WGMR 8% collateral haircut unlikely to apply to variation margin
Regulators suggest WGMR haircut will not apply to variation margin, reducing the threat to the viability of the standard CSA
A requirement for an additional haircut on collateral denominated in a different currency to that of the underlying trade is unlikely to apply to variation margin, some regulators suggest. The feedback follows a request for clarification from the derivatives industry, which had feared the add-on would make the new standard credit support annex (CSA) unviable in its current form.
The rule appears in final uncleared margin requirements, published on September 2 by the Working Group on Margining
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