The CFTC’s DSIO has issued clarification as to notification and reporting requirements with respect to margin in uncleared swaps. Regulation 23.701 imposes an annual obligation to notify counterparties of their right to elect segregation of initial margin. Regulation 23.704 stipulates quarterly reports of any compliance breaches with respect to omnibus (non-segregated) accounts. The guidance in […]

On 12 May 2014, ISDA published the “ISDA 2014 Collateral Agreement Negative Interest Protocol” (the Protocol).  The Protocol pretty much does what it says on the tin – creating a mechanism to allow adhering parties to amend collateral agreements such that, if the Interest Amount for an Interest Period is negative, the Pledgor/Transferor of cash […]

On 27 March 2014, ISDA published its CFTC IM Segregation Right Notice, designed to assist compliance with CFTC rule 23.701 which requires swap dealers and major swap counterparties to notify their counterparties of their right to require the segregation of initial margin posted as collateral in relation to uncleared swap transactions

In light of the difficulties which have plagued ISDA’s Standard Credit Support Annex (SCSA) (see this blog post for background), a successor, the SCSA2, is being drafted.  As before, the purpose of the SCSA2

ISDA is in the final stages of preparing its ISDA 2014 Collateral Agreement Negative Interest Protocol (the “Protocol”) for publication.  ISDA currently expects the Protocol to be open for adherence sometime during the week commencing 17 February 2014. The Protocol allows adhering parties to amend credit support documentation to account for negative interest amounts on […]

Risk Magazine is reporting that ISDA is to embark on a re-write of the Standard Credit Support Annex (SCSA), dubbed “SCSA II”. The triple-whammy delivered by the Basel Leverage Ratio (see this blog post for more detail), the BCBS/IOSCO rules on margin requirements for non-centrally cleared derivatives (see this blog post for more detail) and […]

Risk Magazine is reporting that the Basel Committee on Banking Supervision’s (BCBS) final “Basel III leverage ratio framework and disclosure requirements”, published on 12 January 2014 may force the restructuring of existing portfolios of credit support annexes (CSA) and looks set to deal a serious blow to the viability of ISDA’s standard credit support annex […]

On 2 September 2013, the Basel Committee on Banking Supervision (“BCBS”) and the International Organization of Securities Commissions (“IOSCO”) published their final policy document regarding “Margin requirements for non-centrally cleared derivatives” (see this blog post for more detail). Under the guidance, firms will be required to exchange initial margin (IM) on a gross basis.  In […]

Risk Magazine is reporting that certain unnamed US and European regulators are hinting that the additional 8% haircut levied on collateral denominated in a different currency to that of the underlying, to be introduced pursuant to the Working Group on Margining Requirement’s (WGMR) “Margin requirements for non-centrally cleared derivatives”, may be applied only to initial […]