®ISDA is a registered trademark of the International Swaps and Derivatives Association, Inc.

Copyright © 2019 International Swaps and Derivatives Association, Inc.

Cross-Jurisdictional Issues in Implementation of 

Uncleared Margin Rules

Commodity Futures Trading Commission

Global Markets Advisory Committee

September 24, 2019

New York

Tara Kruse, Global Head of Infrastructure, Data and Non-Cleared Margin, ISDA
®ISDA is a registered trademark of the International Swaps and Derivatives Association, Inc.

Copyright © 2019 International Swaps and Derivatives Association, Inc.

Jurisdictional Differences

• AANA Calculation and Compliance Dates

• Product Scope

• Settlement Timing

• Eligible Collateral

• Inter-affiliate Initial Margin

• IM Model Governance

• SEC vs. CFTC/USPR

• Substituted Compliance

2
®ISDA is a registered trademark of the International Swaps and Derivatives Association, Inc.

Copyright © 2019 International Swaps and Derivatives Association, Inc.

AANA Calculation and Compliance Dates

• Average Aggregate Notional Amount (AANA) Calculation Method

• AANA/MSE Calculation Period following phase-in period

• Compliance Dates following phase-in period

3

March, April, May June, July, August

BCBS-IOSCO, EU, Japan, Canada, Switzerland, Australia, 

Hong Kong, Singapore, Korea, Brazil, South Africa

CFTC, USPRs

Month-end averaging Daily averaging

BCBS-IOSCO, EU, Japan, Canada, Switzerland, Australia, 

Hong Kong, Singapore, Korea, South Africa

CFTC, USPRs, Brazil

Each September 1 Each January 1st

BCBS-IOSCO, Japan, Canada, Switzerland, Australia, Hong 

Kong, Singapore, Korea, South Africa

US, EU
®ISDA is a registered trademark of the International Swaps and Derivatives Association, Inc.

Copyright © 2019 International Swaps and Derivatives Association, Inc.

AANA Calculation and Compliance Dates

• IM AANA/MSE Calculation Periods and Compliance Dates 

through January 2023

• USPR rule proposal issued September 17th, proposes to move Phase 5 

AANA calculation period to March-May 2020.

4

Phase 5*

AANA 

(US)

•JuneAugust 

2019

Phase 5 

AANA 

(ex-US)

•March

-May 

2020

Phase 6 

MSE 

(US)

•JuneAugus

t 2020

Phase 5

Comp 

Date

•Sep 1, 

2020

Phase 6 

AANA 

(Ex-US)

•March

-May 

2021

Post 

PhaseIn MSE 

(US)

•JuneAugust 

2021

Phase 6 

Comp 

Date

•Sep 1, 

2021

Post 

Phase-In 

Comp 

Date (US)

•January 

1, 2022

Post 

Phasein

AANA

•March

-May 

2022

Post 

Phase-In

MSE (US)

•JuneAugust 

2022

Post 

Phasein Comp 

Date 

(ex-US, 

EU)

•Sep 1, 

2022

Comp Date 

(US, EU)

•January 1, 

2023
®ISDA is a registered trademark of the International Swaps and Derivatives Association, Inc.

Copyright © 2019 International Swaps and Derivatives Association, Inc.

AANA Calculation and Compliance Dates

• IM AANA Calculation Periods and Compliance Dates – if fully 

aligned with BCBS-IOSCO margin framework

5

Phase 5 

AANA Calc Period

•March-May 2020

Phase 5

Compliance Date

•September 1, 

2020

Phase 6 

AANA Calc Period

•March-May 2021

Phase 6 

Compliance Date

•September 1, 

2021

Post phase-in

AANA Calc Period

•March-May 2022

Post phase-in 

Compliance Date

•September 1, 

2022
®ISDA is a registered trademark of the International Swaps and Derivatives Association, Inc.

Copyright © 2019 International Swaps and Derivatives Association, Inc.

Product Scope

• Variants in product scope make cross-border margining complex and 

create an unlevel playing field across jurisdictions.

6

Instrument Type CFTC USPRs SEC EMIR Japan Canada Switzerland Singapore Hong 

Kong

Australia Korea Brazil South 

Africa

Physically settled FX swaps No No No VM, not 

IM

No No No No No No No No No

Physically settled FX forwards No No No VM, not 

IM

No No No No No No No No No

Principal payments on crosscurrency swaps

VM, 

not 

IM

VM, 

not IM

No VM, not 

IM

VM, 

not IM

VM, 

not IM

VM, not 

IM

No No No No VM, not 

IM

VM, 

not 

IM

Option based on a security or 

a narrow index of securities

No No No Yes Yes Yes Yes Yes Yes Yes Yes Yes Yes

Option based on a broad 

index of securities

No No No Yes Yes Yes Yes Yes Yes Yes Yes Yes Yes

Forward based on one or 

more securities

No No No Yes Yes Yes Yes Yes Yes Yes Yes Yes Yes

Physically settled commodity 

forwards

No No No Some No No Some Some No Yes No No

(except

for gold)

No

Physically settled commodity 

options

Yes Yes No Some No No Yes Some Yes Yes Yes Yes No

Derivatives cleared on an 

unrecognized CCP

Yes Yes No No Yes No Yes No No No No Yes Yes
®ISDA is a registered trademark of the International Swaps and Derivatives Association, Inc.

Copyright © 2019 International Swaps and Derivatives Association, Inc.

Settlement Timing

• Settlement deadlines vary significantly:

• The US is the most restrictive, with a T+1 settlement requirement.

• Particularly problematic for settlement between Asian and US entities

• The T+1 requirement prevents firms from using collateral types with 

longer settlement cycles

• More difficult in final IM phases where greater use of third party 

custodial architecture anticipated

• SEC allows settlement on T+2 if the counterparty is located more than 4 

time zones away

7

T+1 T+1/T+2 T+2 T+3 T+4 Promptly

CFTC

USPRs

SEC EU

Switzerland

Singapore

Hong Kong

Korea

Canada Japan

Australia
®ISDA is a registered trademark of the International Swaps and Derivatives Association, Inc.

Copyright © 2019 International Swaps and Derivatives Association, Inc.

Eligible Collateral

• In cross-border relationships the parties must agree a collateral 

schedule based on the intersection of collateral which is eligible in 

their respective jurisdictions.

• Cross-border collateral options often limited to cash, sovereign 

bonds, corporate bonds and equities.

• Money Market Funds

 Due to US T+1 settlement requirement in the US parties may use cash.

 As cash has to be transformed to another form of collateral in the US, 

money market funds are expected to be used. 

 But US restrictions on use of MMF directly conflict with the conditions 

in the EU – meaning MMF cannot be used as collateral for US: EU 

transactions.

8
®ISDA is a registered trademark of the International Swaps and Derivatives Association, Inc.

Copyright © 2019 International Swaps and Derivatives Association, Inc.

Money Market Funds

Conflict US EU Request

Liquidity 

Restriction

Do not allow for securities 

lending, securities borrowing, 

repurchase agreements, reverse 

repurchase agreements

Allows for repurchase

agreements and reverse 

repurchase agreements

US to allow for repo, reverse 

repo, and securities lending 

within MMFs

MMF Issuing

Entity

Redeemable securities in a 

pooled investment fund, 

including SEC 2a-7 funds

UCITS shares or units Broaden issuing entity

Substituted 

Compliance/ 

Equivalence 

Determination

Only CFTC has provided, not 

U.S. Prudential Regulators

Limited to entities 

established in the USA and 

authorized and supervised 

by CFTC

U.S. Prudential Regulators 

to provide Substituted 

Compliance

EU to expand equivalence 

determination to entities 

regulated in the US, not just 

domiciled/established in 

the US

9
®ISDA is a registered trademark of the International Swaps and Derivatives Association, Inc.

Copyright © 2019 International Swaps and Derivatives Association, Inc.

Inter-affiliate Initial Margin

• Inter-affiliate IM is currently only required to be posted under 

the margin requirements of the US prudential regulators.

• In rule proposal issued September 17th, USPRs proposed to 

repeal the inter-affiliate initial margin requirement.

• The EU has delayed application until January, 2020 and is 

currently considering extension.

10

Yes Delayed No

USPRs EU CFTC, SEC, Switzerland, Canada, Brazil, Japan, 

Singapore, Hong Kong, Australia, Korea
®ISDA is a registered trademark of the International Swaps and Derivatives Association, Inc.

Copyright © 2019 International Swaps and Derivatives Association, Inc.

IM Model Governance

• Do firm-level IM model validation and backtesting requirements 

apply to parties in final IM implementation phases?

• Establishing internal model governance and conducting regular 

backtesting is especially onerous for smaller firms.

• Smaller firms may be precluded from using a risk-sensitive approach 

to IM calculation, forced to use GRID and face greater costs.

• Extensive dealer testing of ISDA SIMMTM occurs at an industry and 

firm level, covering all in-scope portfolios.

11

No Yes

CFTC, USPR, Japan, 

Switzerland, Canada

EU, Singapore, 

Hong Kong, Australia
®ISDA is a registered trademark of the International Swaps and Derivatives Association, Inc.

Copyright © 2019 International Swaps and Derivatives Association, Inc.

SEC vs. CFTC/USPR

• In response to industry feedback, SEC’s final non-cleared margin 

rules are more aligned with the CFTC, USPRs than proposed draft

• Key differences remain:

 Party scope

 Segregation

 Haircuts

 IM Calculation

 Portfolio margining

• Alternative compliance mechanism

• Stand alone SBSD may elect to comply with CFTC margin rules for their SBS

• Not available to SBSDs registered a Broker Dealers or those clearing for clients

• Not available if SBS positions exceed lesser of (i) $250 billion ($50 billion after 3 

year transition period) or (ii) 10% of combined aggregate gross notional 

amount of swaps + SBS

12
®ISDA is a registered trademark of the International Swaps and Derivatives Association, Inc.

Copyright © 2019 International Swaps and Derivatives Association, Inc.

Intra-Jurisdictional Complexity

• Determining application of rules is complex for a swap dealer:

13

# Party A registration Party A prudentially 

regulated? Party B registration Party B prudentially 

regulated?

Party A combined position, treating Party B

obligation to collect as Party A obligation to post

1 SD No SD No Collect swap IM, post swap IM

2 SD No SBSD No Collect swap IM, post swap IM

3 SD No SD and SBSD No Collect swap IM, post swap IM

4 SD No None (other FEU) N/A Collect swap IM, post swap IM

5 SD and SBSD No SD No Collect swap IM, post swap IM

6 SD and SBSD No SBSD No Collect swap IM, post swap IM

7 SD and SBSD No SD and SBSD No Collect swap IM, post swap IM

8 SD and SBSD No None (other FEU) N/A Collect swap IM and SBS IM separately[?], post swap IM

9 SD Yes SD No Collect swap/SBS IM, post swap IM

10 SD Yes SBSD No Collect swap/SBS IM

11 SD Yes SD and SBSD No Collect swap/SBS IM, post swap IM

12 SD Yes None (other FEU) N/A Collect swap/SBS IM, post swap/SBS IM

13 SD and SBSD Yes SD No Collect swap/SBS IM, post swap IM

14 SD and SBSD Yes SBSD No Collect swap/SBS IM

15 SD and SBSD Yes SD and SBSD No Collect swap/SBS IM, post swap IM

16 SD and SBSD Yes None (other FEU) N/A Collect swap/SBS IM, post swap/SBS IM

17 SD No SD Yes Collect swap IM, post swap/SBS IM

18 SD No SBSD Yes Collect swap IM, post greater of swap IM and swap/SBS IM

19 SD No SD and SBSD Yes Collect swap IM, post swap/SBS IM

20 SD No None (other FEU) N/A Collect swap IM, post swap IM

21 SD and SBSD No SD Yes Collect swap IM, post swap/SBS IM

22 SD and SBSD No SBSD Yes Collect swap IM, post greater of swap IM and swap/SBS IM

23 SD and SBSD No SD and SBSD Yes Collect swap IM, post swap/SBS IM

24 SD and SBSD No None (other FEU) N/A Collect swap IM and SBS IM separately, post swap IM

25 SD Yes SD Yes Collect swap/SBS IM, post swap/SBS IM

26 SD Yes SBSD Yes Collect swap/SBS IM, post swap/SBS IM

27 SD Yes SD and SBSD Yes Collect swap/SBS IM, post swap/SBS IM

28 SD Yes None (other FEU) N/A Collect swap/SBS IM, post swap/SBS IM

29 SD and SBSD Yes SD Yes Collect swap/SBS IM, post swap/SBS IM

30 SD and SBSD Yes SBSD Yes Collect swap/SBS IM, post swap/SBS IM

31 SD and SBSD Yes SD and SBSD Yes Collect swap/SBS IM, post swap/SBS IM

32 SD and SBSD Yes None (other FEU) N/A Collect swap/SBS IM, post swap/SBS IM
®ISDA is a registered trademark of the International Swaps and Derivatives Association, Inc.

Copyright © 2019 International Swaps and Derivatives Association, Inc.

Substituted Compliance

• Substituted compliance is only available for non-cleared margin 

requirements in limited cases

14

Jurisdiction/Regulator for which equivalence determination has been made

Australia Brazil Canada EU UK

Hong 

Kong Japan Mexico Singapore

South 

Africa

South 

Korea Switzerland US (CFTC) US (PR) US (SEC)

Issuing Regulatory Jursdiction

Australia

Brazil

Canada

EU

UK

Hong Kong

Japan

Mexico

Singapore

South Africa

South Korea

Switzerland

US (CFTC)

US (PR)

US (SEC)

Equivalence Determination

Fully Equivalent Equivalent with 

Exceptions

No equivalence
®ISDA is a registered trademark of the International Swaps and Derivatives Association, Inc.

Copyright © 2019 International Swaps and Derivatives Association, Inc.

Cross-Jurisdictional Issues in Implementation of 

Uncleared Margin Rules

Commodity Futures Trading Commission

Global Markets Advisory Committee

September 24, 2019

New York

Tara Kruse, Global Head of Infrastructure, Data and Non-Cleared Margin, ISDA