During the first quarter of 2020, there was a significant increase in initial margin (IM) collected by global central counterparties (CCPs) for over-the-counter derivatives and exchange-traded derivatives (ETD).
The increase in margin was the result of sizeable asset price movements that caused large variation margin and IM calls from CCPs. At the same time, traded and cleared derivatives volumes increased in the first quarter of 2020, driven by coronavirus-related market volatility.
Based on public quantitative disclosures for CCPs set out by the Committee on Payments and Market Infrastructures and the International Organization of Securities Commissions, total IM for interest rate derivatives and credit default swaps reached $342.8 billion at the end of the first quarter of 2020, up by 51.9% compared with the end of the first quarter of 2019 and 27.4% versus the end of the fourth quarter of 2019.
Total IM collected by CCPs for ETD jumped by 81.7% to $488.6 billion at the end of the first quarter of 2020 from $268.8 billion at the end of the first quarter of 2019. It increased by 66.9% compared with $292.7 billion at the end of the fourth quarter of 2019.
Documents (1) for Global IM Collected for Derivatives in the First Quarter of 2020
Latest
Climate Risk Scenario Analysis Phase 4
Climate scenario analysis has become a useful tool for banks and financial institutions to understand the short- and long-term financial risks associated with climate change, particularly in light of evolving regulations and an increased emphasis on reducing the impact of...
ISDA & EMTA Market Practice 45
ISDA & EMTA jointly published the attached updated market practice regarding the determination of barrier events for Brazilian Real non-deliverable continuously monitored barrier option transactions.
Episode 54: A Modernization Agenda
ISDA’s chair Amy Hong sets out priorities for the association in 2026 and the important role that technologies like tokenization and artificial intelligence will play in modernizing derivatives markets. Please view this page via Chrome to access the recording.
Developing OTC Commodity Derivatives in India
The development of a robust and liquid over-the-counter (OTC) commodity derivatives market in India could support the continued growth of India’s economy given its significant reliance on commodities. A well-functioning OTC market in India would offer several advantages. First, it...