With many market participants wrestling with the final phase of margin requirements for non-centrally cleared derivatives for next year, the market has been thrown a lifeline through an additional phase in 2021.
The Basel Committee on Banking Supervision and International Organization of Securities Commissions (IOSCO) have today announced a new final phase in September 2021 resulting in the following:
- Phase 4: no change, firms with an aggregate average notional amount (AANA) threshold greater EUR750bn, date remains 1 September 2019;
- Phase 5: revised, firms with an AANA between EUR750bn and EUR50bn, date is 1 September 2020 (originally EUR750bn - EUR8bn)
- Phase 6: new final phase (do we call this phase 6?), firms with an AANA between EUR50bn and EUR8bn, date is 1 September 2021
Regardless of the regulatory AANA threshold, what really counts as we wrote earlier in the year is breaching the Initial Margin exchange threshold of EUR50m which IOSCO re-iterated today.
Either way, while many will be pleased for the extra year to prepare, this does pile up more work for end of 2021 noting the discontinuation of EONIA* and LIBOR** The London Inter-Bank Offered Rate submission.