ISDA Margin Survey 2012


  1. Collateral in circulation is a key measure of the total amount of collateral used to mitigate the credit risk of OTC derivatives. This measure of collateral in circulation in the uncleared OTC Derivatives Market rose 24 percent during 2011, from US$ 2.9 trillion at end-2010 to US $ 3.6 trillion, primarily as a result of downgrades of financial firms, the Eurozone debt crisis and decline in interest rates.
  2. The Number of Collateral Agreements in use in the OTC derivative market was 137,869 by end-2011, of which 85 percent are ISDA agreements. Among firms that responded in both 2010 and 2011, the total number of collateral agreements slightly decreased over the past year. About 84 percent of all collateral agreements are bilateral, same percentage observed last year.
  3. Collateral agreements may be applied to all types of derivatives, and in practice the market trading conventions and credit risk considerations in different segments of the OTC derivatives market lead to a range of degrees of collateralization.
    1. Among all firms responding to the survey, 93 percent of all credit derivatives trades executed were subject to collateral arrangements during 2011, the highest rate observed among all different types of derivatives transactions. Overall, 71 percent of all OTC derivatives transactions were subject to collateral agreements during this period. The total average of all OTC derivatives collateralized includes transactions with end-users and spot FX transactions, which due to the nature of these trade types, are not general collateralized.
    2. The largest reporting firms, representing the world’s largest derivatives dealers, reported higher rates of collateralization. For this group, an average 96 percent of credit derivatives trades were subject to collateral arrangements during 2011. Overall, 84 percent of all OTC derivatives transaction executed by the large derivatives dealers were subject to collateral agreements.
  4. Portfolio reconciliation, which refers to the matching of both the population and mark-to-market of outstanding trades in a collateralized portfolio, continues to be considered good market practice. About 75 percent of all survey respondents and 100 percent of the largest OTC dealer banks indicated that they regularly performed portfolio reconciliations.
  5. Cash used as collateral represents around 79 percent of collateral received and 76 percent of collateral delivered in 2011, which is broadly consistent with last year’s results. Government securities constitute 12 percent of collateral received and 21 percent of collateral delivered this year, again consistent with end-2011.

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