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
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