Swaps Data: Initial Margin Soars in Q1 2020

My monthly Swaps Review looks at Initial Margin requirements as disclosed in the recently published 1Q 2020 CPMI-IOSCO Quantitative Disclosures for CCPs, showing:

  • The extent of the IM increases in Q1 2020
  • The wide variance by product class
  • 23%, 46%, 66% for IRS, CDS, F&O respectively
  • The wide variance between CCPs in the same product class
  • 20% to 100% increases for F&O CCPs

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2 thoughts on “Swaps Data: Initial Margin Soars in Q1 2020

  1. Dear Amir-san,
    Hope everything is fine with you. Thanks for picking up JSCC IM on IRS. Unfortunately I found the following wrong statement in your article.

    “However, both CME and Eurex IM Model disclosures also state the use of additional stress periods, while JSCC does not. With this in mind, it is understandable that JSCC’s margin increase would be much larger than LCH’s, which it is.”

    To calculate required IM, JSCC is blending the historical scenario with the stress scenario, which is publicly available in the following link.

    https://www.jpx.co.jp/jscc/en/rule/cimhll00000001ow-att/16_en_Stress_clean.pdf

    We would be happy to help you if necessary.

    Best regards,
    Tetsuo Otashiro

    1. Tetsuo-san

      Thank you for your comment, I did not know that.
      The link you sent is very useful as shows the exact stress periods used in your model.
      Could I also suggest that when JSCC IRS publishes disclosure 6.4.7 again, instead of just 1250 business days that you have know, you also add the text – plus Stress Period, which is what CME IRS and Eurex OTC IRS do. This will then make it easier for everyone using the CPMI-IOSCO QD to look at 6.4 IM Model disclosures and know this.
      Kind regards
      Amir

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