The transposition of the international BCBS/IOSCO Margin requirements for non-centrally cleared derivatives into national rules is well under way. A number of jurisdictions have already finalised their rules, as others are still wrapping up their consultation ahead of the September 2016 initial deadline.
Market participants with the largest exposure in uncleared derivatives will be required to comply with both Initial Margin (IM) and Variation Margin (VM) requirements first, followed by other in-scope entities over a phase-in period ending in September 2020.
All national implementations are broadly in line with the BCBS/IOSCO requirements, but inevitable differences have already emerged.
The high-level overview below positions the national rules against the BCBS/IOSCO requirements and against each other on selected issues:
- In-scope entities
- Exchange frequency of variation margin (VM)
- Exchange frequency of initial margin (IM)
- FX haircut on VM, cash collateral
- FX haircut on VM, non-cash collateral
- FX haircut on IM, both cash and non-cash collateral
- Margin requirements with non-netting/non-segregation counterparties
A full comparison of the rules is available on request
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