The US proposal on IM for uncleared OTC business jumps from billions to trillions, in defining who is affected

Update Sep 25th.

• The measurement of "material swaps exposure" of $3bn applies to financial end users
• The measurement of $4trn applies to Covered Swap Entities, mainly dealers.

The comparison below is therefore misleading, the US proposal is still as it was, and largely in line with the EU. Sorry, Bill.

Unless there is some misunderstanding, [Yes there is] the previous draft of the rules for IM on uncleared trades said:

• Initial margin where both the covered swap entity combined with its with its affiliates have an average daily aggregate notional amount affiliates and the counterparty combined of covered swaps for June, July and August of 2015 that exceeds $3 billion.

But in the FDIC PDF published today (see page 12) https://www.fdic.gov/news/board/2014/2014-09-03_notice_dis_a_fr.pdf (also attached below) now says:

• Initial margin where both the covered swap entity combined with its with its affiliates have an average daily aggregate notional amount affiliates and the counterparty combined of covered swaps for June, July and August of 2015 that exceeds $4 trillion

This raises some questions:

• Does this mean the average outstanding notional over the 3 month period, or
• Does this mean daily turnover (new trades) over the period?

And also indicates a sudden redefinition of which firms might be affected. If anyone else is researching this please post your analysis in the comments, it would be good to confirm the interpretation.

Another source of the rules is the OCC here: http://www.occ.gov/news-issuances/news-releases/2014/nr-ia-2014-119a.pdf and http://www.occ.gov/news-issuances/news-releases/2014/nr-ia-2014-119.html and https://www.fdic.gov/news/news/press/2014/pr14075.html