ISDA Margin Survey 2014

Executive Summary

1. Estimated total collateral in circulation related to non-cleared OTC derivatives has decreased 14%, from $3.7 trillion at the end of 2012 to $3.2 trillion at the end of 2013 as a consequence of mandatory clearing.

2. The use of cash and government securities continues to account for roughly 90% of non-cleared OTC derivatives collateral, as has been the case in prior years. Cash received as a percentage of total collateral has decreased versus 2013, while cash delivered has remained relatively stable.

3. The number of collateral agreements (those with exposure and/or collateral balances) supporting non-cleared OTC derivatives transactions totalled 133,155 agreements at the end of 2013. Roughly 87% are ISDA agreements.

4. Eighty-seven percent of non-cleared OTC derivatives collateral agreements relate to portfolios of less than 100 trades. Only 0.3% involve portfolios of more than 5,000 trades as of December 31, 2013.

5. The use of collateral agreements is substantial. Among all firms responding to the survey, 91% of all OTC derivatives trades (cleared and non-cleared) were subject to a collateral agreements at the end of 2013.

6. Responding firms also indicated that 90% of non-cleared OTC derivatives trades were subject to collateral agreements at the end of 2013, marking a 20% increase versus the previous year.

7. On an asset class basis, 97% and 86% of bilateral transactions involving credit and fixed income derivatives respectively are performed under a credit support annex (CSA) or collateral agreement.

8. Portfolio reconciliation frequency has increased for larger-sized portfolios, with daily reconciliation increasing 5% for portfolios consisting of 100 to 499 trades at the end of 2013 compared to the end of 2012. Eighty-four percent of large firms surveyed indicated they reconcile their portfolio mix on a daily basis.

 

Documents (1) for ISDA Margin Survey 2014

Joint Paper on UK EMIR Reform

On July 1, ISDA and UK Finance published a paper, which recommended a set of reforms for the UK European Market Infrastructure Regulation (UK EMIR), carefully considering each EU EMIR 3.0 reform and asking whether we would wish to adopt...

Response to FCA on UK EMIR Reporting

On June 30, ISDA submitted a response to chapter 5 of the UK Financial Conduct Authority’s (FCA) quarterly consultation CP25/16 on trade repository reporting requirements under the UK European Market Infrastructure Regulation (UK EMIR). Chapter 5 proposes ‘Amendments to the...

CDS Trading Activity in EU, UK and US Markets

This report analyzes credit derivatives trading activity reported in Europe. The analysis shows European credit derivatives transactions based on the location of reporting venues (EU versus UK) and product type. The report also compares European-reported credit derivatives trading activity to...