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 (OTC) derivatives and exchange-traded derivatives (ETD).
The increase in margin was the result of sizeable asset price movements that caused large variation margin (VM) 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 (CPMI) and the International Organization of Securities Commissions (IOSCO), total IM for interest rate derivatives (IRD) and credit default swaps (CDS) 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.
The report, “Global IM Collected for Derivatives in the First Quarter of 2020,” is available at https://www.isda.org/a/KQmTE/Global-IM-Collected-for-Derivatives-in-Q1-2020.pdf