Default fund contribution and stress scenarios

Reference date: 12/01/2022

Assumptions:

Quantile level: 99.7%

Risk metric: wes

WWR add-on included: False

Total base margin posted: €534,707,650

Total WWR add-ons posted: €0

Margin collateral and default fund contributions by member

The following three tables are compiled assuming that the default fund is computed as conditional ES at confidence 97.5%

A selection of batch and scenario numbers have a hyperlink that will take to a scenario page

List of top 100 CCP default events in the scenario set