Post the 2008 financial crisis, the Basel Committee of Banking Supervision (BCBS) and the International Organization of Securities Commissions (IOSCO) have jointly published a new margin framework for uncleared OTC swaps which has been adopted by several national regulators including USA, Europe, Japan and Asia, These regulations mandate the exchange of Initial Margin (IM) and Variation Margin (VM) on over-the-counter (OTC) bilateral derivatives. There is an established timeline through which industry participants will be onboarded into these new regulations. Currently, entities with an OTC notional of 750B or greater are required to exchange IM and entities with an $8BN or greater of notional are required to exchange IM by 9/1/2020. Entities that fall into the 8B or greater category have to comply by next year. There are several derivative instrument exclusions under the regulations such as OTC Equity options entities that have substantial exposure to OTC swaps will need to comply.
A book of derivatives with the following data:
- Standard trade descriptors such as Instrument ID, Instrument Type, Portfolio, Ref. Obligation, Maturity, OTC counterparty information
- Standard trade position values such as Notional, Currency, Market Value.