At CCPs, sovereign bonds are top IM collateral

Government debt makes up the largest chunk of initial margin (IM) held by most top clearing houses, Risk Quantum analysis shows.

Across 10 top clearing houses, sovereign bonds made up 48% of total held IM on average at end-September 2019. Domestic government debt made up 26% on average, and foreign 22%.

LCH Ltd had 71% of IM in sovereign bonds, the most of the set, followed by CME, with 66%.


Cash made up the bulk of remaining IM at most of the central counterparties surveyed. IM held as

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