The 20 largest global dealer firms collected US$286.0 billion of initial margin (IM) on their non-cleared derivatives transactions at the end of 2021, a 38 per cent rise YoY as more firms fell under the scope of the margin rules, according to the latest International Swaps and Derivatives Association (ISDA) Margin Survey.
For the total IM received by these 20 firms — those dealers that were required to comply with Phase 1 of the Uncleared Margin Requirements from September 2016 — US$203.5 billion was required under global margin regulations, a 57.5 per cent YoY rise relative to year-end 2020.
The balance, US$82.5 billion, was collected from counterparties or against trades that do not fall under the scope of the margin rules, including legacy transactions.
The ISDA Margin Survey finds that Phase-One firms collected US$936.5 billion in variation margin (VM) at the end of 2021, a 19.6 per cent YoY decline relative to the end of 2020. This drop was explained primarily by lower market volatility in 2021 relative to 2020, as the impact of COVID-19 gradually lessened on asset price volatility.
US$527.9 billion of VM collected by Phase-One firms at year-end 2021 was linked to regulatory margin requirements, a 17.3 per cent drop relative to year-end 2020. A further US$408.7 billion was collected by these firms as discretionary margin.
ISDA reports that 32 financial institutions contributed to the most recent margin survey, including all 20 Phase-One firms, five of the six Phase-Two firms and seven of the eight Phase-Three entities.
Aggregating across all of these reporting institutions, the 32 firms collected US$304.1 billion in IM and US$1.0 trillion of VM at the year-end 2021.
Total IM posted by all market participants to central counterparties (CCPs) for cleared interest rate derivatives and credit default swap (CDS) transactions was slightly down YoY, contracting 2.2 per cent to US$323.4 billion at the end of 2021 relative to the end of 2020.
From that figure, US$262.4 billion in IM was posted to CCPs against cleared interest rate derivatives transactions and US$61.1 billion was delivered against cleared CDS.
ISDA indicates that its margin report drew on publicly available margin data for cleared derivatives contracts from two US-based CCPs, four European CCPs and two Asian CCPs.
