Initial margin composition shifted towards secured cash at commercial banks over the first three-quarters of 2022, driven largely by a near-tripling of Ice Clear Europe’s holdings.
Across seven CCPs analysed, the share of initial margin in the form of secured cash at commercial banks – which is mostly reverse repo agreements – rose from 10.5% in Q4 2021 to 17.8% in Q3 2022. In absolute terms, this translates to $179 billion in cash at commercial banks in Q3 last year, from $95 billion at the end
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