As a qualifying central counterparty (“QCCP”)1, CME Clearing is required to make available or calculate required data for purposes of calculating capital requirements for default fund (i.e., Guaranty Fund) exposures under the Basel III capital framework. CME Clearing computes the risk weight or ‘c-factor’ value bank or bank-affiliated clearing members may utilize in determining the amount of regulatory capital to be held against default fund (i.e., Guaranty Fund) contributions.
For each of CME Clearing’s services, c-factors are prepared in accordance with the specified template2 and methodology established by the Basel Committee on Banking Supervision (“BCBS”) Capital requirements for bank exposures to central counterparties.3 Results are disclosed directly to clearing members on a monthly basis.
For further transparency, CME Clearing publishes c-factors for firms in jurisdictions that quantify derivative exposures under the current exposure methodology (“CEM”) in the following section.
| BCBS 227 (CEM) | ||
|---|---|---|
| Base (F&O) | OTC IRS | |
| Jan-19 | 0.6% | 0.5% |
| Feb-19 | 0.5% | 0.5% |
| Mar-19 | 0.4% | 0.4% |
| Apr-19 | 0.6% | 0.5% |
| May-19 | 0.5% | 0.5% |
| Jun-19 | 0.7% | 0.5% |
| Jul-19 | 0.5% | 0.5% |
| Aug-19 | 0.6% | 0.5% |
| Sep-19 | 0.5% | 0.4% |
| Oct-19 | 0.6% | 0.5% |
| Nov-19 | 0.5% | 0.5% |
| Dec-19 | 0.6% | 0.4% |
| Jan-20 | 0.5% | 0.5% |
| Feb-20 | 0.4% | 0.5% |
| Mar-20 | 0.4% | 0.4% |
| Apr-20 | 0.2% | 0.4% |
| May-20 | 0.3% | 0.4% |
| Jun-20 | 0.3% | 0.4% |
| Jul-20 | 0.3% | 0.4% |
| Aug-20 | 0.3% | 0.5% |
| Sep-20 | 0.4% | 0.4% |
| Oct-20 | 0.3% | 0.4% |
| Nov-20 | 0.5% | 0.5% |
| Dec-20 | 0.4% | 0.4% |
| Jan-21 | 0.5% | 0.5% |
| Feb-21 | 0.5% | 0.5% |
| Mar-21 | 0.6% | 0.4% |
| Apr-21 | 0.5% | 0.5% |
| May-21 | 0.4% | 0.5% |
| Jun-21 | 0.5% | 0.5% |
| Jul-21 | 0.5% | 0.5% |
| Aug-21 | 0.4% | 0.5% |
| Sep-21 | 0.4% | 0.5% |
| Oct-21 | 0.3% | 0.4% |
| Nov-21 | 0.4% | 0.5% |
| Dec-21 | 0.5% | 0.5% |
| Jan-22 | 0.3% | 0.5% |
| Feb-22 | 0.4% | 0.5% |
| Mar-22 | 0.5% | 0.5% |
| Apr-22 | 0.4% | 0.5% |
| May-22 | 0.5% | 0.5% |
| Jun-22 | 0.5% | 0.5% |
| Jul-22 | 0.4% | 0.5% |
| Aug-22 | 0.6% | 0.5% |
| Sep-22 | 0.3% | 0.5% |
| Oct-22 | 0.3% | 0.6% |
| Nov-22 | 0.3% | 0.5% |
| Dec-22 | 0.3% | 0.5% |
| Jan-23 | 0.4% | 0.5% |
| Feb-23 | 0.5% | 0.5% |
| Mar-23 | 0.5% | 0.5% |
| Apr-23 | 0.3% | 0.5% |
| May-23 | 0.6% | 0.5% |
| Jun-23 | 0.4% | 0.5% |
| Jul-23 | 0.5% | 0.6% |
| Aug-23 | 0.4% | 0.5% |
| Sep-23 | 0.4% | 0.5% |
| Oct-23 | 0.3% | 0.5% |
| Nov-23 | 0.4% | 0.6% |
| Dec-23 | 0.5% | 0.5% |
| Jan-24 | 0.5% | 0.5% |
| Feb-24 | 0.3% | 0.5% |
| Mar-24 | 0.3% | 0.5% |
| Apr-24 | 0.5% | 0.5% |
| May-24 | 0.4% | 0.5% |
| Jun-24 | 0.4% | 0.5% |
| Jul-24 | 0.5% | 0.5% |
| Aug-24 | 0.3% | 0.5% |
In addition, CME Clearing provides c-factor disclosures calculated in accordance with the revised Basel Kccp methodology, BCBS 2824, that quantifies derivative exposures applying the Standardized Approach for measuring Counterparty Credit Risk (“SA-CCR”)5. For firms domiciled in jurisdictions where SA-CCR adoption is finalized, please refer to the following section.
| BCBS 282 (SA-CCR) | ||
|---|---|---|
| Base (F&O) | OTC IRS | |
| Jan-19 | 3.8% | 1.1% |
| Feb-19 | 4.5% | 1.6% |
| Mar-19 | 4.2% | 1.3% |
| Apr-19 | 4.8% | 1.3% |
| May-19 | 4.3% | 0.9% |
| Jun-19 | 4.4% | 1.5% |
| Jul-19 | 4.7% | 0.9% |
| Aug-19 | 4.2% | 1.5% |
| Sep-19 | 4.4% | 0.5% |
| Oct-19 | 5.4% | 1.6% |
| Nov-19 | 5.2% | 0.9% |
| Dec-19 | 4.8% | 1.5% |
| Jan-20 | 4.5% | 1.3% |
| Feb-20 | 2.6% | 1.2% |
| Mar-20 | 1.3% | 1.1% |
| Apr-20 | 1.3% | 1.1% |
| May-20 | 1.6% | 1.1% |
| Jun-20 | 1.6% | 1.1% |
| Jul-20 | 2.0% | 1.1% |
| Aug-20 | 1.7% | 1.4% |
| Sep-20 | 2.0% | 1.0% |
| Oct-20 | 2.0% | 1.2% |
| Nov-20 | 2.7% | 1.5% |
| Dec-20 | 2.8% | 1.3% |
| Jan-21 | 2.8% | 1.3% |
| Feb-21 | 2.8% | 0.6% |
| Mar-21 | 2.6% | 0.7% |
| Apr-21 | 2.9% | 0.8% |
| May-21 | 2.6% | 1.0% |
| Jun-21 | 2.4% | 1.0% |
| Jul-21 | 2.3% | 1.0% |
| Aug-21 | 2.4% | 1.1% |
| Sep-21 | 2.3% | 1.0% |
| Oct-21 | 2.6% | 0.7% |
| Nov-21 | 2.5% | 0.8% |
| Dec-21 | 2.2% | 0.6% |
| Jan-22 | 1.8% | 0.6% |
| Feb-22 | 2.1% | 0.5% |
| Mar-22 | 1.7% | 0.5% |
| Apr-22 | 1.6% | 0.6% |
| May-22 | 1.4% | 0.7% |
| Jun-22 | 1.5% | 0.7% |
| Jul-22 | 1.9% | 0.9% |
| Aug-22 | 1.6% | 0.9% |
| Sep-22 | 1.6% | 1.0% |
| Oct-22 | 1.5% | 0.8% |
| Nov-22 | 1.6% | 1.2% |
| Dec-22 | 1.5% | 0.6% |
| Jan-23 | 1.8% | 0.9% |
| Feb-23 | 1.5% | 0.8% |
| Mar-23 | 1.9% | 0.9% |
| Apr-23 | 1.9% | 0.6% |
| May-23 | 1.9% | 1.0% |
| Jun-23 | 1.7% | 0.6% |
| Jul-23 | 1.8% | 1.0% |
| Aug-23 | 1.6% | 1.1% |
| Sep-23 | 1.2% | 1.0% |
| Oct-23 | 1.4% | 1.1% |
| Nov-23 | 2.1% | 0.9% |
| Dec-23 | 1.9% | 1.1% |
| Jan-24 | 1.8% | 1.2% |
| Feb-24 | 1.8% | 1.1% |
| Mar-24 | 2.0% | 1.1% |
| Apr-24 | 1.8% | 1.0% |
| May-24 | 2.2% | 1.3% |
| Jun-24 | 1.9% | 1.0% |
| Jul-24 | 1.8% | 1.2% |
| Aug-24 | 1.9% | 0.8% |
For related inquires or questions, please contact CMECFactor@cmegroup.com.
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