Professional Documents
Culture Documents
Kccp - Kccp need only be reported by those CCPs which are, or seek to be a n/a
"qualifying CCP" under relevant law
Cash deposited at a central bank of issue of the currency concerned; PreHaircut
Reported as at quarter end; Pre-Haircut and Post-Haircut PostHaircut
In total. PreHaircut
Reported as at quarter end; Pre-Haircut and Post-Haircut PostHaircut
For each clearing service, state the number of business days within which the n/a
CCP assumes it will close out the default when calculating credit exposures
that would potentially need to be covered by the default fund.
For each clearing service, the estimated largest aggregate stress loss (in excess PeakDayAmountInPrevious12
of initial margin) that would be caused by the default of any single participant Months
and its affiliates (including transactions cleared for indirect participants) in MeanAverageOverPrevious12
extreme but plausible market conditions; Peak day amount in the previous 12 Months
months and mean average over the previous 12 months
Report the number of business days, if any, on which the above amount (4.4.3) n/a
exceeded actual pre-funded default resources (in excess of initial margin).
The amount in 4.4.3 which exceeded actual pre-funded default resources (in AmountExceeded#
excess of initial margin)
For each clearing service, the actual largest aggregate credit exposure (in PeakDayAmountInPrevious12
excess of initial margin) to any single participant and its affiliates (including Months
transactions cleared for indirect participants); Peak day amount in the previous MeanAverageOverPrevious12
12 months and mean average over the previous 12 months Months
For each clearing service, the estimated largest aggregate stress loss (in excess PeakDayAmountInPrevious12
of initial margin) that would be caused by the default of any two participants Months
and their affiliates (including transactions cleared for indirect participants) in MeanAverageOverPrevious12
extreme but plausible market conditions; Peak day amount in the previous 12 Months
months and mean average over the previous 12 months
Number of business days, if any, on which the above amount (4.4.7) exceeded n/a
actual pre-funded default resources (in excess of initial margin) and by how
much.
The amount in 4.4.7 which exceeded actual pre-funded default resources (in AmountExceeded#
excess of initial margin)
For each clearing service, what was the actual largest aggregate credit PeakDayAmountInPrevious12
exposure (in excess of initial margin) to any two participants and their affiliates Months
(including transactions cleared for indirect participants)? MeanAverageOverPrevious12
Description: PeakDayAmountInPrevious12Months; Months
MeanAverageOverPrevious12Months
Assets eligible as initial margin and the respective haircuts applied n/a
Assets Eligible for pre-funded participant contributions to the default n/a
resources, and the respective haircuts applied (if different from 5.1)
Total initial margin required split by house, client gross, client net and House_Net
total(if not segregated); Client_Gross
Client_Net
Total
Cash deposited at a central bank of issue of the currency concerned; Total split HouseIM_PreHaircut
by House and Client;Pre-Haircut and Post Hair-cut HouseIM_PostHaircut
ClientIM_PreHaircut
ClientIM_PostHaircut
TotalIM_PreHaircut
TotalIM_PostHaircut
Cash deposited at other central banks; Total split by House and Client; Pre- HouseIM_PreHaircut
Haircut and Post-Haircut HouseIM_PostHaircut
ClientIM_PreHaircut
ClientIM_PostHaircut
TotalIM_PreHaircut
TotalIM_PostHaircut
Secured cash deposited at commercial banks (including reverse repo); Total HouseIM_PreHaircut
split by House and Client; Pre-Haircut and Post-Haircut HouseIM_PostHaircut
ClientIM_PreHaircut
ClientIM_PostHaircut
TotalIM_PreHaircut
TotalIM_PostHaircut
Unsecured cash deposited at commercial banks; Total split by House and HouseIM_PreHaircut
Client; Pre-Haircut and Post Hair-cut HouseIM_PostHaircut
ClientIM_PreHaircut
ClientIM_PostHaircut
TotalIM_PreHaircut
TotalIM_PostHaircut
Non-Cash Sovereign Government Bonds - Domestic; Total split by House and HouseIM_PreHaircut
Client;Pre-Haircut and Post Hair-cut HouseIM_PostHaircut
ClientIM_PreHaircut
ClientIM_PostHaircut
TotalIM_PreHaircut
TotalIM_PostHaircut
Non-Cash Sovereign Government Bonds - Other; Total split by House and HouseIM_PreHaircut
Client;Pre-Haircut and Post Hair-cut HouseIM_PostHaircut
ClientIM_PreHaircut
ClientIM_PostHaircut
TotalIM_PreHaircut
TotalIM_PostHaircut
Non-Cash Agency Bonds; Total split by House and Client;Pre-Haircut and Post HouseIM_PreHaircut
Hair-cut HouseIM_PostHaircut
ClientIM_PreHaircut
ClientIM_PostHaircut
TotalIM_PreHaircut
TotalIM_PostHaircut
Non-Cash State/municipal bonds; Total split by House and Client; Pre-Haircut HouseIM_PreHaircut
and Post Hair-cut HouseIM_PostHaircut
ClientIM_PreHaircut
ClientIM_PostHaircut
TotalIM_PreHaircut
TotalIM_PostHaircut
Non-Cash Corporate bonds; Total split by House and Client; Pre-Haircut and HouseIM_PreHaircut
Post Hair-cut HouseIM_PostHaircut
ClientIM_PreHaircut
ClientIM_PostHaircut
TotalIM_PreHaircut
TotalIM_PostHaircut
Non-Cash Commodities - Other; Total split by House and Client; Pre-Haircut HouseIM_PreHaircut
and Post Hair-cut HouseIM_PostHaircut
ClientIM_PreHaircut
ClientIM_PostHaircut
TotalIM_PreHaircut
TotalIM_PostHaircut
Non-Cash - Mutual Funds / UCITs; Total split by House and Client; Pre-Haircut HouseIM_PreHaircut
and Post Hair-cut HouseIM_PostHaircut
ClientIM_PreHaircut
ClientIM_PostHaircut
TotalIM_PreHaircut
TotalIM_PostHaircut
Non-Cash - Other; Total split by House and Client; Pre-Haircut and Post Hair- HouseIM_PreHaircut
cut HouseIM_PostHaircut
ClientIM_PreHaircut
ClientIM_PostHaircut
TotalIM_PreHaircut
TotalIM_PostHaircut
For each clearing service, total initial margin held, split by house and client (if HouseIM_PreHaircut
segregated). HouseIM_PostHaircut
ClientIM_PreHaircut
ClientIM_PostHaircut
Initial Margin rates on individual contracts where the CCP sets such rates n/a
Type of IM Model
IM Model Name
IM Rates Link
Number of times over the past twelve months that margin coverage held n/a
against any account fell below the actual marked-to-market exposure of that
member account
Where breaches of initial margin coverage (as defined in 6.5(a)) have occurred, n/a
report on size of uncovered exposure; Peak size
Where breaches of initial margin coverage (as defined in 6.5(a)) have occurred, n/a
report on size of uncovered exposure; Average Size
Average Total Variation Margin Paid to the CCP by participants each business n/a
Maximum total variation margin paid to the CCP on any given business day n/a
over the period
Maximum aggregate initial margin call on any given business day over the n/a
period
State whether the clearing service maintains sufficient liquid resources to n/a
'Cover 1' or 'Cover 2'.
Size and composition of qualifying liquid resources for each clearing service; (a) SizeAndCompositionOfQualifyi
Cash deposited at a central bank of issue of the currency concerned ngLiquidResources
Size and composition of qualifying liquid resources for each clearing service; SizeAndCompositionOfQualifyi
(b) Cash deposited at other central banks ngLiquidResources
Size and composition of qualifying liquid resources for each clearing service; (c) SizeAndCompositionOfQualifyi
Secured cash deposited at commercial banks (including reverse repo) ngLiquidResources
Size and composition of qualifying liquid resources for each clearing service; SizeAndCompositionOfQualifyi
(d) Unsecured cash deposited at commercial banks ngLiquidResources
Size and composition of qualifying liquid resources for each clearing service; SizeAndCompositionOfQualifyi
(e) secured committed lines of credit (ie those for which collateral/security will ngLiquidResources
be provided by the CCP if drawn) including committed foreign exchange swaps
and committed repos
Size and composition of qualifying liquid resources for each clearing service; (f) SizeAndCompositionOfQualifyi
unsecured committed lines of credit (ie which the CCP may draw without ngLiquidResources
providing collateral/security)
Size and composition of qualifying liquid resources for each clearing service; (g) SizeAndCompositionOfQualifyi
highly marketable collateral held in custody and investments that are readily ngLiquidResources
available and convertible into cash with prearranged and highly reliable
funding arrangements even in extreme but plausible market conditions
Size and composition of qualifying liquid resources for each clearing service; SizeAndCompositionOfQualifyi
(h) other ngLiquidResources
State whether the CCP has routine access to central bank liquidity or facilities. n/a
Details regarding the schedule of payments or priority for allocating payments, n/a
if such exists, and any applicable rule, policy, procedure, and governance
arrangement around such decision making.
Size and composition of any supplementary liquidity risk resources for each n/a
clearing service above those qualifying liquid resources in 7.1
Estimated largest same-day and, where relevant, intraday and multiday SameDayPayment_Total
payment obligation in total that would be caused by the default of any single SameDayPayment
participant and its affiliates (including transactions cleared for indirect IntraDayPayment
participants) in extreme but plausible market conditions; Forward looking MultiDayPayment
measure reported quarterly
Report the number of business days, if any, on which the above amount n/a
exceeded its qualifying liquid resources (identified as in 7.1, and available at
the point the breach occurred), and by how much.;
No. of days in quarter
Number of business days, if any, on which the above amount exceeded its AmountExceeded#
qualifying liquid resources (identified as in 7.1, and available at the point the
breach occurred), and by how much; Amount of excess on each day
Actual largest intraday and multiday payment obligation of a single participant SameDayPayment_Total
and its affiliates (including transactions cleared for indirect participants) over SameDayPayment
the past twelve months; Peak day amount in previous twelve months IntraDayPayment
MultiDayPayment
Estimated largest same-day and, where relevant, intraday and multiday SameDayPayment_Total
payment obligation in each relevant currency that would be caused by the SameDayPayment
default of any single participant and its affiliates (including transactions cleared IntraDayPayment
for indirect participants) in extreme but plausible market conditions; Forward MultiDayPayment
looking measure reported quarterly
Number of business days, if any, on which the above amounts exceeded its NumberOfDays_USD
qualifying liquid resources in each relevant currency (as identified in 7.1 and NumberOfDays_EUR
available at the point the breach occurred), and by how much NumberOfDays_GBP
Report the number of business days, if any, on which the above amounts AmountExceeded#
exceeded its qualifying liquid resources in each relevant currency (as identified
in 7.1 and available at the point the breach occurred), and by how much;
Amount of excess on each day
Total Client Positions held in omnibus client-only accounts, other than LSOC n/a
accounts
Total Client Positions held in legally segregated but operationally comingled n/a
(LSOC) accounts
Total Client Positions held in comingled house and client accounts n/a
Profits n/a
Explain if collateral posted by clearing participants is held on or off the CCP's n/a
balance sheet
Additional items as necessary n/a
Percentage of total income that comes from fees related to provision of n/a
clearing services
Percentage of total income that comes from the reinvestment (or n/a
rehypothecation) of assets provided by clearing participants
Total cash (but not securities) received from participants, regardless of the n/a
form in which it is held, deposited or invested, received as initial margin
Total cash (but not securities) received from participants, regardless of the n/a
form in which it is held, deposited or invested, received as default fund
contribution
Percentage of total participant cash held as cash deposits (including through n/a
reverse repo)
Percentage of total participant cash held as cash deposits (including through n/a
reverse repo); as cash deposits at central banks of issue of the currency
deposited
Percentage of total participant cash held as cash deposits (including through n/a
reverse repo); as cash deposits at other central banks
Percentage of total participant cash held as cash deposits (including through n/a
reverse repo); as cash deposits at commercial banks (Secured, including
through reverse repo)
Percentage of total participant cash held as cash deposits (including through n/a
reverse repo); as cash deposits at commercial banks (Unsecured)
Percentage of total participant cash held as cash deposits (including through n/a
reverse repo); in money market funds
Percentage of total participant cash held as cash deposits (including through n/a
reverse repo); in other forms
Percentage of total participant cash held as cash deposits (including through Percentage_USD
reverse repo); percentage split by currency of these cash deposits (including Percentage_EUR
reverse repo) and money market funds by CCY; Specify local currency in Percentage_GBP
comments
Percentage of total participant cash held as cash deposits (including through n/a
reverse repo); weighted average maturity of these cash deposits (including
reverse repo) and money market funds
Provide an estimate of the risk on the investment portfolio (excluding central n/a
bank and commercial bank deposits) (99% one-day VaR, or equivalent)
State if the CCP investment policy sets a limit on the proportion of the n/a
investment portfolio that may be allocated to a single counterparty, and the
size of that limit.
State the number of times over the previous quarter in which this limit has n/a
been exceeded.
Rehypothecation of participant assets (ie non-cash) by the CCP where allowed; ON_1D
initial margin; over the following maturities: 1D_1W
Overnight/one day; one day and up to one week; One week and up to one 1W_1M
month; One month and up to one year; One year and up to two years; Over 1M_1Y
two years 1Y_2Y
2Y+
Rehypothecation of participant assets (ie non-cash); default fund; over the ON_1D
following maturities: 1D_1W
Overnight/one day; one day and up to one week; One week and up to one 1W_1M
month; One month and up to one year; One year and up to two years; Over 1M_1Y
two years 1Y_2Y
2Y+
Operational availability target for the core system(s) involved in clearing n/a
(whether or not outsourced) over specified period for the system (e.g. 99.99%
over a twelve-month period)
Actual availability of the core system(s) over the previous twelve month period n/a
Total number of failures and duration affecting the core system(s) involved in DurationofFailure
clearing over the previous twelve month period
For each clearing service with ten or more members, but fewer than 25 AverageInQuarter
members; Percentage of open positions held by the largest five clearing PeakInQuarter
members, including both house and client, in aggregate; Average and Peak
over the quarter
For each clearing service with 25 or more members; Percentage of open AverageInQuarter
positions held by the largest five clearing members, including both house and PeakInQuarter
client, in aggregate; Average and Peak over the quarter
For each clearing service with 25 or more members; Percentage of open AverageInQuarter
positions held by the largest ten clearing members, including both house and PeakInQuarter
client, in aggregate; Average and Peak over the quarter
For each clearing service with ten or more members, but fewer than 25 AverageInQuarter
members; Percentage of initial margin posted by the largest five clearing PeakInQuarter
members, including both house and client, in aggregate; Average and Peak
over the quarter
For each clearing service with 25 or more members; Percentage of initial AverageInQuarter
margin posted by the largest five clearing members, including both house and PeakInQuarter
client, in aggregate; Average and Peak over the quarter
For each clearing service with 25 or more members; Percentage of initial AverageInQuarter
margin posted by the largest ten clearing members, including both house and PeakInQuarter
client, in aggregate; Average and Peak over the quarter
For each segregated default fund with ten or more members, but fewer than n/a
25 members; Percentage of participant contributions to the default fund
contributed by largest five clearing members in aggregate
For each segregated default fund with 25 or more members; Percentage of n/a
participant contributions to the default fund contributed by largest five
clearing members in aggregate
For each segregated default fund with 25 or more members; Percentage of n/a
participant contributions to the default fund contributed by largest ten clearing
members in aggregate
Percent of client transactions attributable to the top five clearing members (if n/a
CCP has 10+ clearing members) - Peak
Percent of client transactions attributable to the top five clearing members (if
CCP has 10+ clearing members) - Average
Percent of client transactions attributable to the top ten clearing members (if n/a
CCP has 25+ clearing members) - Peak
Percent of client transactions attributable to the top ten clearing members (if
CCP has 25+ clearing members) - Average
Initial margin or equivalent financial resources collected from each linked CCP
to cover potential future exposure to the linked CCP on contracts cleared
across link (at market value and post haircut)
Number of times over the past twelve months that coverage provided by
margin and equivalent financial resources held against each linked CCP fell
below the actual marked-to-market exposure to that linked CCP – based on
daily back testing results; Intraday or Continuous or Once-a-day
Additional pre-funded financial resources (if any) beyond initial margin and
equivalent financial resources provided to each linked CCP, that are available to
the linked CCP to cover exposures to the CCP
Whether part of, additional to, or separate from the standard default fund
Additional pre-funded financial resources (if any) beyond initial margin and
equivalent financial resources collected from each linked CCP, that are
available to the linked CCP to cover exposures to the CCP
Whether part of, additional to, or separate from the standard default fund
Reduction in total initial margin held by the CCP as a result of cross margining,
as a percentage of total initial margin that would otherwise have been held.
Average Daily Volumes by Asset Class, Instrument, CCY and Over-the- OTC or ETD
Counter(OTC) or Exchange Traded (ETD)
Average Notional Value of trades cleared by Asset Class, CCY and Over-the- OTC or ETD
Counter(OTC) or Exchange Traded (ETD)
Gross notional outstanding/total settlement value of novated but not-yet OTC or ETD
settled securities transactions by Asset Class, Instrument, CCY and Over-the-
Counter(OTC) or Exchange Traded (ETD)
Defines the Asset Class for volumes reported in Disclosure References 23.1.1, Asset Class:
23.1.2 and 23.2.1
Defines the Product Type for volumes reported in Disclosure References Product Type:
23.1.1, 23.1.2 and 23.2.1
Defines the Product Code for volumes reported in Disclosure References <Product Code>
23.1.1, 23.1.2 and 23.2.1
- - 220,000,000.00 371,862,973.63
240,131,845.02 321,662,389.54
4.1.6 4.1.7 4.1.8 4.1.9
SECOM: monthly
RMS: yearly
Monthly for main underlying instruments, quarterly
6.5.1.1 6.5.1.2 6.5.1.3 6.5.2
- - 100.00 -
- - 99.98 0.02
12.2.3 13.1.1 13.1.2 13.1.3.1
-
0.01 - - -
13.1.3.2 13.1.4 14.1.1 14.1.2
- 100.00
- n.a. 99.98 0.02
14.1.3 14.1.4 15.1.1 15.1.2
83,283,996.00 9,238,824.00
- -
15.2.1 15.2.2 15.2.3 15.2.4
30,958,388.00 (32,281,329.00) (1,322,941.00) 1,580,254,532.00
15.2.5 15.2.6 15.2.7 15.3.1
1,496,970,536.00 Cash collateral posted by n/a 68.90
15.3.2 16.1.1 16.1.2 16.2.1
29.20 633,380,736.28 249,543,283.00 98.23
16.2.2 16.2.3 16.2.4 16.2.5
25.69 25.65 46.88
16.2.6 16.2.7 16.2.9 16.2.10
- -
16.2.11 16.2.12 16.2.13 16.2.14
1.77
16.2.16 16.2.17 16.2.18 16.2.19
The investment policy sets -
16.2.20 16.3.1 16.3.2 17.1.1
1.77
99.80
99.98
17.2.1 17.4.1 18.1.1.1 18.1.1.2
- 46.00 20.00
7.00 - 18.00 80.38
18.4.2 18.4.3 19.1.1 19.1.2
60.09 76.36
19.1.3.1 19.1.3.2 19.1.4.1 19.1.4.2
ReportDate ReportLevel ReportLevelIdentifier Description Currency 4.3.1
2017-12-31 Default Fund Cash Markets PostHaircut CHF 170688149.81
2017-12-31 Default Fund Cash Markets PreHaircut CHF 170688149.81
2017-12-31 Default Fund Derivatives PostHaircut NOK
2017-12-31 Default Fund Derivatives PreHaircut NOK
4.3.2 4.3.3 4.3.4 4.3.5 4.3.6
70969619.85 80861403.79
78855133.19 91199370.1
151964428.21 169697961.33
156592403.21 191527013.33
4.3.7 4.3.8 4.3.9 4.3.10 4.3.11
49343800.18
58162747.19
4.3.12 4.3.13 4.3.14 4.3.15
371862973.63
398905400.29
321662389.54
348119416.54
ReportDate ReportLevel ReportLevelIdentifier Description
2017-12-31 Default Fund Cash Markets MeanAverageOverPrevious12Months
2017-12-31 Default Fund Cash Markets PeakDayAmountInPrevious12Months
2017-12-31 Default Fund Derivatives MeanAverageOverPrevious12Months
2017-12-31 Default Fund Derivatives PeakDayAmountInPrevious12Months
Currency 4.4.3 4.4.6 4.4.7 4.4.10
CHF -34869006.75 -48015319.67
CHF -202126336 -357311872
NOK -15374221.69 -18311629.61
NOK -54039600 -57878552
ReportDate ReportLevel ReportLevelIdentifier Description Currency 4.4.5
2017-12-31 Default Fund Cash Markets AmountExceeded CHF 0
2017-12-31 Default Fund Derivatives AmountExceeded NOK -33890542.92
4.4.9
-306963348.54
-33595444.22
ReportDate ReportLevel ReportLevelIdentifier Description Currency 6.1.1
2017-12-31 Default Fund Cash Markets Client_Net CHF 370434290.13
2017-12-31 Default Fund Cash Markets House_Net CHF 263296636.12
2017-12-31 Default Fund Derivatives Client_Net NOK 536853540.88
2017-12-31 Default Fund Derivatives House_Net NOK 208647503.26
ReportDate ReportLevel ReportLevelIdentifier Description Currency
2017-12-31 Default Fund Cash Markets ClientIM_PostHaircut CHF
2017-12-31 Default Fund Cash Markets ClientIM_PreHaircut CHF
2017-12-31 Default Fund Cash Markets HouseIM_PostHaircut CHF
2017-12-31 Default Fund Cash Markets HouseIM_PreHaircut CHF
2017-12-31 Default Fund Derivatives ClientIM_PostHaircut NOK
2017-12-31 Default Fund Derivatives ClientIM_PreHaircut NOK
2017-12-31 Default Fund Derivatives HouseIM_PostHaircut NOK
2017-12-31 Default Fund Derivatives HouseIM_PreHaircut NOK
6.2.1 6.2.2 6.2.3 6.2.4 6.2.5
171513327.08 28045129.14 92232005.8
171513327.08 31161254.64 100597063.19
153348995.88 249621442.78 253260968.95
153348995.88 277357158.68 282739645.22
241063522.15
251274517.9
1168914995.56
1197936353.6
6.2.6 6.2.7 6.2.8 6.2.9 6.2.10
30479730.54
35086838
201333178.39
231039577.12
5000000 243576067.66
5000000 314328848.81
199263132.48 105906913.64
220326826.73 120261640.56
6.2.11 6.2.12 6.2.13 6.2.14 6.2.15
322270192.56
338358482.91
857564586
944485376.9
489639589.81
570603366.71
1474085041.68
1538524820.89
ReportDate ReportLevel ReportLevelIdentifier Description
2017-12-31 CCP SIX x-clear Ltd SizeAndCompositionOfQualifyingLiquidResources
2017-12-31 CCP SIX x-clear Ltd SizeAndCompositionOfQualifyingLiquidResources
Currency 7.1.2 7.1.3 7.1.4 7.1.5 7.1.6
CHF 429957170.44 560401645 303483200.22
NOK
7.1.7 7.1.8 7.1.9
400000000 560652704.27
30000000
ReportDate ReportLevel ReportLevelIdentifier Description Currency 7.3.1
2017-12-31 CCP SIX x-clear Ltd MultiDayPayment CHF 520012992
2017-12-31 CCP SIX x-clear Ltd MultiDayPayment EUR
2017-12-31 CCP SIX x-clear Ltd MultiDayPayment GBP
2017-12-31 CCP SIX x-clear Ltd MultiDayPayment NOK
2017-12-31 CCP SIX x-clear Ltd MultiDayPayment USD
2017-12-31 CCP SIX x-clear Ltd SameDayPayment CHF 612763968
2017-12-31 CCP SIX x-clear Ltd SingleDayPayment CHF
2017-12-31 CCP SIX x-clear Ltd SingleDayPayment EUR
2017-12-31 CCP SIX x-clear Ltd SingleDayPayment GBP
2017-12-31 CCP SIX x-clear Ltd SingleDayPayment NOK
2017-12-31 CCP SIX x-clear Ltd SingleDayPayment USD
7.3.4 7.3.5
395096608
173557173.86
101964535.44
790308896.11
44454506.06
256663408
0
0
0
124454423.92
ReportDate ReportLevel ReportLevelIdentifier Description Currency
2017-12-31 CCP SIX x-clear Ltd AmountExceeded# CHF
7.3.3 7.3.7
0
ReportDate ReportLevel ReportLevelIdentifier Description 7.3.6
ReportDate ReportLevel ReportLevelIdentifier Description 16.2.8
2017-12-31 CCP SIX x-clear Ltd Percentage_CHF 59.1
2017-12-31 CCP SIX x-clear Ltd Percentage_EUR 0.86
2017-12-31 CCP SIX x-clear Ltd Percentage_GBP 4.56
2017-12-31 CCP SIX x-clear Ltd Percentage_NOK 8.53
2017-12-31 CCP SIX x-clear Ltd Percentage_USD 26.57
16.2.15
100
ReportDate ReportLevel ReportLevelIdentifier Description Currency 16.3.3
16.3.4
ReportDate ReportLevel ReportLevelIdentifier Description 17.3.1
2017-12-31 Default Fund Derivatives DurationofFailur 0
ReportDate ReportLevel ReportLevelIdentifier Description 18.2.1
2017-12-31 Default Fund Cash Markets AverageInQuarter
2017-12-31 Default Fund Cash Markets PeakInQuarter
2017-12-31 Default Fund Derivatives AverageInQuarter 88.39
2017-12-31 Default Fund Derivatives PeakInQuarter 92.58
18.2.2 18.2.3 18.3.1 18.3.2 18.3.3
73.37 88.04 72.48 85.15
79.18 91.41 85.67 91.62
84.11
86.99
ReportDate ReportLevel ReportLevelIdentifier CCP Link Currency 20.1.1
2017-12-31 Default Fund Cash Markets EuroCCP CHF 18.51
2017-12-31 Default Fund Cash Markets LCH.Clearnet CHF 18.39
2017-12-31 Default Fund Derivatives LCH.Clearnet NOK 14.36
20.2.1 20.4.1.1 20.4.1.2 20.4.1.3 20.4.2
158852214.86 1 once a day end of day 259
113032371.33 1 once a day end of day 259
0 Once a day End of day 126
20.4.3 20.5.1.1 20.5.1.2 20.6.1.1 20.6.1.2
99.61
99.61
100
20.7.1 20.7.2
ReportDate ReportLevel ReportLevelIdentifier CCP Link Description Currency
2017-12-31 Default Fund Cash Markets PostHaircut EuroCCP CHF
2017-12-31 Default Fund Cash Markets PostHaircut LCH.Clearnet CHF
2017-12-31 Default Fund Derivatives MarketValue LCH.Clearnet NOK
20.3.1
157623314.24
111783353.19
79902198.4
ReportDate ReportLevel ReportLevelIdentifier Description Currency 23.1.1
2017-12-31 Default Fund Cash Markets Bonds CHF 1176.87
2017-12-31 Default Fund Cash Markets Equity CHF 1276362.7
2017-12-31 Default Fund Derivatives Equity NOK 190185220.56
2017-12-31 Default Fund Derivatives ETD NOK 24253.6
2017-12-31 Default Fund Derivatives OTC Derivatives NOK 17865.21
2017-12-31 Default Fund Derivatives SLB NOK 248385.24
23.1.2 23.2.1 23.2.2 23.2.3 23.2.4
165070095.93 157413675.97 Bonds Bonds
12670005366.47 4632211386.91 Equity Equity
6445979944.18
824963277.65 ETD
15162331.12 OTC Derivatives
19168563.89 SLB
ReportDate ReportLevel ReportLevelIdentifier Description
2017-12-31 Default Fund Cash Markets Aquis MTF
2017-12-31 Default Fund Cash Markets BATS MTF
2017-12-31 Default Fund Cash Markets Chi-X MTF
2017-12-31 Default Fund Cash Markets Equiduct MTF
2017-12-31 Default Fund Cash Markets First North Exchange Stockholm AB
2017-12-31 Default Fund Cash Markets London Stock Exchange
2017-12-31 Default Fund Cash Markets OMX Nordic Exchange Copenhagen A/S
2017-12-31 Default Fund Cash Markets OMX Nordic Exchange Helsinki OY
2017-12-31 Default Fund Cash Markets OMX Nordic Exchange Stockholm AB
2017-12-31 Default Fund Cash Markets Sigma X MTF
2017-12-31 Default Fund Cash Markets SIX Swiss Exchange - Blue Chip Segment
2017-12-31 Default Fund Cash Markets SIX Swiss Exchange - Small & MidCap Segment
2017-12-31 Default Fund Cash Markets Traiana MTF
2017-12-31 Default Fund Cash Markets Turquoise MTF
2017-12-31 Default Fund Cash Markets UBS MTF
2017-12-31 Default Fund Derivatives Aquis MTF
2017-12-31 Default Fund Derivatives BATS MTF
2017-12-31 Default Fund Derivatives Chi-X MTF
2017-12-31 Default Fund Derivatives Equiduct MTF
2017-12-31 Default Fund Derivatives London Stock Exchange
2017-12-31 Default Fund Derivatives Nasdaq Nordic Copenhagen
2017-12-31 Default Fund Derivatives Nasdaq Nordic First North MTF
2017-12-31 Default Fund Derivatives Nasdaq Nordic Helsinki
2017-12-31 Default Fund Derivatives Nasdaq Nordic Stockholm
2017-12-31 Default Fund Derivatives Oslo Axess (no derivatives)
2017-12-31 Default Fund Derivatives Oslo Bors Exchange Traded Derivatives
2017-12-31 Default Fund Derivatives Oslo Bors Main
2017-12-31 Default Fund Derivatives Oslo Connect (OTC derivatives
2017-12-31 Default Fund Derivatives Sigma X MTF
2017-12-31 Default Fund Derivatives SIX Swiss Exchange - Blue Chip Segment
2017-12-31 Default Fund Derivatives SIX Swiss Exchange - Small & MidCap Segment
2017-12-31 Default Fund Derivatives Traiana MTF
2017-12-31 Default Fund Derivatives Turquoise MTF
2017-12-31 Default Fund Derivatives UBS MTF
Currency 23.3.1 23.3.2
CHF 36734.71 17454719341.69
CHF 322068.32 284425202339.59
CHF 576576.14 202683040774.54
CHF 5862.54 3621836914.58
CHF 61.68 11200032.95
CHF 320254.22 159035287888.08
CHF 53493 24946918707.01
CHF 50852.29 18860709554.28
CHF 160521.78 57691329524.92
CHF 3863.97 2276168853.76
CHF 248331.68 368254529195.3
CHF 152547.02 117010365273.56
CHF 17775.56 125152040182.99
CHF 433845.14 153346060673.52
CHF 172291.1 82450099005.24
NOK 38357.76 4449111.22
NOK 596671.02 78978142.16
NOK 1046216.56 143888229.18
NOK 0 0
NOK 0 0
NOK 1591660.67 444140019.38
NOK 47612.6 1476976.27
NOK 4772660.21 397024410.71
NOK 44277601.22 2330817986.39
NOK 6976654.98 17323276.56
NOK 24253.6 824963277.65
NOK 129790367.97 2883318884.72
NOK 0 0
NOK 0 0
NOK 0 0
NOK 0 0
NOK 0 0
NOK 590140.46 84277919.21
NOK 162097.81 22723551.98
Principle Statement
Principle Number [Disclosure] & "-" & [Statement]
To allow clearing members an exact calculation of their capital requirements,
the following figures can be used for the purpose of Art. 308 of regulation (EU)
No 575/2013:
KCCP = 0
Concentr. factor (Beta) = 0.1998
N = 64
DFCM = CHF 220'000'000
4.2.1 DFCCP = CHF 4'174'331
Above figures are for the cash markets segment. The clearing members of the
derivative segment are being informed separately by our Norwegian branch.
Until Q3/2017 a part of the default resources were reported in 4.3.3. These
were reverse repurchase agreements. Because the securities received from
these transactions are used to cover CoCCP margin requirements, they rather
4.3 qualify as margin. Therefore, the market value of these transactions is reported
as margin in 6.2.
The initial margins in the Cash Markets segment fully include the variation
6 margins.
Since the last report for Q3/2017, all GCM were switched to a segregated setup.
Government Bonds received from reverse repurchase transactions (for Co-CCP
Collateral, s. comment on 4.3) were financed from both house and client
6.2 accounts but were transferred to a collateral pool. Therefore, their market value
was distributed in proportion to the total margin required.
The IM rates on individual contracts are included in our lending norms. These
6.3 are available on the private area on the homepage.
The disclosed maximum margin call in the Derivative segment does not
consider the existing collateral at the moment of the call.
The disclosed maximum margin call in the Cash Markets segment contains both
6.8.1 initial and variation margin (compare comment on principle 6).