Commercial bank cash grows more popular for initial margin
Shift driven by Ice Europe as CCPs diverge on preferred type of collateral
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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