FI-Sim | Counterparty Risk & Margin Dashboard

Active Counterparties

26 G-SIB FIs | 22 Corporates & Sovereigns

Gross Exposure (Notional)

$38.8T

IRS $22.1T | CDS $8.4T | FX $5.2T | Equity $3.1T

Total IM Posted

$21.2B

CCP $10.1B | Bilateral $11.2B

CCP Default Fund

$6.5B

LCH $4.0B | ICE $2.5B

LCR (Margin-Adjusted)

108.9%

Buffer: +8.9pp above 100% minimum

CCP Clearing Split

Category	Share	Notional ($B)	Products
CCP Cleared	60%	393	IRS, FRA → LCH; CDS → ICE
Bilateral (CSA)	25%	164	Exotic rates, FX options, equity swaps
Uncollateralised	15%	98	Sovereign, corporate hedges

Clearing mandate coverage: 60% of notional through CCPs. Bilateral CSA governed by ISDA 2016 VM protocol. Uncollateralised segment declining — target <12% by Q4 2026.

CCP Exposure Detail

LCH SwapClear GREEN

ProductsIRS, OIS, FRA

Cleared Notional$265B

IM Posted$6.0B

Default Fund Contribution$4.0B

Margin Call FrequencyIntraday (2x)

Last Stress Test2026-03-14 — PASS

MPOR5 days

ICE Clear Europe GREEN

ProductsCDS indices, single-name CDS

Cleared Notional$128B

IM Posted$4.1B

Default Fund Contribution$2.5B

Margin Call FrequencyDaily (EOD)

Last Stress Test2026-03-14 — PASS

MPOR5 days (index) / 10 days (SN)

Initial Margin Breakdown

Variation Margin Flows (Daily)

Concentration Metrics

HHI (Herfindahl-Hirschman)341 — Well Diversified

Top 10 Share46.5% of total exposure

Largest Single NameJPMorgan — 7.2% ($2.8B)

Internal Limit (single name)$13.8B (35.5% of Tier 1)

By Client Type

FI 55%

Corporate 30%

Sovereign 15%

By Rating

IG 72%

Crossover 18%

HY 8%

NR 2%

By Region

Americas 45%

EMEA 35%

APAC 20%

By Sector

Banking 35%

Sovereign 15%

Energy 12%

Technology 10%

Other 28%

Top 20 Counterparty Exposures

#	Counterparty	Type	Rating	Gross ($B)	Limit ($B)	Utilisation	CSA

Wrong-Way Risk Assessment

WWR Type	Correlation (Normal)	Correlation (Crisis)	Key Risk	Mitigation
General	0.10 – 0.15	0.35 – 0.45	All counterparties deteriorate simultaneously in systemic stress	Diversification, CCP clearing, stress IM add-ons
Specific (FI)	0.15 – 0.25	0.50 – 0.70	Bank CP default coincides with exposure spike (CDS on same sector)	Break clauses, additional IM, name-specific limits
Specific (Sovereign)	0.10 – 0.20	0.30 – 0.50	Sovereign crisis drives domestic FI exposure & collateral haircuts	Sovereign ceiling, collateral diversification, FX haircuts

Limit Breach History (2015–2025)

Metric	Value
Total Breaches (11yr)	53
2020 Peak Year	12 breaches (23% of all)
Average per Year	4.8
Currently Open	0

Cause	Share	Count
Volatility spike	40%	21
Rating downgrade	26%	14
Concentration	19%	10
Margin failure	9%	5
New trade	6%	3

CSA Coverage Matrix

Segment	Count	CSA Type	Threshold	VM Frequency	MTA	Eligible Collateral
G-SIB FIs	26	Full CSA	$0	Daily	$500K	Cash, G7 Govt, Agency MBS
Regional FIs	85	Full CSA	$10–50M	Daily	$1M	Cash, G10 Govt
Large Corporates	45	One-way CSA	$25M	Weekly	$5M	Cash only
Other Corporates	255	No CSA	—	—	—	—
Sovereigns	30	No CSA	—	—	—	—

Total CSA-covered: 156 counterparties (35.4%) covering 85% of notional exposure. ISDA 2016 VM protocol compliant. UMR Phase 6 SIMM implemented for all in-scope bilaterals.