01 Sep 2021

Eurex, Eurex Clearing

Uncleared Margin Rules, Phase 5: the challenges and how to face them



As one of the responses to the financial crisis of 2008–2009, a reform to implement margin requirements for non-centrally cleared derivatives was recommended. 

In September 2013, the Basel Committee on Banking Supervision (BCBS) and the International Organisation of Securities Commissions (IOSCO) published the global framework for margin requirements for “non-centrally cleared derivatives”. The requirements for the Uncleared Margin Rules (UMR) apply to OTC derivatives that are not cleared through a central counterparty.

Since their introduction in 2016, the UMR had so far only impacted a limited number of large firms. But, as of September 2021 and September 2022 respectively, new phases will be introduced which require firms with an Average Aggregate Notional Amount (AANA) greater than EUR 50 billion (September 2021) and later EUR 8 billion (September 2022) to post initial margins bilaterally with each of their counterparts. It is estimated that more than 1,000 firms will be affected, including asset managers, insurance companies, pension funds, and alternative investment funds (e.g. hedge funds).

The instruments impacted include foreign exchange non-deliverable forwards, equity index and fixed income derivatives.

In a series of articles and papers we will address the upcoming challenges and provide possible solutions. We invite you to visit this page regularly for updates in the upcoming weeks.