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
Expanding Legal Agreement Coverage in the CDM
This paper examines the recent extension of the Common Domain Model (CDM)1 to represent two of the most significant, and previously undeveloped, areas of its legal agreement model: umbrella agreements and contract amendments. Umbrella agreements are widely used to document...
ISDA Omnibus Canadian Representation Letter
On September 2, ISDA published the Omnibus Canadian Representation Letter, which combines previously published representation letters drafted to assist firms in compliance with Canadian trade reporting, business conduct, regulatory margin and clearing classification rules. The Omnibus Canadian Letter is designed...
Joint Response on Cross-margining
On August 31, ISDA and FIA submitted a letter to the US Commodity Futures and Trading Commission (CFTC) and the Securities and Exchange Commission (SEC) on the agencies’ joint request for comment on the implementation of portfolio margining and cross-margining...
Accounting for Carbon Credits: Latest Developments
This paper updates and extends the analysis set out in ISDA’s October 2023 paper on accounting for carbon credits. While preserving the original focus on the accounting treatment of voluntary carbon credits (VCCs) and compliance carbon credits (CCCs), it expands...