Initial Margin changes: I'm marginally happy for the extra year. Are you?

07 April 2020

Phil LloydHead of Market Structure & Regulatory Customer Engagement

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The industry asks and the industry gets. A very welcome message from the BCBS IOSCO1  that the final 2 phases of Initial Margin have been delayed by a year each. 

As we referenced recently in our note, the industry is trying to delay as many 'set in stone' milestones as possible (Not LIBOR...)

Phase 5 go-live (50bn AANA2) is now 1st Sept 2021 and Phase 6 (8bn AANA) now 1st Sept 2022.

Naturally this delay needs to be applied by local jurisdictions in their own rules but we would expect that to be more of a formality. There of course will be other impacts off the back of this, maybe clearing?

Does no Phase 5 this year make room at the start of September for the EONIA3 to €STR4 flat CCP5 discounting switch currently scheduled for June perhaps?  We’ll see.

Footnote

  1. BCBS IOSCO - The Basel Committee on Banking Supervision (BCBS) and the International Organization of Securities Commissions (IOSCO)
  2. AANA - Average Aggregate Notional Amount
  3. EONIA - Euro Overnight Index Average
  4. €STR - Euro short-term rate
  5. CCP - Central clearing counterparty
> Regulation
> Initial Margin
> Margin
> Markets
> Clearing


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