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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