Progress and Initiatives in OTC Derivatives
This report builds on top the 2019 report ‘Incentives for Central Clearing and the Evolution of OTC Derivatives’ in order to further investigate in-depth the progress and initiatives observed across OTC markets. This work would not be possible without the important resources provided by both post-trade transaction reporting and the work performed by the Bank for International Settlements (“BIS”) to create the latest ‘Triennial Central Bank Survey of Foreign Exchange and Over-The-Counter (OTC) Derivatives Markets in 2019’.
A review of collateral management across cleared and uncleared markets has revealed that the industry would benefit from Public Quantitative Disclosures (“PQD”) regarding collateralisation and the precise amount of margin being exchanged in bilateral markets. The Committee on Payments and Market Infrastructures and International Organization of Securities Commissions (“CPMI-IOSCO”) PQDs provide a useful source of data on the amount and type of collateral held by Central Counterparties (“CCPs”) for both margin requirements and default resources. The industry requires a similar resource for uncleared markets, including the proportion of trades subject to the Uncleared Margin Rules (“UMR”), to accurately assess liquidity requirements and latent risks in the bilateral market.
The full report is available at https://ccp12.org/wp-content/uploads/2020/02/Progress_and_Initiatives_in_OTC_Derivatives-A_CCP12_Report.pdf