Delay? What delay? Margin final phase kicked out by a year

July 25 2019

Phil LloydHead of Market Structure & Regulatory Customer Engagement

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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.

Market infrastructure & regulation
Initial Margin and EMIR Clearing

*Eonia stands for the Euro Overnight Index Average and is a daily reference rate that expresses the weighted average of unsecured overnight interbank lending in the European Union and the European Free Trade Association (EFTA). It is calculated by the European Central Bank (ECB) based on the loans made by 28 panel banks. 

**LIBOR is the London Inter-Bank Offered Rate and is a benchmark interest rate at which major global banks lend to one another in the international interbank market for short-term loans.


This is Non-Independent Research, as defined by the Financial Conduct Authority. This material should be regarded as a marketing communication and may have been produced in conjunction with the NatWest Markets Plc trading desks that trade as principal in the instruments mentioned herein. All data is accurate as of the report date, unless otherwise specified.

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