Inside My Post Trade Risk Intelligence Project

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Welcome to Global Custody Pro, read by custody professionals like you. I'm Brennan McDonald, Managing Editor. I write about the global custody industry, having spent over 12 years in financial services, including working at a global custody bank. An AI voice reads the audio version of this newsletter. Have feedback? Just reply to this email or connect with us on LinkedIn.

Table of Contents

• Building A Risk Intelligence Tool

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Building A Risk Intelligence Tool

The PFMI establishes the principles for the disclosures that financial market infrastructure makes to enable counterparty risk monitoring and regulatory understanding, supporting financial stability and surfacing risks to the industry.

The 2015 CPMI-IOSCO Public Quantitative Disclosures include the minimum, common, quarterly data that CCPs publish in a standard template; qualitative PFMI disclosures are updated less frequently.

PFMI provides essential standardisation for global CCP disclosures. I'm building a comprehensive database of these disclosures, currently comprising 144,000 records from 18 CCPs. I am adding them regularly and performing extensive testing and sanity checks as I go. The variation in how financial market infrastructures implement these standards raises fascinating questions about transparency and risk reporting.

My interest in post-trade risk, combined with my previous writing about PFMI standards, led me to collect these publicly available disclosures and build a proper database for storing them. Each institution interprets the requirements differently, and understanding these differences could prove valuable for risk assessment. This new Monday series on Global Custody Pro shares observations and insights as I expand the database and process quarterly updates.

The most striking observation: the sheer range in disclosure volume across fully compliant CCPs. Some files are extensive, others are minimal. All publish the disclosures in the spirit of CPMI-IOSCO requirements, although regulators note varied adherence to template conventions, which can limit comparability and generate significant manual effort to monitor.

This variation represents fundamentally different institutional approaches to transparency within the same regulatory framework. The detailed qualitative disclosure documents that accompany the files provide further insight and offer an additional avenue for future exploration.

At least Q1 2025 data is now available for the 18 CCPs that have been processed in the database so far. It’s interesting that the gap in speed different CCPs have in how quickly they release data after the end of a quarter. Comparing these latest disclosures to those from previous quarters, where available, raises questions about whether reporting approaches are evolving. Some institutions appear to be adjusting their disclosure practices, though determining whether this represents broader trends requires continued observation.

Some of the questions I'll be exploring through this database:

• How much does disclosure volume vary across compliant institutions?

• Which fields do CCPs consistently leave empty, and why might that be?

• How often do multiple CCPs change their reporting approach simultaneously?

• What are the interconnections between CCPs?

• How far along the post-GFC journey have we really come in terms of disclosures?

Each Monday, I'll share what I'm observing in the data. Some weeks will focus on specific institutions or regions. Others might explore particular metrics or notable changes in the latest quarterly updates. All aimed at building a better understanding of these critical market infrastructure providers and developing this tool into a comprehensive risk intelligence platform over time.

[Premium subscribers continue reading for specific observations about calculation methods, gaps in reporting, and what I'm watching for the remainder of 2025...]

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