EXTENSION OF TIME PERIODS CONTAINED IN JOINT STANDARD 2 OF 2020 (MARGIN REQUIREMENTS FOR NON-CENTRALLY CLEARED OTC DERIVATIVE TRANSACTIONS)
Joint Standard 2 of 2020 – Margin Requirements for Non-Centrally Cleared Over the Counter (OTC) Derivative Transactions (the Joint Standard), was published by the Financial Sector Conduct Authority and the Prudential Authority (together ‘the Authorities’) and came into effect on 16 August 2021.
Following interaction with providers and other market participants, the Authorities have extended certain time periods contained in the Joint Standard.
First, the period from 1 September 2022 to 31 August 2023, during which a provider and counterparty would be required to exchange bilateral initial margin if their respective aggregate month-end average gross notional amount of OTC derivatives for March, April and May of 2022 exceeded R15 trillion, as per paragraph 4.2(3) of the Joint Standard, has been extended to 1 September 2023 to 31 August 2024, with the periods of March, April and May 2022 being extended to March, April, and May of 2023.
Second, the period from which a provider and a counterparty would be required to exchange bilateral variation margin, in the case of new OTC derivative transactions where their respective aggregate month-end average gross notional amount of OTC derivative instruments for March, April and May of 2020, as per paragraph 5(3)b of the Joint Standard, has been extended to 16 February 2023.
To read the Joint Standard, click here. To read the Authorities’ Notice of Extension (Joint Notice 1 of 2022), click here.
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