Summary

1. Collateral in circulation in the non-cleared OTC derivatives market rose 1 percent during 2012, from US$ 3.65 trillion at end-2011 to US $ 3.70 trillion as at December 31, 2012.

2. The number of active collateral agreements (those with exposure and / or collateral balances) supporting non-cleared OTC derivatives transactions was 118,853 at end-2012, of which 87 percent are ISDA agreements. About 88 percent of all collateral agreements are bilateral, an increase of 4 percentage points over last year.

3. 87.4 percent of all collateral agreements are with counterparties whose portfolios of collateralized transactions include less than 100 OTC derivatives. 0.4 percent of all collateral agreements are with counterparties whose portfolios of collateralized transactions include more than 5000 trades.

4. Among all firms responding to the survey, 73.7 percent of all OTC derivatives trades (cleared and non-cleared) are subject to collateral agreements. For large firms, the figure is 80.7 percent.

5. Responding firms also reported that 69.1 percent of all non-cleared trades are subject to collateral agreements. For large firms, the figure is 75.3 percent.

6. On an asset class basis, 83.0 percent of all CDS transactions (79.4 percent of non-cleared) and 79.2 percent of all fixed income transactions (72.5 percent of non-cleared) are subject to collateral agreements. For large firms, the figures are 96.3 and 89.4 percent, respectively (and are 94.5 percent and 74.9 percent, respectively, for non-cleared).

7. Portfolio reconciliation, which refers to the matching of the population, trade economics and mark-to-market of outstanding trades in a collateralized portfolio, is widely used and considered best market practice. For all firms in 2013, the survey evidences a clear effort to increase the frequency of portfolio reconciliation.

8. With respect to collateral types, cash used as collateral represents 79.5 percent of collateral received and 78.7 percent of collateral delivered, which is an increase from 78.8 and 75.6 percent respectively last year. Government securities constitute 11.6 percent of collateral received and 18.4 percent of collateral delivered this year, consistent with last year’s results.