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Stats › Intraday and market microstructure › The margin spike

Initial margin at clearing houses rose 40% in three weeks and the biggest daily call was 140 billion dollars

Cash equities
300%
Exchange traded derivatives
62%
All initial margin
40%
Interest rate and currency swaps
20%

Increase in required initial margin by product type from late February to mid March 2020, across central counterparties. The cash equities figure is reported as over 300 per cent and is plotted at the stated floor. Peak five day increases reached about one third across the system and over 150 per cent at some smaller clearing houses.

Between late February and mid March 2020, required initial margin across central counterparties rose about 300 billion dollars, or 40 per cent. Variation margin calls exceeded 100 billion dollars on six separate days against a February baseline of 25 billion.

About USD 300bn, or 40%Increase in required initial margin, late February to mid March 2020
+62%Increase on exchange traded derivatives
Over 300%Increase on cash equities
USD 140bn on 9 MarchLargest single day variation margin call

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