments to replenish the default fund todeal with a subsequent participant default (or round of participant
defaults) after the initial participant default (or round of participant
defaults) has been addressediv. other[see explanatory notes]

Quarterly

4.2

KCCP
Kccp need only be reported by those CCPs which are, or seek to be, a “qualifying
CCP” under relevant law.
[see explanatory notes]

Quarterly

4.3

Value of pre-funded default resources (excluding initial and retained variation
margin) held for each clearing service, in total and split by:• Cash deposited at a central bank of issue of the currency concerned• Cash deposited at other central banks• Secured cash deposited at commercial banks (including reverse repo)• Unsecured cash deposited at commercial banks• Non-casho sovereign government bonds
domesticothero agency bondso state/municipal bondso corporate bondso equitieso commodities
gold
other (please describe)o mutual funds / UCITso other (please provide explanation of type of asset)
Amounts should be reported both pre-haircut (ie at market value) and at posthaircut value.

Quarterly

As at quarter end

As at quarter end [though see
explanatory notes]

CPMI-IOSCO – Public quantitative disclosure standards for central counterparties – February 2015

4.4

State whether the CCP is subject to a minimum “Cover 1” or “Cover 2”
requirement in relation to total pre-funded default resources.

All disclosures to bequarterly

For each clearing service, state the number of business days within which the
CCP assumes it will close out the default when calculating credit exposures thatwould potentially need to be covered by the default fund.
For each clearing service, what is the estimated largest aggregate stress loss (inexcess 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?

Peak day amount in previous
twelve months, and mean
average over previous twelve
months.

Report the number of business days, if any, on which the above amountexceeded actual pre-funded default resources (in excess of initial margin) and by
how much.

No. of days in quarter, andamount of excess on each day.

For each clearing service, what was the actual largest aggregate credit exposure(in excess of initial margin) to any single participant and its affiliates (includingtransactions cleared for indirect participants)?

Peak day amount in previous
twelve months, and mean
average over previous twelve
months.

For each clearing service, what is the estimated largest aggregate stress loss (inexcess of initial margin) that would be caused by the default of any twoparticipants and their affiliates (including transactions cleared for indirect
participants) in extreme but plausible market conditions?

Peak day amount in previous
twelve months, and mean
average over previous twelve
months.

Report the number of business days, if any, on which the above amountexceeded actual pre-funded default resources (in excess of initial margin) and by
how much.

No. of days in quarter, andamount of excess on each day.

For each clearing service, what was the actual largest aggregate credit exposure(in excess of initial margin) to any two participants and their affiliates (includingtransactions cleared for indirect participants)?

Peak day amount in previous
twelve months, and mean
average over previous twelve
months.

[see explanatory notes]
5.
5.1

Collateral (Principle 5)
Assets eligible as initial margin, and the respective haircuts applied

Update as changes are made[see explanatory notes]
5.2

Assets eligible for pre-funded participant contributions to the default resources,
and the respective haircuts applied (if different from 5.1)

Update as changes are made5.3

Results of testing of haircuts – please state the:Quarterly•

confidence interval targeted through the calculation of haircuts•

assumed holding/liquidation period for the assets accepted,•

look-back period used for testing the haircuts,•

the number of days during the look-back period on which the fall in value
during the assumed holding/liquidation period exceeded the haircut on anasset.

[see explanatory notes]

CPMI-IOSCO – Public quantitative disclosure standards for central counterparties – February 2015

5

6.

Margin (Principle 6) [see explanatory notes]

Initial margin
6.1

For each clearing service, total initial margin required, split by house and client(or combined total if not segregated)
For each clearing service, state whether initial margin for the positions of
indirect participants must be provided for each indirect participant’s own
position (gross), or for the net position of a group of indirect participants (“net”
or “net omnibus”)

Quarterly
As at quarter end [though
see explanatory notes]
Quarterly[see explanatory notes]
6.2

For each clearing service, total initial margin held, split by house and client (ifsegregated).
For each of the overall house and client totals (or for just the overall total
posted, if house and client are not segregated), the amounts of:•Cash deposited at a central bank of issue of the currency concerned•

Cash deposited at other central banks•

Secured cash deposited at commercial banks (including reverse repo)•

Unsecured cash deposited at commercial banks•

Non-cashoQuarterly
As at quarter end [though
see explanatory notes]

sovereign government bonds
domesticotheroagency bondsostate/municipal bondsocorporate bondsoequitiesocommodities
gold
other

o

mutual funds / UCITsoother (please provide explanation of type of asset)

Amounts should be reported both pre-haircut (ie at market value) and at posthaircut value.
[see explanatory notes]
6.3

Initial margin rates on individual contracts, where the CCP sets such rates

Update as changes are made[see explanatory notes]
6.4

Type of initial margin model used (e.g. portfolio simulation or risk aggregation)for each clearing service and the key model design parameters for each initial
margin model applied to that clearing service – key parameters including, but
not limited to:

Quarterly
CCPs should list all changes
made during the quarter
including effective dates.

(i) single-tailed confidence level targeted;(ii) sample/data look-back period for calibrating the model;(iii) adjustments or scalars or weighting, if any, applied to historical data (e.g. toreflect changes in volatility);(iv) close-out/holding periods by product (or, if varying, contract type);(v) for risk aggregation models, the margin rate per contract and details of theoffsets between different contracts [e.g. for SPAN style models this might
include inter-month spread charges and inter-contract spread credits];(vi) the frequency of parameter reviews.
[see explanatory notes]

6

CPMI-IOSCO – Public quantitative disclosure standards for central counterparties – February 2015

6.5

Results of back-testing of initial margin. At a minimum, this should include, foreach clearing service and each initial margin model applied to that clearing
service:

Quarterly(a) Number of times over the past twelve months that margin coverage held
against any account fell below the actual marked-to-market exposure ofthat member account – based on daily back-testing results*(b) Number of observations (i.e. number of accounts multiplied by number ofdays covered in the back test)(c) Achieved coverage level, i.e. [(b) – (a)]/(b)* Specify if measured intraday/continuously or only once a day. If once a day,specify at what time of day.
Where breaches of initial margin coverage (as defined in 6.5(a)) have occurred,
report on size of uncovered exposure.

Peak and average amount ofexcess[see explanatory notes]
Margin calls
6.6

Average total variation margin paid to the CCP by participants each businessday.
[see explanatory notes]

6.7
6.8
7.
7.1

Quarterly
Average per business day
over the quarter

Maximum total variation margin paid to the CCP on any given business day
over the period.

Quarterly

Maximum aggregate initial margin call on any given business day over theperiod.

Quarterly

Maximum over quarter
Maximum over quarter

Liquidity risk (Principle 7) [see explanatory notes]
State whether the clearing service maintains sufficient liquid resources to'Cover 1' or 'Cover 2'.

Quarterly
As at quarter end

Size and composition of qualifying liquid resources for each clearing service (orat aggregate CCP level if not managed at clearing service level) – for eachrelevant currency – split by:(a) Cash deposited at a central bank of issue of the currency concerned(b) Cash deposited at other central banks(c) Secured cash deposited at commercial banks (including reverse repo)(d) Unsecured cash deposited at commercial banks(e) secured committed lines of credit (ie those for which collateral/security will
be provided by the CCP if drawn) including committed foreign exchange
swaps and committed repos;(f) unsecured committed lines of credit (ie which the CCP may draw without
providing collateral/security);(g) highly marketable collateral held in custody and investments that are readily
available and convertible into cash with prearranged and highly reliable
funding arrangements even in extreme but plausible market conditions;(h) other (please specify).
State whether the CCP has routine access to central bank liquidity or facilities.

Quarterly[see explanatory notes]
If, in using qualifying liquid resources the CCP is required or allowed to givepriority to meeting certain payment obligations, please provide or reference:•the schedule of payments or priority for allocating payments, if such exists;•

any applicable rule, policy, procedure, and governance arrangement aroundsuch decision making.

CPMI-IOSCO – Public quantitative disclosure standards for central counterparties – February 2015

7

7.2

Size and composition of any supplementary liquidity risk resources for eachclearing service above those qualifying liquid resources above.

Quarterly
As at quarter end[see explanatory notes]
7.3

For each clearing service (or at the aggregate CCP level if not managed atclearing service level):

All disclosures to bequarterlyWhat is the estimated largest same-day and, where relevant, intraday andmultiday payment obligation in total that would be caused by the default of
any single participant and its affiliates (including transactions cleared forindirect participants) in extreme but plausible market conditions?

Forward looking measurereported quarterly

Report the number of business days, if any, on which the above amountexceeded its qualifying liquid resources (identified as in 7.1, and available atthe point the breach occurred), and by how much.

No. of days in quarter, andamount of excess on eachdayWhat is the actual largest intraday and multiday payment obligation of asingle participant and its affiliates (including transactions cleared for indirect
participants) over the past twelve months?

Peak day amount in previous
twelve months

What is the estimated largest same-day and, where relevant, intraday andmultiday payment obligation in each relevant currency that would becaused by the default of any single participant and its affiliates (includingtransactions cleared for indirect participants) in extreme but plausible
market conditions?

Forward looking measurereported quarterly

Report the number of business days, if any, on which the above amounts
exceeded its qualifying liquid resources in each relevant currency (asidentified in 7.1 and available at the point the breach occurred), and by how
much.

No. of days in quarter, andamount of excess on eachday[see explanatory notes]
12. Exchange of value settlement systems (Principle 12)12.1

Percentage of settlements by value effected using a DvP, DvD or PvP settlement
mechanism

Quarterly[see explanatory notes]
12.2

Percentage of settlements by volume effected using a DvP, DvD or PvP
settlement mechanism

Quarterly[see explanatory notes]
13. Default rules and procedures (Principle 13)
13.1

CCPs are encouraged, subject to legal constraints on timing and content, todisclose as soon as practicable quantitative information related to defaults, such
as:

•
•
•

Ad-hoc[see explanatory notes]

Amount of loss versus amount of initial margin
Amount of other financial resources used to cover losses
Proportion of client positions closed-out/ported

Appropriate references to other published material related to the defaults may
also be helpful.

8

CPMI-IOSCO – Public quantitative disclosure standards for central counterparties – February 2015

14. Segregation and portability (Principle 14)
14.1

Split, by clearing service, of total client positions held in:

Quarterly(a) individually segregated accounts;

As at quarter end(b) omnibus client-only accounts, other than LSOC accounts (see below);(c) legally segregated but operationally comingled (LSOC) accounts;(d) comingled house and client accounts;
as a share of notional values cleared or of the settlement value of securities
transactions.
[see explanatory notes]
15. General business risk (Principle 15) [see explanatory notes]
15.1(a) Value of liquid net assets funded by equity

Annual(b) Six months of current operating expenses[see explanatory notes]
15.2

Financial disclosures: including, but not limited to,

•
•
•
•
•

15.3

Annualtotal revenue,
total expenditure,
profits,
total assets,
total liabilities.

Explain if collateral posted by clearing participants is held on or off the CCP’sbalance sheet.

AnnualIncome breakdowns:

Annual•percentage of total income that comes from fees related to provision ofclearing services;•percentage of total income that comes from the reinvestment (orrehypothecation) of assets provided by clearing participants.

16. Custody and investment risks (Principle 16)
16.1

Total cash (but not securities) received from participants, regardless of the form
in which it is held, deposited or invested, split by whether it was received as
initial margin or default fund contribution

CPMI-IOSCO – Public quantitative disclosure standards for central counterparties – February 2015

Quarterly
As at quarter end [though
see explanatory notes]

9

16.2

How the total cash received from participants (ie the combined total of initial
margin and default fund contributions in 16.1) is held/deposited/invested,
including:•

Quarterly
As at quarter end [though
see explanatory notes]

percentage of this total participant cash held as cash deposits (including
through reverse repo); further split into:

percentage held:oas cash deposits at central banks of issue of the currency deposited;oas cash deposits at other central banks;oas cash deposits at commercial banks; of which:percentage secured (including through reverse repo);
percentage unsecured;oin money market funds;oin other forms (please specify).

percentage split by currency of these cash deposits (including reverserepo) and money market funds - local currency, USD, EUR, other
Also:



•

weighted average maturity of these cash deposits (including reverserepo) and money market funds

percentage of this total participant cash invested in securities; further split
into:

percentage invested inosovereign government bonds; of which:domestic;other;

oagency bonds;ostate/municipal bonds;oother instruments (please describe);

percentage split by currency of these securities - local currency, USD,
EUR, other.
Also:



weighted average maturity of these securities

Provide an estimate of the risk on the investment portfolio (excluding central
bank and commercial bank deposits) (99% one-day VaR, or equivalent)State if the CCP investment policy sets a limit on the proportion of theinvestment portfolio that may be allocated to a single counterparty, and thesize of that limit.
State the number of times over the previous quarter in which this limit has been
exceeded.
16.3

Rehypothecation of participant assets (ie non-cash) by the CCP where allowed,
split by initial margin and default fund:•total value of participant non-cash rehypothecated;•maturities (overnight/one day; over one day and up to one week; over one
week and up to one month; over one month and up to one year; over one
year and up to two years; over two years);

Quarterly
As at quarter end [though
see explanatory notes]

17. Operational risk (Principle 17)
17.1

Operational availability target for the core system(s) involved in clearing(whether or not outsourced) over specified period for the system (e.g. 99.99%
over a twelve-month period)

Quarterly[see explanatory notes]

10

CPMI-IOSCO – Public quantitative disclosure standards for central counterparties – February 2015

17.2

Actual availability of the core system(s) over the previous twelve month period.

Quarterly

17.3

Total number and duration of failures affecting the core system(s) involved inclearing over the previous twelve month period

Quarterly

17.4

Recovery time objective(s) (e.g. within two hours)

Quarterly

18. Access and participation requirements (Principle 18)
18.1

Number of clearing members, by clearing service, split by:

Quarterly•

category of membership (e.g. direct clearing member, general clearing
member [see explanatory notes]);

As at quarter end•

type of participant (central bank, CCP, bank, other); and•domestic or foreign participants.

[see explanatory notes]
18.2

For each clearing service with ten or more members, but fewer than 25
members:-

Average and peak end-ofday value in previous quarter

Percentage of open positions held by the largest five clearing members,
including both house and client, in aggregate

For each clearing service with 25 or more members:-

Percentage of open positions held by the largest five and ten clearing
members, including both house and client, in aggregate[see explanatory notes]
18.3

For each clearing service with ten or more members, but fewer than 25
members:-

Average and peak end-ofday value in previous quarter

Percentage of initial margin posted by the largest five clearing members,
including both house and client, in aggregate

For each clearing service with 25 or more members:-

Percentage of initial margin posted by the largest five and ten clearing
members, including both house and client, in aggregate[see explanatory notes]
18.4

For each segregated default fund with ten or more members, but fewer than 25
members:-

Quarterly (end of quarter
value)

Percentage of participant contributions to the default fund contributed bylargest five clearing members in aggregate

For each segregated default fund with 25 or more members:-

Percentage of participant contributions to the default fund contributed bylargest five and ten clearing members in aggregate[see explanatory notes]
19. Tiered participation arrangements (Principle 19)
19.1

Measures of concentration of client clearing:

Quarterly

Number of clients (if known)

As at quarter end

Number of direct members that clear for clients
Per cent of client transactions by clearing service (by total gross notional forderivatives or total cleared value of securities transactions or similar)
attributable to the top five clearing members (if the CCP has ten or moreclearing members) and top ten clearing members (if the CCP has 25 or moreclearing members)[see explanatory notes]

CPMI-IOSCO – Public quantitative disclosure standards for central counterparties – February 201511

20. FMI Links (Principle 20)
Interoperability
20.1

Value of trades cleared through each link, by clearing service – as a share of
total trade values/total notional values cleared in that service

Quarterly[see explanatory notes]
20.2

20.3

20.4

Initial margin or equivalent financial resources provided to each linked CCP by
the CCP to cover the potential future exposure of the linked CCP on contracts
cleared across link

Quarterly

Initial margin or equivalent financial resources collected from each linked CCP
to cover potential future exposure to the linked CCP on contracts cleared acrosslink (at market value and post-haircut)

Quarterly

Results of back-testing of coverage of initial margin or equivalent financial
resources on trades cleared through each link. At a minimum this should
include:Quarterly

As at quarter end [though
see explanatory notes]
As at quarter end [though
see explanatory notes](a) Number of times over the past twelve months that coverage provided bymargin and equivalent financial resources held against each linked CCP fell
below the actual marked-to-market exposure to that linked CCP – based ondaily back testing results*(b) Number of observations (i.e. number of accounts multiplied by number ofdays covered in the back test)(c) Achieved coverage level i.e. [(b) – (a)]/(b)*specify if measured intraday/continuously or only once a day. If once a day,specify at what time of day.
20.5

20.6

Additional pre-funded financial resources (if any) beyond initial margin andequivalent financial resources provided to each linked CCP, that are available tothe linked CCP to cover exposures to the CCP and whether part of, additionalto, or separate from the standard default fund (please specify)

Quarterly

Additional pre-funded financial resources (if any) beyond initial margin andequivalent financial resources collected from each linked CCP, that areavailable to the CCP to cover exposures to the linked CCP and whether part of,additional to, or separate from the standard default fund (please specify)

Quarterly

As at quarter end [though
see explanatory notes]

As at quarter end [though
see explanatory notes]

Cross margining
20.7(a) Value of trades subject to cross margining, by clearing service, as apercentage of total trade values/total notional values cleared

Quarterly(b) Reduction in total initial margin held by the CCP as a result of crossmargining, as a percentage of total initial margin that would otherwise havebeen held.

Quarterly
As at quarter end [though
see explanatory notes]

23. Disclosure of rules, key procedures, and market data (Principle 23)
23.1

Average daily volumes and notional values of new trades cleared, by
instrument/asset class, by currency, and split by OTC or exchange-traded[see explanatory notes]

23.2

Gross notional outstanding/total settlement value of novated but not-yetsettled securities transactions per instrument/asset class and currency and split
by OTC or exchange-traded

Quarterly
Average per business day
over the quarter
Quarterly
At end of quarter[see explanatory notes]
23.3

Average daily volumes and notional contract values submitted by each
execution facility or matching/confirmation venue

Quarterly[see explanatory notes]

12

CPMI-IOSCO – Public quantitative disclosure standards for central counterparties – February 2015

Explanatory notes
These explanatory notes support the quantitative disclosure matrix for CCPs, providing: (i) general
instructions for completing the matrix; and (ii) more detailed guidance regarding selected items in thematrix. The quantitative disclosure matrix should also be read in conjunction with the CPSS-IOSCO
Principles for financial market infrastructures and the related Disclosure framework.

General instructions
Confidential information: These standard disclosures are designed so that they do not reveal
confidential information about individual clearing members, clients or other relevant stakeholders.
Frequency: Disclosures should be made with the frequency requested in the disclosure matrix(i.e. quarterly, annually, or as key metrics are changed). Certain items request quarterly disclosures ‘over
the past twelve months’ – these disclosures should be made every quarter, covering the preceding
twelve months.
Type of data: CCPs should provide mean values for disclosures requiring an ‘average’. Certain items
request data in the form of an ‘Average per business day over the quarter’ or a ‘Maximum over thequarter’ – these disclosures do not request a time series covering each day in the quarter, but rather asingle number which is the average/maximum over all business days in the quarter.
Reporting lag: CPMI and IOSCO recognise that some reporting lag may be necessary, however, in orderto ensure relevant information is made available, a reporting lag of between one and two months is
expected. (If disclosure of some data items to this timetable would result in publication in advance of
publication dates required under listing rules, the CCP should delay disclosure until the date set under
the relevant listing rules.)Disclosure ‘by clearing service’: Disclosure of certain items is requested ‘for each clearing service’,
which is defined to mean products covered by a segregated default fund. CCPs are encouraged toprovide more granularity where this would increase the usefulness of the data.
Clarifying comments: CCPs are encouraged to provide clarifying remarks alongside their disclosures
where they consider this will aid understanding or that there may otherwise be a risk of
misinterpretation. In some cases, specific features of a CCP’s operations or business model will meanthat some of the listed quantitative data are not relevant or, more rarely, that data would be relevant but
are not available. Where this is the case, CCPs should explain the reasons for this in their disclosure.
Definition of client: Throughout this document the term ‘client’ is used to refer to a market participant
who accesses the CCP indirectly, through a clearing member (also known as a customer or an indirect
participant).

Principle-by-principle notes
Principle 4: Credit risk
Item 4.1: This item seeks disclosure of default resources that are available to cover a member default
should the margin or equivalent (for example sums paid in by participants to cover their options
liabilities) paid by participants to cover their own liabilities to the CCP prove insufficient.

CPMI-IOSCO – Public quantitative disclosure standards for central counterparties – February 201513

4.1(a)(i) should be identical to DFCCP as defined in BCBS 282.4 Where the CCP’s own capital forms part ofthe default waterfall and potentially covers multiple clearing services with separate segregated default
funds, the CCP will have to allocate its capital contribution to each of the segregated funds in proportion
to the respective product-specific exposure at default in line with BCBS 282.
4.1(a)(ii) should be identical to DFCM as defined in BCBS 282.
Where commitments in section 4.1(b) are unlimited, state that these are unlimited. Commitments thatare reserved to replenish the CCP’s own capital or equity should not be included here, ie 4.1(b)(ii) and4.1(b)(iii) seek disclosure of commitments to replenish the CCP’s default fund, not the CCP’s own capitalor equity. Rules-based agreements to accept variation margin or other gains-based haircuts should not
be disclosed as commitments, but CCPs should disclose details of such arrangements in line with theguidance on recovery planning (see CPMI-IOSCO Recovery of financial market infrastructures, October2014).
Item 4.2: For a definition of KCCP, see BCBS 282. KCCP may be reported more frequently than quarterly if a
CCP is required, under relevant law, to report it to supervisors of clearing members more frequently thanquarterly.
Item 4.3: Disclosures should be based on the form in which default resources are held, not the form inwhich they were paid to the CCP. This item requests disclosures ‘as at quarter end’. If a CCP does notconsider the composition of collateral at quarter end to be representative, it is encouraged to provide
explanatory notes outlining why this is the case, and to provide additional metrics such as quarterly
averages, or maximums, minimums, and interquartile ranges. CCPs are also encouraged to disclose any
limits on the amount of collateral of a particular type that the CCP will accept if this will assist in enablinga clear understanding of risks. For CCPs which do not specifically record whether asset holdings
correspond to default fund contributions (whether provided by CCP participants or from the CCP’s own
funds) or to margin provided by participants, the CCP should provide an explanatory note to this effect,and explain its methodology for describing the form in which default fund contributions are held (forexample by assuming the proportion of each asset accounted for by default fund is pro-rata to the
proportion of total funding that comes from default fund contributions.
Item 4.4: This item is where the results of a CCP’s stress-testing of its financial resources are expected tobe disclosed. CCPs should specify in their supporting comments to the matrix whether they are subject
to a “Cover 1” or “Cover 2” requirement in relation to their total pre-funded default resources, butshould report both results so that both Cover 1 and Cover 2 metrics can be compared with actual default
resources. These disclosures create no new regulatory obligation for CCPs subject to a Cover 1
requirement to also satisfy a Cover 2 requirement. The disclosures instead aim to support transparency
between the CCP and its participants on how safety and efficiency considerations have been balanced in
response to different stress scenarios and the decisions that have been made with regard to default fundcoverage. Where a CCP is only required to meet a Cover 1 standard, providing disclosure also on its
estimated cover 2 requirement may facilitate additional comparisons across CCPs. Nevertheless, becauseof certain factors, including the size of the market the CCP serves, the CCP’s share of that market, andwhether a small number of participants account for a disproportionate amount of the CCP’s clearing
activity, comparison between cover 1 and cover 2 metrics alone will still give an incomplete comparisonof relative default fund coverage. Accordingly, CCPs should provide a comparison with default resources– as in item 4.3, market share data – in accordance with part 23 of the matrix, and other clarifying
remarks, as appropriate, alongside their disclosure related to Cover 1 and Cover 2 metrics to further help
the reader understand the default fund coverage.

4

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BCBS Capital requirements for bank exposures to central counterparties (April 2014).

CPMI-IOSCO – Public quantitative disclosure standards for central counterparties – February 2015

In order to aid clearing members’ modelling of their exposures to the CCP, the CCP should consider
disclosing further information on its default fund stress-testing methodology (eg underlying model
parameters and assumptions) insofar as the CCP, in discussion with its participants and regulators,
agrees is appropriate without providing confidential information about individual participant positions.

Principle 5: Collateral
Item 5.1: CCPs are encouraged to explain where concentration limits or charges are also applied inaddition to normal haircuts. Recognising that the CCP is requested to disclose changes to haircut values
as they are applied, where CCPs already publish information on haircuts elsewhere on their public
website, a link to the relevant pages will satisfy the disclosure expectation.
Item 5.3: CCPs should consider adding explanatory notes if this would help to understand reasons why
the fall in value of assets exceeded haircuts.

Principle 6: Margin
Separate disclosures should be made for each clearing service in respect of items 6.1, 6.2, and 6.5, andeach margin model used in that clearing service in respect of 6.3 and 6.4. Disclosures should be on thebasis of the form in which the margin is held by the CCP rather than the form in which it was provided by
the participants (if different).
Item 6.1: In this item, CCPs should report initial margin required – at least at the level of each clearing
service. CPMI and IOSCO acknowledge that practices for calculating initial margin requirements varyacross CCPs, and propose that CCPs include all types of margin including ‘base-line’ initial margin;‘add-ons’; and ‘retained MTM/VM’ (where relevant). Items included under ‘add-ons’ should reflect any
additions to margin required from base-line initial margin and routine scheduled collections – e.g.
margin requested to cover specific risks (including, but not limited to liquidity risk, concentration risk,correlation risk, wrong-way risk) where these risks are not covered in the base-line calculation or margin
requested on a ‘non-routine’ basis (e.g. ad-hoc intraday calls). Where add-ons to baseline initial margin
are significant and variable, CCPs are encouraged to provide an explanatory note to this effect. CCPs arealso encouraged to provide an explanatory note on the expiration period of products they clear where
this would help to facilitate interpretation of the margin data, e.g. because margin is returned on orfollowing particular contract expiration dates.
Item 6.2: Disclosures under this item should reflect the total value of initial margin actually posted bydirect and indirect members and held by the CCP (as opposed to item 6.1, which asks for the total valueof initial margin required). This should include initial margin provided through a security interest as wellas through title transfer. For CCPs which do not specifically record whether asset holdings correspond to
margin or default fund contributions fund (whether provided by CCP participants or from the CCP’s own
funds), the CCP should provide an explanatory note to this effect, and explain its methodology fordescribing the form in which margin is held (for example by assuming the proportion of each asset
accounted for by margin is pro-rata to the proportion of total funding from margin contributions).
Items 6.1 and 6.2: If a CCP does not consider disclosures at quarter end to be representative, it isencouraged to provide explanatory notes outlining why this is the case, and to provide additional
metrics such as quarterly averages, or maximums, minimums, and interquartile ranges.
Items 6.3 and 6.4: CPMI and IOSCO recognise that models and approaches to margining may varyacross CCPs. In order to help participants understand how they might be affected by margin calls, and/or
where the items listed are not specifically relevant for a CCP, other key assumptions and parameters
should be disclosed and the items listed should be used as a guide to the types of disclosures and levelof details that is expected regarding initial margin assumptions and parameters.
Item 6.5: At a minimum, CCPs are expected to disclose the achieved margin coverage ratio for eachclearing service and margin model and the value of any uncovered exposures.
CPMI-IOSCO – Public quantitative disclosure standards for central counterparties – February 201515

Item 6.6: This disclosure is seeking information on the potential liquidity impact of changes in markedto-market values. It is not seeking to provide information on changes in the level of initial margin that
may be related to changes in the volatility of prices. CCPs are expected to disclose the total of variation
margin called from participants each day (including for options CCPs, where variation margin is called
but not paid out).

Principle 7: Liquidity Risk
‘Relevant currencies’ refers to currencies in which the CCP is obliged to make pay-outs.
If the CCP considers disclosures for 7.1 and 7.2 “as at quarter end” to be unrepresentative, it isencouraged to provide explanatory notes outlining why this is the case, and to provide additional
metrics such as quarterly averages, or maximums, minimums, and interquartile ranges.
Items 7.1 and 7.2: CCPs should refer to paragraphs 3.7.10 and 3.7.11 of the PFMI for a definition of‘qualifying liquid resources’ and ‘supplementary liquidity risk resources’. CCPs are not asked to disclose
the names of providers of liquidity resources or investment counterparties. CCPs should not double
count assets: for example, assets should not be listed as qualifying under 7.1(e) to the extent that they
are required to offer to liquidity providers under 7.1(c). CCPs should add explanatory notes to describe
how the CCP decides which payment obligations to prioritize if a schedule does not exist or if otherwise
this would help to understand the CCP‘s procedures.
Item 7.3: This item requests high-level disclosure of the results of a CCP’s stress-testing of its liquid
resources, both in aggregate and by currency.

Principle 12: Exchange-of-value settlement systems
Items 12.1 and 12.2: The requested percentages refer only to exchange-of-value settlements to which
the CCP is a counterparty, and not, for example, to settlement of variation margin payment obligations,or collection and return of initial margin. Gross and net settlement models may qualify as DvP, PvP or
DvD, providing that the final settlement of one leg of the exchange occurs if and only if the final
settlement of the other leg also occurs.

Principle 13: Default rules and procedures
Item 13.1: CCPs should disclose quantitative information related to defaults as soon as is practicable,
subject to constraints on disclosure such as ongoing legal cases.

Principle 14: Segregation and portability
Item 14.1: Disclosures under item 14.1 give quantitative data on the degree of segregation of client
assets. Although some CCPs may be unable to disclose particular items (eg CCPs may not know thenumber of clients covered by omnibus accounts), CCPs should complete this item with as muchinformation as is available. For clearing services where fewer than five clients have individuallysegregated accounts, the CCP should not disclose information on individually segregated accounts.

Principle 15: General business risk
A CCP that discloses these items in a publicly available annual report would meet this standard, butshould also include the data in the quantitative disclosure report so that it is readily available in a single
place. This information may be disclosed at the level of the legal entity for which published accounts areprepared, even if clearing services are only one part of the entity’s activities. The CCP should note thelegal entity or activity to which the disclosure relates. The disclosure may be made at the same time as
the annual accounts are released.

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CPMI-IOSCO – Public quantitative disclosure standards for central counterparties – February 2015

Item 15.1: The PFMI states that a CCP should hold liquid net assets funded by equity (such as common
stock, disclosed reserves, or retained earnings) so that it can continue operations and services as a going
concern if it incurs general business losses. Under this item a CCP should disclose the amount of liquid
net assets funded by equity which can absorb general business losses. This should, at a minimum, equal
at least six months of current operating expenses in accordance with Principle 15. The CCP should notinclude in its disclosure for 15.1(a) such amount of its own capital as must be allocated or held for otherpurposes, such as “skin in the game” in the default waterfall, and is not therefore available to coverbusiness risks.

Principle 16: Custody and investment risks
Items 16.1 to 16.3: These items request disclosures ‘as at quarter end’. If a CCP does not consider thecomposition of its investment portfolio at quarter end to be representative, it is encouraged to provide
explanatory notes outlining why this is the case, and to provide additional metrics such as quarterly
averages, or maximums, minimums, and interquartile ranges. This disclosure looks at the reinvestment ofcash received from participants, and not at how the CCP’s own funds are held. If, however, participant
cash is co-mingled with the CCP’s own funds in the investment portfolio, the CCP should clarify how thisis reflected in the data published to satisfy this disclosure, for example by specifying the proportion of
the investment portfolio that is funded from the CCP’s own funds.

Principle 17: Operational risk
Items 17.1, 17.2, 17.3 and 17.4: Core systems used in clearing are those that enable the acceptanceand novation of trades, and enable the calculation of margin and settlement obligations. An incident
that results in an interruption to the CCP’s ability to perform its own functions in relation to trade
acceptance and novation, or calculation of margin and settlement obligations is considered a loss ofavailability. An incident that compromises the CCP’s ability to correctly perform the aforementionedfunctions is also considered a loss of availability, even if there is no actual outage. Successful failover to a
back-up site without interruption to services would not count as a loss of availability. CCPs should makeclear to which system or systems performance targets apply.

Principle 18: Access and participation
Item 18.1: It is assumed for the purposes of this disclosure that participants would be the legal entities
with which the CCP has a counterparty relationship as a clearing member – CCPs should specify if they
are using some other basis to define number of participants. Disclosures in this section would nottherefore extend to clients. CCPs should report ‘category of membership’ as relevant to their business.
Where relevant, CCPs should differentiate between clearing members that clear their own trades througha CCP and also offer access to the CCP to their clients (often referred to as ‘general clearing members’)
and clearing members that only clear their own trades (often referred to as ‘direct clearing members’).
Item 18.2: Percentage of net open positions should be the percentage of gross notional for derivatives
or the total cleared value for securities transactions or similar.
Items 18.2 to 18.4: For clearing services with fewer than ten members, this report does not make adisclosure recommendation.

Principle 19: Tiered participation arrangements
Item 19.1: For clearing services with fewer than ten members, this report does not make a disclosure
recommendation.

CPMI-IOSCO – Public quantitative disclosure standards for central counterparties – February 201517

Principle 20: FMI links
Items 20.1 to 20.5: These disclosures refer to arrangements in which trades clear over an interoperable
link between CCPs, because clearing members are from different CCPs. CCPs should identify each link
and cross-margining arrangement in their supporting comments so that quantitative disclosures can betied to a specific link.
Items 20.2, 20.3, 20.5, 20.6 and 20.7(b): These items request disclosures ‘as at quarter end’. If a CCP
does not consider disclosures at quarter end to be representative, it is encouraged to provide
explanatory notes outlining why this is the case, and to provide additional metrics such as quarterly
averages, or maximums, minimums, and interquartile ranges.

Principle 23: Disclosure of rules, key procedures, and market data
Item 23.1 and 23.2: This item is intended to capture the daily flow of clearing activity, while item 23.2 isintended to capture the stock of novated trades that have not yet been settled.
Item 23.3: This information is to be disclosed to facilitate an understanding of which markets might beaffected by a CCP being unable to clear. This information should only be provided where the relevant
execution facility is content for the CCP to disclose.

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CPMI-IOSCO – Public quantitative disclosure standards for central counterparties – February 2015