Confirming recent market rumours, BCBS\IOSCO have today announced their recommendation to stagger IM Phase 5 implementation over a two year period. An adjusted Phase 5 will apply to firms with an AANA equal to or greater than USD\EUR 50bn and less than 750bn. A new Phase 6, from 1 September 2020 to 1 September 2021, […]

Canada’s Office of the Superintendent of Financial Institutions (OSFI) is the first Regulator to break cover following BCBS\IOSCO’s 5 March statement. On 28 June the OSFI published a letter on its website, purporting to give guidance on the statement. For the convenience of its readers, the letter restates the BCBS\IOSCO statement, then goes on to […]

Published in the OJ on 28 May, EMIR Refit entered into force on 17 June. Aimed at simplifying requirements and making obligations on smaller counterparties more proportionate, the Regulation is comprehensively summarised here. This short note focusses on one aspect of EMIR Refit’s key changes- its expansion of the scope comprised by “financial counterparty”. “Financial […]

Banks have spent the last four years gamely preparing for and complying with IM regulations. Phases 1-3 have been challenging, the current phase 4 promises more of the same. The market has long been aware that phases 1-4 are mere kittens to the phase 5 (probably angry) tiger. Useful initiatives- negotiation platforms, custodian portals, standardised […]

Hot on the heels of ESMA’s 31 January 2019 ‘blind eye’ statement, on 5 February 2019, the EU Council issued a press release confirming it had reached agreement with the EU Parliament on certain aspects of the EMIR REFIT programme. Broadly, the changes are that: A new category of “small financial counterparty” will be created. […]

The deadline for compliance with Phase 4 and Phase 5 of the IM requirements is miles away, isn’t it?  Isn’t it…? The truth is that, whether you like it or not, the clock is already ticking.  Whether anyone has told you or not, the countdown has already begun. Why worry about it now? The classic […]

The CFTC’s Office of the Chief Economist (OCE) has responded to industry petitions to mitigate the widely-forecasted IM Phase 5 oncoming storm. Readers will recall the July 2018 ISDA/SIFMA white paper previewing the phase 5 population explosion and recommending various reduction strategies: Raising the in-scope AANA threshold from $8bn. to $100bn. Postponing mandatory compliance until […]

A question that has been ignored, until very recently, is how firms will deal with cross-border derivative contracts when the UK leaves the EU in March 2019. Leaving the single market without either EEA membership or a trade agreement covering financial services will result in complications for existing derivative contracts. With approximately £26 trillion of […]

There is mounting pressure to revisit a fundamental aspect of the IM calculation methodology. The BCBS-IOSCO 2015 framework mandates an IM determination based on a 99% VAR over a fixed 10 day liquidation horizon[1]. ISDA have published a paper by Professor Rama Cont, Chair of Mathematical Finance at Imperial College London, which advocates for a […]