Initial margin – Special report 2022

Six years after the first batch of dealers was forced to post initial margin (IM) on bilateral swaps, the final cohort will be swept into the global uncleared margin rules regime on September 1 this year.

The compliance process has been improved over the years, but this final hurdle represents new challenges. The estimated 775 firms set to breach the threshold – €8 billion average aggregate notional amount (AANA) of bilateral swaps – is more than the previous five phases combined. The cohort breaks down to a whopping 5,400 counterparty relationships according to the International Swaps and Derivatives Association, which estimates at least 1,000 of these require renewing and custody accounts set up. Some fear a repeat of the bottlenecks that plagued phases one and five.

While the buy side dominated the 300 or so firms caught in phase five, a drop in the AANA threshold from €50 billion to just €8 billion spreads the requirements across a broader assemblage of derivatives users.

This Risk.net special report comprises a series of articles that explore the latest developments and key issues emerging in phases five and six, and charts the changing strategies for firms in meeting their IM responsibilities.

Download the 2022 Initial margin special report in PDF format