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Collateral vs. settlement. What’s in a name?

SIFMA has published a letter to the Prudential Regulators confirming a market-wide move to explicitly classify variation margin (VM) as settlement rather than collateral. The exercise has substantial implications for the amount of regulatory capital that must be held against cleared OTC derivatives. The effect is to radically reduce the potential future exposure (PFE) element […]

US Prudential Regulators finalise non-cleared margin rules

Two of the US prudential regulators[1], the FDIC and the OCC, have voted to jointly adopt final rules regarding the exchange of initial and variation margin for uncleared swaps. The rules will apply to entities that are i) under the supervision of a prudential regulator ii) have registered with the CFTC or SEC as a […]

Collect-centric Singapore margin rules

On 1 October 2015, the Monetary Authority of Singapore (MAS) published its Policy Consultation on margin requirements for non-centrally cleared derivatives. In its broad outline, the Singapore regime would be similar to the internationally agreed BCBS-IOSCO Margin requirements for non-centrally cleared derivatives. That is not to say that entities in Singapore will avert all friction with […]

The ISDA 2014 Collateral Agreement Negative Interest Protocol is so 2015

The ISDA 2014 Collateral Agreement Negative Interest Protocol (the “Protocol”) has received renewed attention recently, with ISDA hosting a Market Education Webinar to discuss the structure and content of the Protocol on 11 March 2015, followed by the publication of a Statement on Negative Interest Rates on 12 March 2015 and a Market Guidance concerning Interest […]

Swap margin delay non-shock

The BCBS\IOSCO twins confirmed yesterday that the imposition of margin requirements for uncleared swaps will be delayed by nine months. The phase-in schedule for the mandatory posting of initial and variation margin will now begin in September 2016, while still adhering to its four-year schedule, beginning with “the largest, most active and most systemically important […]

Sharing the burden

OpenGamma, the open source trading and risk analytics platform, have announced a plan to create an industry-wide utility to facilitate compliance with the (eventually) forthcoming rules on the margining of non-cleared trades. Margin calculations will use the standard initial margin model (SIMM), as amended by each individual user, a reference copy of the open source […]

Seeing Double: ISDA Highlights Imminent WGMR Documentation Challenge

In a recent webcast, ISDA highlighted the impact on portfolios of derivative documentation which will result from its various workstreams designed to facilitate compliance with the Working Group on Margining Requirements’ (WGMR) forthcoming rules on margin for non-centrally cleared derivatives.  It is required listening for anyone with responsibility for derivative documentation, but a summary is […]

Update: Margin rules delay is in the air

The industry’s call for a delay in the margin rules, expected to apply from 1 December 2015, may finally receive a positive response from the regulators[1]. These rules on risk-management of uncleared derivatives will impose collection of Initial Margin (IM) and Variation Margin (VM). The global phase-in timeline was set by the Basel Committee on […]

Margin rules delay is in the air

The industry’s call for a delay in the margin rules, expected to apply from 1 December 2015, may finally receive a positive response from the regulators[1]. These rules on risk-management of uncleared derivatives will impose collection of Initial Margin (IM) and Variation Margin (VM). The global phase-in timeline was set by the Basel Committee on […]

ISDA Highlights Impact of Non-Cleared Margin Rules

On 7 November 2014, ISDA published version 1.0 of its “Minimum Standards for the Future State of Margin Workflow” (the “Standards”), a working document designed to support practical implementation of the BCBS-IOSCO margin requirements for Non-Centrally Cleared Derivatives and the draft EU Regulatory Technical Standard on Risk-Mitigation Techniques for OTC-Derivatives Contracts not Cleared by a […]

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