Estimating Initial Margins: The COVID-19 market stress as an application

In this Analysis we provide a description of the Dutch interest rate swap market. First, we provide insights in the activity and the interconnectedness across institutions in the swap market. Second, we show the evolution of collateral requirements that these swaps entail over time, with a specific focus on the COVID-19 market stress. Third, we show substantial increases in the level of collateral requirements for several institutions that are the result of lowered threshold on notional amounts at which collateral requirements become mandatory.