Marginally Clearer With The Final Draft EU Rules

The final draft regulatory technical standards (RTS) for margining uncleared OTC derivatives under EMIR have now been published.  Those of you who came to our recent seminar on this subject will know that the derivatives industry has been hoping that this final draft would resolve many areas of uncertainty arising from previous drafts of the RTS.  There has been some welcome clarification but there are perhaps as many new questions raised by the new text.  

A comparison of the final draft RTS and the previous draft can be viewed on this version.
 
In this alerter, we highlight key changes and clarifications made in the final draft RTS.

• Collateral haircuts for currency mismatch. It is now clear that in valuing any cash variation margin, an FX haircut need not be applied when it is collected in a currency other than the currency agreed in the relevant master agreement or CSA. The final draft RTS are, unfortunately, not totally clear where such a currency