24. February 2017

Statement of the ESA concerning variation margin requirements

The European Supervisory Authorities (ESAs) react to difficulties regarding the implementation of variation margin requirements starting the 1st of March. The ESAs point out that a shift of the deadline is only possible through a formal EU legislative process, which would be too late at the present time. Instead, the ESAs encourage the national supervisory authorities to account for the following aspects in their supervisory activities on a case-by-case basis:

  • The amount of the exposure and the default risk
  • Documentation of the respective institute that steps towards compliance with the new rules have been taken
  • Existing collateral agreements

The statement of the ESAs can be found following this link:

In January, we already pointed out the changes in the value of derivatives portfolios resulting from the adjustment of existing CSA contracts. The relevant article can be found here:

Please do not hesitate to contact us for further information.

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