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These requirements are phased in so that the systemic risk reductions and incentive benefits are appropriately balanced against the liquidity, operational and transition costs associated with implementing the requirements.
49.
These requirements are applicable in a phased manner from 1 September 2016 as described in Margin requirements for Non-centrally Cleared Derivatives paper issued by Basel Committee on Banking Supervision (BCBS) and Board of the International Organization of Securities Commissions (IOSCO)11.
50.
The remaining phases –at the time of issuance of this document- to apply the requirement to exchange two-way initial margin with a threshold of up to €50 million are staged as follows:
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From 1 September 2021 to 31 August 2022, any covered entity belonging to a group whose aggregate month-end average notional amount of non-centrally cleared derivatives for March, April, and May of 2021 exceeds €50 billion will be subject to the requirements when transacting with another covered entity (provided that it also meets that condition).
•
On a permanent basis (ie from 1 September 2022), any covered entity belonging to a group whose aggregate month-end average notional amount of non-centrally cleared derivatives for March, April, and May of the year exceeds €8 billion will be subject to the requirements described in this document during the one-year period from 1 September of that year to 31 August of the following year when transacting with another covered entity (provided that it also meets that condition). Any covered entity belonging to a group whose aggregate month-end average notional amount of non-centrally cleared derivatives for March, April, and May of the year is less than €8 billion will not be subject to the initial margin requirements described in this document.
51.
For the purposes of calculating the group aggregate month-end average notional amount for determining whether a covered entity will be subject to the initial margin requirements described in this document, all of the group’s non-centrally cleared derivatives, including physically settled FX forwards and swaps, should be included.
52.
Initial margin requirements should apply to all new contracts entered into during the periods described above. Applying the initial margin requirements to existing derivatives contracts is not required.12
11Margin Requirements for Non-centrally Cleared Derivatives. 12 Genuine amendments to existing derivatives contracts do not qualify as a new derivatives contract. Any amendment that is intended to extend an existing derivatives contract for the purpose of avoiding margin requirements will be considered a new derivatives contract.
