Dataset: CCP – Central Counterparty Clearing Statistics

Data Structure Definition: Central Counterparty Clearing Statistics

[ECB_CCP1 agency: ECB] Download SDMX 2.1 Data Structure Definition of the CCP Dataflow

Click on the name of the codelist to see the full list of available codes.

Cube dimensions and attributes
  Concept description Concept Codelist Usage on SDW portal
1. dimension Frequency FREQ CL_FREQ Frequency dimension: used in Dimension Filters on Data Selection, Data Table and Quick View pages.
2. dimension System in the central counterparty clearing context CCP_SYSTEM CL_CCP_SYSTEM
3. dimension Information type in securities settlement, clearing, trading context SSS_INFO_TYPE CL_SSS_INFO_TYPE
4. dimension Instrument in securities settlement, clearing and trading context SSS_INSTRUMENT CL_SSS_INSTRUMENT
5. dimension Counterpart area COUNT_AREA CL_AREA_EE
6. dimension System in securities settlement and clearing context SSS_SYSTEM CL_SSS_SYSTEM
7. dimension Currency of transaction CURRENCY_TRANS CL_CURRENCY
8. dimension Series denominat/spec calcul SERIES_DENOM CL_SERIES_DENOM
Observation-level attribute Observation value OBS_VALUE
Observation-level attribute Observation status OBS_STATUS CL_OBS_STATUS Observation status: displayed on the Data Table and Quickview pages, downloadable in SDMX format.
Observation-level attribute Observation confidentiality OBS_CONF CL_OBS_CONF Observation confidentiality: displayed on the Data Table and Quickview pages, downloadable in SDMX format.
Observation-level attribute Pre-break observation value OBS_PRE_BREAK Observation pre-break value: displayed on the Data Table and Quickview pages, downloadable in SDMX format.
Observation-level attribute Observation comment OBS_COM Observation comment: displayed on the Data Table and Quickview pages, downloadable in SDMX format.
Time Series-level attribute Collection indicator COLLECTION CL_COLLECTION Collection attribute: used on the Data Table, Data Chart and Quick View pages, displayed on the Metadata page.
Time Series-level attribute Source publication (public) PUBL_PUBLIC
Time Series-level attribute Source publication (ECB only) PUBL_ECB
Time Series-level attribute Source publication (Euro area only) PUBL_MU
Time Series-level attribute Compiling organisation COMPILING_ORG CL_ORGANISATION
Time Series-level attribute Data dissemination organisation DISS_ORG CL_ORGANISATION
Sibling-level attribute Unit UNIT CL_UNIT Unit: displayed on the Data Table, Metadata and Quickview pages, downloadable in CSV and SDMX format.
Sibling-level attribute Unit multiplier UNIT_MULT CL_UNIT_MULT Unit Multiplier: displayed on the Data Table, Metadata and Quick View pages, downloadable in CSV and SDMX format.
Sibling-level attribute Title complement TITLE_COMPL Long title/description: used in the Search and displayed on Data Selection, Metadata and Quick View pages.
Sibling-level attribute Decimals DECIMALS CL_DECIMALS Number of decimals: used on the Data Table and Quick View pages.
Sibling-level attribute Source agency SOURCE_AGENCY CL_ORGANISATION Source Agency: displayed on the Data Table, Data Chart and Quick View pages.
Sibling-level attribute Title TITLE Short title: used in the Search and displayed on Data Selection, Metadata and Quick View pages.


Code List Description

Code Code Description
ADV Average Daily Notional Value of trades cleared
AVT Average daily volume of trades cleared (Total)
BDE Number of business days on which estimated largest payment obligation exceeded qualifying liquid resources
C00 Non-debt ISIN codes
C01 Non-debt ISIN codes o/w no price is available
CAR Cash ratio
CCC Client Clearing Concentration
CDF Default Fund Concentration
CIM Initial Margin Concentration
COL Collateralisation
CRP Cash Reinvestment Policies
D00 Total participants - central bank
D01 Total participants - central counterparty (CCP)
D02 Total participants - central securirties depository (CSD)
D03 Total participants - credit institution
D04 Total participants - other
D0T Total participants
D10 Domestic participants - central bank
D11 Domestic participants - central counterparty (CCP)
D12 Domestic participants - central securirties depository (CSD)
D13 Domestic participants - credit institution
D14 Domestic participants - other
D1T Domestic participants
D20 Non-domestic participants - central bank
D21 Non-domestic participants - central counterparty (CCP)
D22 Non-domestic participants - central securities depository (CSD)
D23 Non-domestic participants - credit institution
D24 Non-domestic participants - other
D2T Non-domestic participants
D30 Non-domestic EU participants - central bank
D31 Non-domestic EU participants - central counterparty (CCP)
D33 Non-domestic EU participants - credit institution
D34 Non-domestic EU participants - other
D3T Non-domestic EU participants
D40 Non-domestic non-EU participants - central bank
D41 Non-domestic non-EU participants - central counterparty (CCP)
D43 Non-domestic non-EU participants - credit institution
D44 Non-domestic non-EU participants - other
D4T Non-domestic non-EU participants
D50 Domestic participants - branches of entities registered abroad, central bank
D51 Domestic participants - branches of entities registered abroad, central counterparty (CCP)
D53 Domestic participants - branches of entities registered abroad, credit institution
D54 Domestic participants - branches of entities registered abroad, other
D5T Domestic participants - branches of entities registered abroad
EXL Executed trades - Electronic order book transactions
EXN Executed trades - Negotiated deals
EXT Executed trades
GNV Gross notional outstanding/total settlement value of novated but not-yet settled securities transactions
HAN Herfindahl-Hirschman Index daily average notional
HGN Herfindahl-Hirschman Index gross notional
HIM Herfindahl-Hirschman Index initial margin
HNC Haircut on non-cash initial margin
IM1 Total Initial Margin Required
IM2 Total Initial Margin Held Post-Haircut
IM3 Prefunded default resources and initial margin
IOA Share of initial margin provided for interoperability arrangements in total initial margin
LNK Transactions through a clearing link
LP1 Estimated largest payment obligation in total that would be caused by the default of any single participant and its affiliates in extreme but plausible market conditions
LP2 Amount by which estimated largest payment obligation exceeded qualifying liquid resources
LSD Listed securities (listed companies in case of equity) - domestic
LSN Listed securities (listed companies in case of equity) - non-domestic
LST Listed securities (listed companies in case of equity)
MKP Market capitalisation of listed companies (domestic equities and exclusive foreign listings)
NTC Non-OTC transactions
OCL Overcollaterlization
ODF Ratio of own capital alongside and after to default fund
OTC OTC transactions
OUT Outright
PC0 Prefunded Own Capital
PC1 Prefunded Own Capital, Before
PC2 Prefunded Own Capital, Alongside
PC3 Prefunded Own Capital, After
PC4 Prefunded Aggregate Participant Contributions Required
PC5 Prefunded Aggregate Participant Contributions Posted Post-Haircut
PR1 Percentage of Own Capital in prefunded default resources and initial margin
PR2 Percentage of Prefunded Aggregate Participant Contributions in prefunded default resources and initial margin
PR3 Percentage of Total Initial Margin in prefunded default resources and initial margin
QL1 Value of qualifying liquid resources
QL2 Ratio of qualifying liquid resources to prefunded default resources and initial margin
QL3 Ratio of qualifying liquid resources to the estimated largest same-day payment obligation
QLP Percentage within qualifying liquid resources
R00 Issues and redemptions
R01 Issues
R02 Redemptions
REP Repo
S00 Securities held in acounts (total)
S01 Securities held in accounts by source, reporting CSD
S02 Securities held in accounts by source, other than reporting CSD
S03 Securities held in accounts by source, other than reporting CSD, another CSD
S04 Securities held in accounts by source, other than reporting CSD, custodian bank
S11 Securities held in accounts by use, another CSD
S12 Securities held in accounts by use, other participants
SCC Share of Client Clearing
SDF Ratio of skin-in-the-game to default fund
ST0 Securities transfers from CSD account to another CSD account
ST1 Securities transfers from CCP to/from clearing member
ST2 Securities transfers from clearing member to clearing member
TC1 Total cash received from participants, initial margin
TC2 Total cash received from participants, default fund contributions
TC3 Total cash received from participants
TCP Percentage within total participant cash
WDR Wind-down ratio
Y00 Delivery instructions processed (total)
Y01 Delivery instructions processed, internal transfer (no link)
Y02 Delivery instructions processed, internal transfer (one link)
Y03 Delivery instructions processed, placing securities in another CSD
Y10 Delivery instructions processed on an account of a Central Counterparty (CCP) with the CSD
Y11 Delivery instructions processed on an account of a Central Counterparty (CCP) with the CSD, internal transfer (no link)
Y12 Delivery instructions processed on an account of a Central Counterparty (CCP) with the CSD, internal transfer (one link)
Y13 Delivery instructions processed on an account of a Central Counterparty (CCP) with the CSD, placing securities in another CSD
YA0 Delivery instructions processed, average value of transactions (total)