Treasury Clearing · Benchmark Series · Issue 1

CCP Margin Monitor

A quarterly public benchmark recomputed from each CCP's own published CPMI-IOSCO public quantitative disclosure (PQD) - backtest coverage, largest margin deficiency, default fund requirement, Cover-2 peak stress loss, and total initial margin required. Compares FICC's three divisions and ICE's three clearinghouses on the fields each entity actually discloses; a field one side does not publish is reported unavailable, never interpolated.

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CCP PQD Zero PII Client-Side

Scope & reliance: Every figure below is public and source-cited to the CCP's own quarterly disclosure PDF, manually transcribed and refreshed each quarter - never a live feed, never scraped. Comparison arithmetic and threshold flags only: no ranking, no better/worse scoring language, no soundness judgment. Verify against the primary source before relying on any figure for a compliance or risk decision.

Issue 1 · Published PQD Fields (as of Q3 2025 FICC / Q4 2025 ICE)

Entity	Backtest Coverage	Largest Deficiency	Default Fund Req.	Cover-2 Peak Stress	Total IM Required
FICC · GSD	99.7%	$48.6MM	n/a	n/a	n/a
FICC · MBSD	99.7%	$24.8MM	n/a	n/a	n/a
FICC · NSCC	99.8%	$172.9MM	n/a	n/a	n/a
ICE · ICC	n/a	n/a	$4,798M	$1,178M	$57.855B
ICE · ICEU	n/a	n/a	$3,706M	$3,670M	$60.751B
ICE · ICUS	n/a	n/a	$1,009M	$800M	$18.811B

Sources: DTCC, dtcc.com/legal/policy-and-compliance (Q3 2025) · ICE, ice.com/clearing/quarterly-clearing-disclosures (Q4 2025). ICE skin-in-the-game total across all six houses: $343M.

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