Summary
1. Collateral in circulation in the non-cleared OTC derivatives market rose 1 percent during 2012, from US$ 3.65 trillion at end-2011 to US $ 3.70 trillion as at December 31, 2012.
2. The number of active collateral agreements (those with exposure and / or collateral balances) supporting non-cleared OTC derivatives transactions was 118,853 at end-2012, of which 87 percent are ISDA agreements. About 88 percent of all collateral agreements are bilateral, an increase of 4 percentage points over last year.
3. 87.4 percent of all collateral agreements are with counterparties whose portfolios of collateralized transactions include less than 100 OTC derivatives. 0.4 percent of all collateral agreements are with counterparties whose portfolios of collateralized transactions include more than 5000 trades.
4. Among all firms responding to the survey, 73.7 percent of all OTC derivatives trades (cleared and non-cleared) are subject to collateral agreements. For large firms, the figure is 80.7 percent.
5. Responding firms also reported that 69.1 percent of all non-cleared trades are subject to collateral agreements. For large firms, the figure is 75.3 percent.
6. On an asset class basis, 83.0 percent of all CDS transactions (79.4 percent of non-cleared) and 79.2 percent of all fixed income transactions (72.5 percent of non-cleared) are subject to collateral agreements. For large firms, the figures are 96.3 and 89.4 percent, respectively (and are 94.5 percent and 74.9 percent, respectively, for non-cleared).
7. Portfolio reconciliation, which refers to the matching of the population, trade economics and mark-to-market of outstanding trades in a collateralized portfolio, is widely used and considered best market practice. For all firms in 2013, the survey evidences a clear effort to increase the frequency of portfolio reconciliation.
8. With respect to collateral types, cash used as collateral represents 79.5 percent of collateral received and 78.7 percent of collateral delivered, which is an increase from 78.8 and 75.6 percent respectively last year. Government securities constitute 11.6 percent of collateral received and 18.4 percent of collateral delivered this year, consistent with last year’s results.
Documents (1) for ISDA Margin Survey 2013
Latest
From Milestone to Modernization
We’re coming to the end of an exceptionally busy year at ISDA, in which we celebrated our 40th anniversary and doubled down on our enduring commitment to safe and efficient derivatives markets. Reflecting on ISDA’s achievements since 1985, it’s clear...
Response on ASIC Derivative Transaction Rules
On December 3, ISDA submitted a response to the Australian Securities and Investments Commission (ASIC) consultation on the remake of the ASIC Derivative Transaction Rules (Clearing) 2015, which are due to sunset on April 1, 2026. ASIC proposed to remake...
IRD Trading Activity Q3 2025
This report analyzes interest rate derivatives (IRD) trading activity reported in Europe. The analysis is based on transactions publicly reported by 30 European approved publication arrangements (APAs) and trading venues (TVs). Key highlights for the third quarter of 2025 include:...
Ardagh Credit Event Processing and Trading
The Credit Derivatives Determinations Committee announced on December 15 that a restructuring credit event has occurred with respect to Ardagh. An ISDA Credit Market Infrastructure Group call was held on December 15 to discuss the processing of this event. The...
