The ESAs have published the final draft RTS under the European Market Infrastructure Regulation (EMIR), addressing:

  • risk mitigation techniques related to exchange of collateral to cover exposures arising from non-centrally cleared OTC derivatives. The RTS state that counterparties to these contracts will have to exchange both initial and variation margins. It lists what is eligible collateral, how to ensure sufficient diversification of collateral and methods to determine the appropriate collateral haircuts;
  • criteria for counterparties and regulators on intragroup exemptions; and
  • definitions of practical and legal impediments to prompt transfer of funds between counterparties.

The ESAs propose the requirements be phased in proportionately. They suggest the requirements for the initial margin will, at the outset, apply only to the largest counterparties until all counterparties with notional amounts of non-centrally cleared derivatives in excess of EUR 8 billion are subject to the rules, as from 2020. (Source: ESAs publish margin for non-cleared contracts RTS)