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CCP Code & Clearing Service Code:

CCP Default Fund Clearing Service


SIX x-clear Ltd Cash Market Segment Cash Markets
SIX x-clear Ltd Derivative Segment Derivatives
Quarterly Disclosure: Jan Quarterly Disclosure: Apr Quarterly Disclosure: Jul Quarterly Disclosure: Oct
Disclosure Start Date End date Start Date End date Start Date End date Start Date End date
4.1 Total Value of default resources 30th Sept 30th Sept 31st Dec 31st Dec 31st Mar 31st Mar 30th Jun 30th Jun
4.2 KCCP 30th Sept 30th Sept 31st Dec 31st Dec 31st Mar 31st Mar 30th Jun 30th Jun
4.3 Pre-funded default resources 30th Sept 30th Sept 31st Dec 31st Dec 31st Mar 31st Mar 30th Jun 30th Jun
4.4 Stress exposures 1st Oct 30th Sept 1st Jan 31st Dec 1st Apr 31st Mar 1st Jul 30th Jun
5.1 Assets eligible as IM N/A N/A N/A N/A N/A N/A N/A N/A
5.2 Assets eligible for pre-funded contributions N/A N/A N/A N/A N/A N/A N/A N/A
5.3 Testing of haircuts 1st Jul 30th Sept 1st Oct 31st Dec 1st Jan 31st Mar 1st Apr 30th Jun
6.1 Total IM split by house and client 30th Sept 30th Sept 31st Dec 31st Dec 31st Mar 31st Mar 30th Jun 30th Jun
6.2 Treasury Investments 30th Sept 30th Sept 31st Dec 31st Dec 31st Mar 31st Mar 30th Jun 30th Jun
6.3 IM rates on individual contracts N/A N/A N/A N/A N/A N/A N/A N/A
6.4 Type of IM model used 30th Sept 30th Sept 31st Dec 31st Dec 31st Mar 31st Mar 30th Jun 30th Jun
6.5 Back-testing 1st Oct 30th Sept 1st Jan 31st Dec 1st Apr 31st Mar 1st Jul 30th Jun
6.6 Total VM pays 1st Jul 30th Sept 1st Oct 31st Dec 1st Jan 31st Mar 1st Apr 30th Jun
6.7 Max VM pays 1st Jul 30th Sept 1st Oct 31st Dec 1st Jan 31st Mar 1st Apr 30th Jun
6.8 Max aggregate IM 1st Jul 30th Sept 1st Oct 31st Dec 1st Jan 31st Mar 1st Apr 30th Jun
7.1 Resources for Cover 1 and 2 30th Sept 30th Sept 31st Dec 31st Dec 31st Mar 31st Mar 30th Jun 30th Jun
7.2 Supplementary liquidity risk resources N/A N/A N/A N/A N/A N/A N/A N/A
7.3 Payment Obligations 1st Oct 30th Sept 1st Jan 31st Dec 1st Apr 31st Mar 1st Jul 30th Jun
12.1 Settlements by value N/A N/A N/A N/A N/A N/A N/A N/A
12.2 Settlements by volume N/A N/A N/A N/A N/A N/A N/A N/A
13.1 Quantitative default info 1st Jul 30th Sept 1st Oct 31st Dec 1st Jan 31st Mar 1st Apr 30th Jun
14.1 Total client positions 30th Sept 30th Sept 31st Dec 31st Dec 31st Mar 31st Mar 30th Jun 30th Jun
15.1 Net assets and Operating expenses 30th Sept 30th Sept 31st Dec 31st Dec 31st Mar 31st Mar 30th Jun 30th Jun
(annual audited) (annual audited) (annual audited) (annual audited)
15.2 Financial disclosures 30th Sept 30th Sept 31st Dec 31st Dec 31st Mar 31st Mar 30th Jun 30th Jun
15.3 Income Breakdowns 30th Sept 30th Sept 31st Dec 31st Dec 31st Mar 31st Mar 30th Jun 30th Jun
16.1 Total cash received from members 30th Sept 30th Sept 31st Dec 31st Dec 31st Mar 31st Mar 30th Jun 30th Jun
16.2 How total cash received 30th Sept 30th Sept 31st Dec 31st Dec 31st Mar 31st Mar 30th Jun 30th Jun
16.3 Rehypothecation of participant assets 30th Sept 30th Sept 31st Dec 31st Dec 31st Mar 31st Mar 30th Jun 30th Jun
17.1 Operational availability of core systems N/A N/A N/A N/A N/A N/A N/A N/A
17.2 Actual availability of core systems 1st Oct 30th Sept 1st Jan 31st Dec 1st Apr 31st Mar 1st Jul 30th Jun
17.3 Core system failures 1st Oct 30th Sept 1st Jan 31st Dec 1st Apr 31st Mar 1st Jul 30th Jun
17.4 Recovery time objectives N/A N/A N/A N/A N/A N/A N/A N/A
18.1 Number clearing members 30th Sept 30th Sept 31st Dec 31st Dec 31st Mar 31st Mar 30th Jun 30th Jun
18.2 Open positions 1st Jul 30th Sept 1st Oct 31st Dec 1st Jan 31st Mar 1st Apr 30th Jun
18.3 IM posted 1st Jul 30th Sept 1st Oct 31st Dec 1st Jan 31st Mar 1st Apr 30th Jun
18.4 Percentage of participant contributions 1st Jul 30th Sept 1st Oct 31st Dec 1st Jan 31st Mar 1st Apr 30th Jun
19.1 Measures of concentration 1st Jul 30th Sept 1st Oct 31st Dec 1st Jan 31st Mar 1st Apr 30th Jun
20.1 Value of trades cleared 1st Jul 30th Sept 1st Oct 31st Dec 1st Jan 31st Mar 1st Apr 30th Jun
20.2 Financial resources provided to cover potential future exposure 30th Sept 30th Sept 31st Dec 31st Dec 31st Mar 31st Mar 30th Jun 30th Jun
20.3 Financial resources collected to cover potential future exposure 30th Sept 30th Sept 31st Dec 31st Dec 31st Mar 31st Mar 30th Jun 30th Jun
20.4 Back-testing of coverage of IM 1st Oct 30th Sept 1st Jan 31st Dec 1st Apr 31st Mar 1st Jul 30th Jun
20.5 Additional pre-funded financial resources provided 30th Sept 30th Sept 31st Dec 31st Dec 31st Mar 31st Mar 30th Jun 30th Jun
20.6 Additional pre-funded financial resources collected 30th Sept 30th Sept 31st Dec 31st Dec 31st Mar 31st Mar 30th Jun 30th Jun
20.7 Value of trades subject to cross margining 30th Sept 30th Sept 31st Dec 31st Dec 31st Mar 31st Mar 30th Jun 30th Jun
23.1 Daily volumes by new trades cleared 1st Jul 30th Sept 1st Oct 31st Dec 1st Jan 31st Mar 1st Apr 30th Jun
23.2 Gross notional outstanding 30th Sept 30th Sept 31st Dec 31st Dec 31st Mar 31st Mar 30th Jun 30th Jun
23.3 Daily volumes by exchange 1st Jul 30th Sept 1st Oct 31st Dec 1st Jan 31st Mar 1st Apr 30th Jun
Disclosure
Disclosure # Disclosure Title Reference

4.1 Total value of default resources 4.1.1


(excluding initial and retained variation
margin), split by clearing service if default
funds are segregated by clearing service

4.1 Total value of default resources 4.1.2


(excluding initial and retained variation
margin), split by clearing service if default
funds are segregated by clearing service

4.1 Total value of default resources 4.1.3


(excluding initial and retained variation
margin), split by clearing service if default
funds are segregated by clearing service

4.1 Total value of default resources 4.1.4


(excluding initial and retained variation
margin), split by clearing service if default
funds are segregated by clearing service

4.1 Total value of default resources 4.1.5


(excluding initial and retained variation
margin), split by clearing service if default
funds are segregated by clearing service

4.1 Total value of default resources 4.1.6


(excluding initial and retained variation
margin), split by clearing service if default
funds are segregated by clearing service

4.1 Total value of default resources 4.1.7


(excluding initial and retained variation
margin), split by clearing service if default
funds are segregated by clearing service

4.1 Total value of default resources 4.1.8


(excluding initial and retained variation
margin), split by clearing service if default
funds are segregated by clearing service

4.1 Total value of default resources 4.1.9


(excluding initial and retained variation
margin), split by clearing service if default
funds are segregated by clearing service

4.1 Total value of default resources 4.1.10


(excluding initial and retained variation
margin), split by clearing service if default
funds are segregated by clearing service

4.2 Kccp 4.2.1


4.3 Value of pre-funded default resources 4.3.1
(excluding initial and retained variation
margin) held for each clearing service, in
total and split by

4.3 Value of pre-funded default resources 4.3.2


(excluding initial and retained variation
margin) held for each clearing service, in
total and split by

4.3 Value of pre-funded default resources 4.3.3


(excluding initial and retained variation
margin) held for each clearing service, in
total and split by

4.3 Value of pre-funded default resources 4.3.4


(excluding initial and retained variation
margin) held for each clearing service, in
total and split by

4.3 Value of pre-funded default resources 4.3.5


(excluding initial and retained variation
margin) held for each clearing service, in
total and split by

4.3 Value of pre-funded default resources 4.3.6


(excluding initial and retained variation
margin) held for each clearing service, in
total and split by

4.3 Value of pre-funded default resources 4.3.7


(excluding initial and retained variation
margin) held for each clearing service, in
total and split by

4.3 Value of pre-funded default resources 4.3.8


(excluding initial and retained variation
margin) held for each clearing service, in
total and split by

4.3 Value of pre-funded default resources 4.3.9


(excluding initial and retained variation
margin) held for each clearing service, in
total and split by

4.3 Value of pre-funded default resources 4.3.10


(excluding initial and retained variation
margin) held for each clearing service, in
total and split by

4.3 Value of pre-funded default resources 4.3.11


(excluding initial and retained variation
margin) held for each clearing service, in
total and split by

4.3 Value of pre-funded default resources 4.3.12


(excluding initial and retained variation
margin) held for each clearing service, in
total and split by
4.3 Value of pre-funded default resources 4.3.13
(excluding initial and retained variation
margin) held for each clearing service, in
total and split by

4.3 Value of pre-funded default resources 4.3.14


(excluding initial and retained variation
margin) held for each clearing service, in
total and split by

4.3 Value of pre-funded default resources 4.3.15


(excluding initial and retained variation
margin) held for each clearing service, in
total

4.4 Credit Risk Disclosures 4.4.1

4.4 Credit Risk Disclosures 4.4.2

4.4 Credit Risk Disclosures 4.4.3

4.4 Credit Risk Disclosures 4.4.4

4.4 Credit Risk Disclosures 4.4.5

4.4 Credit Risk Disclosures 4.4.6

4.4 Credit Risk Disclosures 4.4.7

4.4 Credit Risk Disclosures 4.4.8

4.4 Credit Risk Disclosures 4.4.9

4.4 Credit Risk Disclosures 4.4.10

5.1 Assets eligible as initial margin, and the 5.1.1


respective haircuts applied
5.2 Assets Eligible for pre-funded participant 5.2.1
contributions to the default resources, and
the respective haircuts applied (if different
from 5.1)

5.3 Results of testing of haircuts 5.3.1

5.3 Results of testing of haircuts 5.3.2


5.3 Results of testing of haircuts 5.3.3
5.3 Results of testing of haircuts 5.3.4

6.1 For each clearing service, total initial 6.1.1


margin required, split by house and client
(or combined total if not segregated)

6.2 For each clearing service, total initial 6.2.1


margin held, split by house and client

6.2 For each clearing service, total initial 6.2.2


margin held, split by house and client

6.2 For each clearing service, total initial 6.2.3


margin held, split by house and client

6.2 For each clearing service, total initial 6.2.4


margin held, split by house and client

6.2 For each clearing service, total initial 6.2.5


margin held, split by house and client

6.2 For each clearing service, total initial 6.2.6


margin held, split by house and client
6.2 For each clearing service, total initial 6.2.7
margin held, split by house and client

6.2 For each clearing service, total initial 6.2.8


margin held, split by house and client

6.2 For each clearing service, total initial 6.2.9


margin held, split by house and client

6.2 For each clearing service, total initial 6.2.10


margin held, split by house and client

6.2 For each clearing service, total initial 6.2.11


margin held, split by house and client

6.2 For each clearing service, total initial 6.2.12


margin held, split by house and client

6.2 For each clearing service, total initial 6.2.13


margin held, split by house and client

6.2 For each clearing service, total initial 6.2.14


margin held, split by house and client

6.2 For each clearing service, total initial 6.2.15


margin held, split by house and client
6.3 Initial Margin rates on individual contracts, 6.3.1
where the CCP sets such rates

6.4 Type of initial margin model used (e.g. 6.4.1


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

6.4 Type of initial margin model used (e.g. 6.4.2


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

6.4 Type of initial margin model used (e.g. 6.4.3


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

6.4 Type of initial margin model used (e.g. 6.4.4


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

6.4 Type of initial margin model used (e.g. 6.4.5


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

6.4 Type of initial margin model used (e.g. 6.4.6


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

6.4 Type of initial margin model used (e.g. 6.4.7


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

6.4 Type of initial margin model used (e.g. 6.4.8


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
6.4 Type of initial margin model used (e.g. 6.4.9
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

6.4 Type of initial margin model used (e.g. 6.4.10


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

6.4 Type of initial margin model used (e.g. 6.4.11


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

6.4 Type of initial margin model used (e.g. 6.4.12


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

6.4 Type of initial margin model used (e.g. 6.4.13


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

6.4 Type of initial margin model used (e.g. 6.4.14


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

6.4 Type of initial margin model used (e.g. 6.4.15


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

6.5 Results of back-testing of initial margin. At 6.5.1.1


a minimum, this should include, for each
clearing service and each initial margin
model applied to that clearing service

6.5 Specify if measured intraday/continuously 6.5.1.2


or only once a day. If once a day, specify at
what time of day.
6.5 Specify if measured intraday/continuously 6.5.1.3
or only once a day. If once a day, specify at
what time of day.

6.5 Results of back-testing of initial margin. At 6.5.2


a minimum, this should include, for each
clearing service and each initial margin
model applied to that clearing service

6.5 Results of back-testing of initial margin. At 6.5.3


a minimum, this should include, for each
clearing service and each initial margin
model applied to that clearing service

6.5 Results of back-testing of initial margin. At 6.5.4


a minimum, this should include, for each
clearing service and each initial margin
model applied to that clearing service

6.5 Results of back-testing of initial margin. At 6.5.5


a minimum, this should include, for each
clearing service and each initial margin
model applied to that clearing service

6.6 Average Total Variation Margin Paid to the 6.6.1


CCP by participants each business

6.7 Maximum total variation margin paid to 6.7.1


the CCP on any given business day over the
period

6.8 Maximum aggregate initial margin call on 6.8.1


any given business day over the period

7.1 Liquidity Risk 7.1.1

7.1 Liquidity Risk 7.1.2

7.1 Liquidity Risk 7.1.3

7.1 Liquidity Risk 7.1.4

7.1 Liquidity Risk 7.1.5

7.1 Liquidity Risk 7.1.6

7.1 Liquidity Risk 7.1.7

7.1 Liquidity Risk 7.1.8

7.1 Liquidity Risk 7.1.9


7.1 Liquidity Risk 7.1.10

7.1 Liquidity Risk 7.1.11

7.2 Size and composition of any supplementary 7.2.1


liquidity risk resources for each clearing
service above those qualifying liquid
resources above.

7.3 Liquidity Risk 7.3.1

7.3 Liquidity Risk 7.3.2

7.3 Liquidity Risk 7.3.3

7.3 Liquidity Risk 7.3.4

7.3 Liquidity Risk 7.3.5

7.3 Liquidity Risk 7.3.6

7.3 Liquidity Risk 7.3.7

12.1 Percentage of settlements by value 12.1.1


effected using a DvP, DvD or PvP
settlement mechanism

12.1 Percentage of settlements by value 12.1.2


effected using a DvP, DvD or PvP
settlement mechanism

12.1 Percentage of settlements by value 12.1.3


effected using a DvP, DvD or PvP
settlement mechanism

12.2 Percentage of settlements by volume 12.2.1


effected using a DvP, DvD or PvP
settlement mechanism

12.2 Percentage of settlements by volume 12.2.2


effected using a DvP, DvD or PvP
settlement mechanism
12.2 Percentage of settlements by volume 12.2.3
effected using a DvP, DvD or PvP
settlement mechanism

13.1 quantitative information related to defaults 13.1.1

13.1 quantitative information related to defaults 13.1.2

13.1 quantitative information related to defaults 13.1.3.1

13.1 quantitative information related to defaults 13.1.3.2

13.1 quantitative information related to defaults 13.1.4

14.1 Total Client Positions held as a share of 14.1.1


notional values cleared or of the
settlement value of securities transactions

14.1 Total Client Positions held as a share of 14.1.2


notional values cleared or of the
settlement value of securities transactions

14.1 Total Client Positions held as a share of 14.1.3


notional values cleared or of the
settlement value of securities transactions

14.1 Total Client Positions held as a share of 14.1.4


notional values cleared or of the
settlement value of securities transactions

15.1 General business risk 15.1.1


15.1 General business risk 15.1.2
15.2 General business risk; Financial Disclosures 15.2.1

15.2 General business risk; Financial Disclosures 15.2.2

15.2 General business risk; Financial Disclosures 15.2.3

15.2 General business risk; Financial Disclosures 15.2.4

15.2 General business risk; Financial Disclosures 15.2.5

15.2 General business risk; Financial Disclosures 15.2.6

15.2 General business risk; Financial Disclosures 15.2.7

15.3 General business risk; Income breakdown 15.3.1

15.3 General business risk; Income breakdown 15.3.2

16.1 Total cash (but not securities) received 16.1.1


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
16.1 Total cash (but not securities) received 16.1.2
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

16.2 How total cash received from participants 16.2.1


(16.1) is held/deposited/invested,
including;

16.2 How total cash received from participants 16.2.2


(16.1) is held/deposited/invested,
including;

16.2 How total cash received from participants 16.2.3


(16.1) is held/deposited/invested,
including;

16.2 How total cash received from participants 16.2.4


(16.1) is held/deposited/invested,
including;

16.2 How total cash received from participants 16.2.5


(16.1) is held/deposited/invested,
including;

16.2 How total cash received from participants 16.2.6


(16.1) is held/deposited/invested,
including;

16.2 How total cash received from participants 16.2.7


(16.1) is held/deposited/invested,
including;

16.2 How total cash received from participants 16.2.8


(16.1) is held/deposited/invested,
including;

16.2 How total cash received from participants 16.2.9


(16.1) is held/deposited/invested,
including;

16.2 How total cash received from participants 16.2.10


(16.1) is held/deposited/invested,
including;

16.2 How total cash received from participants 16.2.11


(16.1) is held/deposited/invested,
including;

16.2 How total cash received from participants 16.2.12


(16.1) is held/deposited/invested,
including;

16.2 How total cash received from participants 16.2.13


(16.1) is held/deposited/invested,
including;
16.2 How total cash received from participants 16.2.14
(16.1) is held/deposited/invested,
including;

16.2 How total cash received from participants 16.2.15


(16.1) is held/deposited/invested,
including;

16.2 How total cash received from participants 16.2.16


(16.1) is held/deposited/invested,
including;

16.2 How total cash received from participants 16.2.17


(16.1) is held/deposited/invested,
including;

16.2 How total cash received from participants 16.2.18


(16.1) is held/deposited/invested,
including;

16.2 How total cash received from participants 16.2.19


(16.1) is held/deposited/invested,
including;

16.2 How total cash received from participants 16.2.20


(16.1) is held/deposited/invested,
including;

16.3 Rehypothecation of participant assets (ie 16.3.1


non-cash)
16.3 Rehypothecation of participant assets (ie 16.3.2
non-cash)
16.3 Rehypothecation of participant assets (ie 16.3.3
non-cash)

16.3 Rehypothecation of participant assets (ie 16.3.4


non-cash)

17.1 Operational availability target for the core 17.1.1


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

17.2 Actual availability of the core system(s) 17.2.1


over the previous twelve month period

17.3 Total number of failures 17.3.1

17.4 Recovery time objective(s) 17.4.1

18.1 Number of clearing members, by clearing 18.1.1.1


service
18.1 Number of clearing members, by clearing 18.1.1.2
service
18.1 Number of clearing members, by clearing 18.1.1.3
service
18.1 Number of clearing members, by clearing 18.1.2.1
service
18.1 Number of clearing members, by clearing 18.1.2.2
service
18.1 Number of clearing members, by clearing 18.1.2.3
service
18.1 Number of clearing members, by clearing 18.1.2.4
service
18.1 Number of clearing members, by clearing 18.1.3.1
service
18.1 Number of clearing members, by clearing 18.1.3.2
service
18.2 Open Position Concentration 18.2.1

18.2 Open Position Concentration 18.2.2

18.2 Open Position Concentration 18.2.3

18.3 Initial Margin Concentration 18.3.1

18.3 Initial Margin Concentration 18.3.2

18.3 Initial Margin Concentration 18.3.3

18.4 Segregated Default Fund Concentration 18.4.1

18.4 Segregated Default Fund Concentration 18.4.2

18.4 Segregated Default Fund Concentration 18.4.3

19.1 Tiered participation arrangements, 19.1.1


measures of concentration of client
clearing

19.1 Tiered participation arrangements, 19.1.2


measures of concentration of client
clearing

19.1 Tiered participation arrangements, 19.1.3.1


measures of concentration of client
clearing
19.1 Tiered participation arrangements, 19.1.3.2
measures of concentration of client
clearing

19.1 Tiered participation arrangements, 19.1.4.1


measures of concentration of client
clearing

19.1 Tiered participation arrangements, 19.1.4.2


measures of concentration of client
clearing

20.1 FMI Links, Value of Trades 20.1.1

20.2 FMI Links, Initial Margin or equivalent 20.2.1


financial resources provided

20.3 FMI Links, Initial Margin or equivalent 20.3.1


financial resources collected

20.4 FMI Links, Results of Back-testing coverage 20.4.1.1

20.4 FMI Links, Results of Back-testing coverage 20.4.1.2

20.4 FMI Links, Results of Back-testing coverage 20.4.1.3

20.4 FMI Links, Results of Back-testing coverage 20.4.2

20.4 FMI Links, Results of Back-testing coverage 20.4.3

20.5 FMI Links, Additional pre-funded financial 20.5.1.1


resources provided to

20.5 FMI Links, Additional pre-funded financial 20.5.1.2


resources provided to
20.6 FMI Links, Additional pre-funded financial 20.6.1.1
resources collected from

20.6 FMI Links, Additional pre-funded financial 20.6.1.2


resources collected from
20.7 FMI Links, Cross Margining 20.7.1

20.7 FMI Links, Cross Margining 20.7.2

23.1 Disclosure of rules, key procedures, and 23.1.1


market data; Average Daily Volumes

23.1 Disclosure of rules, key procedures, and 23.1.2


market data; Average Daily Volumes

23.2 Disclosure of rules, key procedures, and 23.2.1


market data; Non-Yet-Settled
23.2 Disclosure of rules, key procedures, and 23.2.2
market data; Average Daily Volumes

23.2 Disclosure of rules, key procedures, and 23.2.3


market data; Average Daily Volumes

23.2 Disclosure of rules, key procedures, and 23.2.4


market data; Average Daily Volumes

23.3 Disclosure of rules, key procedures, and 23.3.1


market data; Execution Facility

23.3 Disclosure of rules, key procedures, and 23.3.2


market data; Execution Facility
Disclosure Description Description Values

Prefunded - Own Capital Before; n/a


Reported as at quarter end

Prefunded - Own Capital Alongside; n/a


Reported as at quarter end

Prefunded - Own Capital After; n/a


Reported as at quarter end

Prefunded - Aggregate Participant Contributions - Required; n/a


Reported as at quarter end

Prefunded - Aggregate Participant Contributions - Post-Haircut Posted; n/a


Reported as at quarter end

Prefunded - Other; n/a


Reported as at quarter end

Committed - Own/parent funds that are committed to address a participant n/a


default (or round of participant defaults);
Reported as at quarter end

Committed - Aggregate participant commitments to address an initial n/a


participant default (or initial round of participant defaults);
Reported as at quarter end

Committed - Aggregate participant commitments to replenish the default fund n/a


to deal with a subsequent participant default (or round of participant defaults)
after the initial participant default (or round of participant defaults) has been
addressed;
Reported as at quarter end

Committed - Other; n/a


Reported as at quarter end

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

Cash deposited at other central banks; PreHaircut


Reported as at quarter end; Pre-Haircut and Post-Haircut PostHaircut

Secured cash deposited at commercial banks (including reverse repo); PreHaircut


Reported as at quarter end; Pre-Haircut and Post-Haircut PostHaircut

Unsecured cash deposited at commercial banks; PreHaircut


Reported as at quarter end; Pre-Haircut and Post-Haircut PostHaircut

Non-Cash Sovereign Government Bonds - Domestic; PreHaircut


Reported as at quarter end; Pre-Haircut and Post-Haircut PostHaircut

Non-Cash Sovereign Government Bonds - Other; PreHaircut


Reported as at quarter end; Pre-Haircut and Post-Haircut PostHaircut

Non-Cash Agency Bonds; PreHaircut


Reported as at quarter end; Pre-Haircut and Post-Haircut PostHaircut

Non-Cash State/municipal bonds; PreHaircut


Reported as at quarter end; Pre-Haircut and Post-Haircut PostHaircut

Non-Cash Corporate bonds; PreHaircut


Reported as at quarter end; Pre-Haircut and Post-Haircut PostHaircut

Non-Cash Equities; PreHaircut


Reported as at quarter end; Pre-Haircut and Post-Haircut PostHaircut

Non-Cash Commodities - Gold; PreHaircut


Reported as at quarter end; Pre-Haircut and Post-Haircut PostHaircut

Non-Cash Commodities - Other; PreHaircut


Reported as at quarter end; Pre-Haircut and Post-Haircut PostHaircut
Non-Cash Commodities - Mutual Funds / UCITs; PreHaircut
Reported as at quarter end; Pre-Haircut and Post-Haircut PostHaircut

Non-Cash Commodities - Other; 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

State whether the CCP is subject to a minimum “Cover 1” or “Cover 2” n/a


requirement in relation to total pre-funded default resources.

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)

Confidence interval targeted through the calculation of haircuts n/a

Assumed holding/liquidation period for the assets accepted n/a


Look-back period used for testing the haircuts n/a
Number of days during the look-back period on which the fall in value during n/a
the assumed holding/liquidation period exceeded the haircut on an asset.

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 Equities; HouseIM_PreHaircut


Description: HouseIM_PreHaircut, HouseIM_PostHaircut, ClientIM_PreHaircut, HouseIM_PostHaircut
ClientIM_PostHaircut, TotalIM_PreHaircut, TotalIM_PostHaircut ClientIM_PreHaircut
ClientIM_PostHaircut
TotalIM_PreHaircut
TotalIM_PostHaircut

Non-Cash Commodities - Gold; HouseIM_PreHaircut


Description: HouseIM_PreHaircut, HouseIM_PostHaircut, ClientIM_PreHaircut, HouseIM_PostHaircut
ClientIM_PostHaircut, TotalIM_PreHaircut, TotalIM_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

Type of IM Model Change Effective Date

IM Model Name

IM Model Name Change Effective Date

Single Tailed Confidence Level

Single Tailed Confidence Level Change Effective Date

Look Back Period

Look Back Period Change Effective Date


Adjustments

Adjustments Change Effective Date

Close Out Period (days)

Close out period change Effective Date

IM Rates Link

Frequency of Parameter Review

Frequency of Parameter Review Change Effective Date

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

Frequency of daily back-testing result measurements. n/a


Time of daily back-testing result if measured once a day. n/a

Number of observations n/a

Achieved coverage level n/a

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

Percentage of settlements by value effected using a DvP settlement n/a


mechanism

Percentage of settlements by value effected using a DvD settlement n/a


mechanism

Percentage of settlements by value effected using a PvP settlement mechanism n/a

Percentage of settlements by volume effected using a DvP settlement n/a


mechanism

Percentage of settlements by volume effected using a DvD settlement n/a


mechanism
Percentage of settlements by volume effected using a PvP settlement n/a
mechanism

Quantitative information related to defaults; Amount of loss versus amount of n/a


initial margin

Quantitative information related to defaults; Amount of other financial n/a


resources used to cover losses

Quantitative information related to defaults; Proportion of client positions n/a


closed-out

Quantitative information related to defaults; Proportion of client positions


ported

Quantitative information related to defaults; Appropriate references to other


published material related to the defaults
Total Client Positions held in individually segregated accounts n/a

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

Value of liquid net assets funded by equity n/a


Six months of current operating expenses n/a
Total Revenue n/a

Total Expenditure n/a

Profits n/a

Total Assets n/a

Total Liabilities 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

Percentage of total participant cash invested in securities; Domestic sovereign n/a


government bonds

Percentage of total participant cash invested in securities; Other sovereign n/a


government bonds

Percentage of total participant cash invested in securities; Agency Bonds n/a

Percentage of total participant cash invested in securities; State/municipal n/a


bonds
Percentage of total participant cash invested in securities; Other instruments n/a

Percentage of total participant cash invested in securities; percentage split by USD


currency of these securities; Specify local currency in comments; EUR
GBP

Weighted average maturity of securities n/a

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.

Percentage of total participant cash held as securities. n/a

Total value of participant non-cash rehypothecated (Initial margin) n/a

Total value of participant non-cash rehypothecated (Default fund) n/a

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

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

Number of general clearing members n/a


Number of direct clearing members n/a

Number of others category (Describe in comments) n/a

Number of central bank participants n/a

Number of CCP participants n/a

Number of bank participants n/a

Number of other participants (Describe in comments) n/a

Number of domestic participants n/a

Number of foreign participants n/a

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

Number of clients (if known) n/a

Number of direct members that clear for clients n/a

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

Value of trades cleared through each link – as a share of total trade


values/total notional values cleared
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

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

Back-testing results frequency - state if measured intraday/continuously/once


a day
If 20.4.1.2 is 'once a day' then the time of day measure is taken, otherwise
blank
Number of observations (i.e. number of accounts multiplied by number of days
covered in the back test); Intraday or Continuous or Once-a-day

Achieved coverage level

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

Value of trades subject to cross margining, by clearing service, as a percentage


of total trade values/total notional values cleared

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

Average daily volumes submitted by Execution facility or <ExecutionVenue>


matching/confirmation venue

Notional contract values submitted by Execution facility or <ExecutionVenue>


matching/confirmation venue
Reporting
Data Type Data File Comments
Frequency

Numeric 2dp, Currency AggregatedDataFile Quarter end

Numeric 2dp, Currency AggregatedDataFile Quarter end

Numeric 2dp, Currency AggregatedDataFile Quarter end

Numeric 2dp, Currency AggregatedDataFile Quarter end

Numeric 2dp, Currency AggregatedDataFile Quarter end

Numeric 2dp, Currency AggregatedDataFile Quarter end

Numeric 2dp, Currency AggregatedDataFile Quarter end

Numeric 2dp, Currency AggregatedDataFile Quarter end

Text AggregatedDataFile Quarter end

Numeric 2dp, Currency AggregatedDataFile Quarter end

Numeric 2dp AggregatedDataFile Quarter end


Numeric 2dp, Currency DataFile_4.3 Quarter end

Numeric 2dp, Currency DataFile_4.3 Quarter end

Numeric 2dp, Currency DataFile_4.3 Quarter end

Numeric 2dp, Currency DataFile_4.3 Quarter end

Numeric 2dp, Currency DataFile_4.3 Quarter end

Numeric 2dp, Currency DataFile_4.3 Quarter end

Numeric 2dp, Currency DataFile_4.3 Quarter end

Numeric 2dp, Currency DataFile_4.3 Quarter end

Numeric 2dp, Currency DataFile_4.3 Quarter end

Numeric 2dp, Currency DataFile_4.3 Quarter end

Numeric 2dp, Currency DataFile_4.3 Quarter end

Numeric 2dp, Currency DataFile_4.3 Quarter end


Numeric 2dp, Currency DataFile_4.3 Quarter end

Numeric 2dp, Currency DataFile_4.3 Quarter end

Numeric 2dp, Currency DataFile_4.3 Quarter end

Text AggregatedDataFile Quarter end

Numeric 0dp AggregatedDataFile Quarter end

Numeric 2dp, Percentage DataFile_4.4a Quarterly, 12


month span

Numeric 0dp AggregatedDataFile Quarter end

Numeric 2dp, Currency DataFile_4.4b Quarter end

Numeric 2dp, Currency DataFile_4.4a Quarter end

Numeric 2dp, Currency DataFile_4.4a Quarter end

Numeric 0dp AggregatedDataFile Quarter end

Numeric 2dp, Currency DataFile_4.4b Quarter end

Numeric 2dp, Currency DataFile_4.4a Quarter end

Text AggregatedDataFile Ad-Hoc


Text AggregatedDataFile Ad-Hoc

Numeric 2dp, Percentage AggregatedDataFile Quarter end

Text AggregatedDataFile Quarter end


Text AggregatedDataFile Quarter end
Numeric 0dp AggregatedDataFile Quarterly

Numeric 2dp, Currency DataFile_6.1 Quarter end

Numeric 2dp, Currency DataFile_6.2 Quarter end

Numeric 2dp, Currency DataFile_6.2 Quarter end

Numeric 2dp, Currency DataFile_6.2 Quarter end

Numeric 2dp, Currency DataFile_6.2 Quarter end

Numeric 2dp, Currency DataFile_6.2 Quarter end

Numeric 2dp, Currency DataFile_6.2 Quarter end


Numeric 2dp, Currency DataFile_6.2 Quarter end

Numeric 2dp, Currency DataFile_6.2 Quarter end

Numeric 2dp, Currency DataFile_6.2 Quarter end

Numeric 2dp, Currency DataFile_6.2 Quarter end

Numeric 2dp, Currency DataFile_6.2 Quarter end

Numeric 2dp, Currency DataFile_6.2 Quarter end

Numeric 2dp, Currency DataFile_6.2 Quarter end

Numeric 2dp, Currency DataFile_6.2 Quarter end

Numeric 2dp, Currency DataFile_6.2 Quarter end


Text AggregatedDataFile Ad-Hoc

Text AggregatedDataFile Quarterly

ISO 8601 Date Format AggregatedDataFile Quarterly


YYYY-MM-DD

Text AggregatedDataFile Quarterly

ISO 8601 Date Format AggregatedDataFile Quarterly


YYYY-MM-DD

Numeric 2dp, AggregatedDataFile Quarterly


Percentage

ISO 8601 Date Format AggregatedDataFile Quarterly


YYYY-MM-DD

Text AggregatedDataFile Quarterly

ISO 8601 Date Format AggregatedDataFile Quarterly


YYYY-MM-DD
Text AggregatedDataFile Quarterly

ISO 8601 Date Format AggregatedDataFile Quarterly


YYYY-MM-DD

Text AggregatedDataFile Quarterly

ISO 8601 Date Format AggregatedDataFile Quarterly


YYYY-MM-DD

Text AggregatedDataFile Quarterly

Text AggregatedDataFile Quarter end

ISO 8601 Date Format AggregatedDataFile Quarterly


YYYY-MM-DD

Numeric 0dp AggregatedDataFile Quarterly, 12


month span

Text AggregatedDataFile Quarterly, 12


month span
Text AggregatedDataFile Quarterly, 12
month span

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ReportDate ReportLevel ReportLevelIdentifier Currency 4.1.1
2017-12-31 CCP SIX x-clear Ltd CHF
2017-12-31 Default Fund Cash Markets CHF 3,695,584.79
2017-12-31 Default Fund Derivatives NOK 4,033,761.79
4.1.2 4.1.3 4.1.4 4.1.5

- - 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

- 44,265,593.56 165,000,000.00 220,000,000.00


48,316,266.60 180,098,883.77 240,131,845.02
4.1.10 4.2.1 4.4.1 4.4.2

354,124,748.49 - Cover 2 Bonds: 7 business days


386,530,132.83 - Cover 2 Equity: 25business
Options: businessdays
days
Futures, Forwards, Equities and SLB: 2 business days
4.4.4 4.4.8 5.1.1 5.2.1
See x-clears lending norms
See
available
x-clearson
lending
the private
normsarea
available
on ouron
homepage.
the private area on our homepage.
- 3.00
13.00 36.00
5.3.1 5.3.2 5.3.3 5.3.4
99.00 Bonds: 7 days 2 years -
6.3.1 6.4.1 6.4.2 6.4.3

SECOM: Risk aggregation SECOM Initial Margin Model


RMS: Portfolio
VaR Simulation RMS Margin
MIDAS Validation
6.4.4 6.4.5 6.4.6 6.4.7

Margin Model 99.00 SECOM: 2 years


Validation 0.99 RMS: as 2ofyears
2008 (EWMA)
6.4.8 6.4.9 6.4.10 6.4.11

2 years Equities = 2 days


008
unweighted returns, 60 days unweighted returns and 60 days weighted returns (lambda =Bonds
(EWMA) 20,94) =for7 setting
- 10 days days of margin rates.
For implied volatility estimates, EWMA with lambda of 0,9x is considered.
6.4.12 6.4.13 6.4.14 6.4.15

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

35.00 Daily End of day 15,442.00


- daily EOD 12,720.00
6.5.3 6.5.4 6.5.5 6.6.1

99.77 (26,565,246.59) (1,050,319.83)


100.00 - - 322,587.54
6.7.1 6.8.1 7.1.1 7.1.10
Cover 2 Yes
66,284,312.40
14,114,785.00 812,042,397.25
7.1.11 7.2.1 7.3.2 12.1.1
-
100.00
100.00
12.1.2 12.1.3 12.2.1 12.2.2

- - 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

within 2 hours 12.00 52.00


99.98 2 hr 4.00 13.00
18.1.1.3 18.1.2.1 18.1.2.2 18.1.2.3

2.00 - 2.00 64.00


1.00 - 1.00 10.00
18.1.2.4 18.1.3.1 18.1.3.2 18.4.1

- 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).

The reported breaches do not result from an errorous or insufficient margin


4.4.8 model but from not requesting a newly implemented margin add-on.

16.3 SIX x-clear does not rehypothecate received assets


Only the main currencies are reported for the Cash Markets segment, therefore
16.2 16.2 does not sum up to 100%.
The unsecured cash placed at commercial banks is mainly held with the sister
16.2.5 company SIX SIS Ltd.
Because CoCCP's neither qualify as GCM (18.1.1.1) nor as ICM (18.1.1.2), they
18.1.1.3 are classified as "others" to provide data consistent with the disclosures in
18.1.2
Independent Brokers do not qualify as banks and are therefore included in the
18.1.2.4 'others' category.
The number of observations disclosed in the Derivative segment only count the
2-day backtest. For transparency reasons, the 1-day backtest (with the same
20.4 number of observations) is not counted in.

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