Transcription of Initial Margin for Non-Centrally Cleared Derivatives ...
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Initial Margin for Non-Centrally Cleared Derivatives ...
Initial Margin for Non-Centrally Cleared Derivatives : Issues for 2019 and 2020. July 2018. This paper is intended for discussion purposes only. Drafts of this document are subject to change as views and issues develop further. Contents I. Introduction ..3. II. Executive Summary ..4. III. Background ..7. IV. Challenges for Newly In-Scope Counterparties ..9. A. Entity Assessment and Disclosure .. 10. B. Credit Support 11. C. Custodial Arrangements .. 13. 1. Account Control Agreements .. 13. 2. Eligible Collateral Schedules .. 15. 3. Connectivity .. 15. D. Determination of In-Scope Trades, Netting Sets .. 17. 1. Lack of Global Harmonization and Higher of IM .. 18. 2. Legacy and In-Scope Portfolio Management .. 18. 3. Regulatory vs. Non-Regulatory Initial Margin .. 19. E. Initial Margin Model Implementation .. 19. 1. Calculation 19. 2. Evidence of Proper Implementation .. 22. 3. Margin Monitoring .. 23. 4. Model Approval .. 24. F. Margin Reconciliation .. 25. G. Liquidity and Funding.
3 I. Introduction In response to the global financial crisis of 2008-2009, the G20 agreed to a financial regulatory reform agenda covering the over-the-counter derivatives markets and market participants.1 Among these agreed reforms were recommendations for the implementation of margin requirements for non-centrally cleared
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