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Stats › Intraday and market microstructure › Margin in stress

Clearing house margin rose 62% in March 2020 and variation margin rose 460%

Cash equities clearing houses
300%
Exchange traded derivatives
62%
All asset classes
40%
Interest rate and FX swaps
20%

Increase in required initial margin by asset class, end February to mid March 2020, from a survey of clearing houses. The cash equities figure is reported as more than 300% and the swaps figure as about 20%. Exchange traded derivatives were 46% of total required initial margin and roughly two thirds of the total increase.

Required initial margin at clearing houses rose 62% for exchange traded derivatives in March 2020 and about $300bn, or 40%, across all asset classes. Daily variation margin went from about $25bn in February to $140bn on 9 March.

62%Increase in required initial margin on exchange traded derivatives
About $300bn, or 40%Increase across all asset classes, end February to mid March
$140bnPeak daily variation margin against a February average of about $25bn
More than 20 timesPeak centrally cleared initial margin calls against the pre-stress average

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