On July 5, 2022, ISDA® sent an reminder to market participants regarding compliance with initial margin (IM) requirements for uncleared swaps beginning on September 1, 2022. These requirements are applicable to parties that breach the Phases Six average aggregate notional amount (AANA) threshold for non-cleared derivatives during the relevant AANA calculation period (see Practice Note, US Derivatives Regulation: Margin Collection and Exchange Requirements for Uncleared Swaps: Compliance Dates for US Margin Rules).

ISDA also published a chart of AANA calculation periods and compliance dates for global non-cleared IM requirements, as well as instructions on calculating Phase Five and Phase Six AANA under US regulations.

ISDA notes that the Phase Six calculation periods of June through August 2021 for US prudential authorities and March through May 2022 for all other regulators are now complete. Any party that is aware that it will breach the Phase Six AANA thresholds or that expects to breach the threshold should notify its counterparties, select custodian(s), and negotiate the relevant IM and custodial documentation (see Legal Update, ISDA and IHS Markit Issue Reminder on Disclosure for Phase Six Uncleared Swap Initial Margin Requirements).

ISDA reminds market participants that notification can be conducted via any means preferred by the disclosing group, including:

For further information on IM and other uncleared swaps margin requirements, see Practical Law's Margin for Uncleared Swaps Toolkit.