EMIR: Impact of CSA modifications on the value of Derivative Portfolios
On 4th of January 2017 the Delegated Regulation (EU) 2016/2251 on risk-mitigation techniques for OTC derivative contracts not cleared by a central counterparty entered into force. Additionally to the introduction of an initial margin, the regulation affects the variation margin as well. Until 1st of March 2017, new variation margin requirements are applicable to all financial counterparties and non-financial counterparties above the clearing threshold. To be compliant after this deadline, existing CSA contracts are to be amended or new contracts to be closed. The attached document highlights the impact of CSA modifications on the value of derivative portfolios.
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