Wednesday 07 August 2019

Regulatory Initial Margin - proposed updates to implementation dates

On 23rd July 2019, BCBS/IOSCO published a revised framework for margin requirements for non-centrally cleared derivatives.

The proposed changes in this revised framework relate to the implementation dates for regulatory initial margin.  It effectively creates a new “Phase 6”. 

The aggregate average notional amount (“AANA”) used to determine if entities will be in scope for 1 September 2020 has been increased from EUR 8 billion to EUR 50 billion.  Entities belonging to a group whose AANA is between EUR 8 billion and EUR 50 billion now have an additional 12 months before they are in scope.

The important point to note is that the relevant regulatory authorities/supervisors will need to make changes to their uncleared margin rules before the new implementation dates become effective. So far only the Monetary Authority of Singapore has published updated rules.

Updated BCBS/IOSCO compliance schedule:

Covered entities belonging to a group whose aggregate month-end average notional amount (AANA) of uncleared derivatives exceeds:

Initial margin implementation:

Phase 1

EUR 3 trillion

1 September 2016 (*implemented under EMIR on 4 February 2017)

Phase 2

EUR 2.25 trillion

1 September 2017

Phase 3

EUR 1.5 trillion

1 September 2018

Phase 4

EUR 0.75 trillion

1 September 2019

Phase 5

EUR 50 billion

1 September 2020

Phase 6

EUR 8 billion

1 September 2021


Below EUR 8 billion

Not applicable

Posted by Abigail Harding

Category: ISDA negotiation

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