AMF, the financial regulator of Quebec, Canada, issued clarified expectations with respect to the guideline on margins for over-the-counter (OTC) derivatives not cleared by a central counterparty. AMF clarified that any amendment to an existing derivative solely to reflect interest rate benchmark reforms does not qualify as a new derivative within the meaning of the guideline. It also clarified that the documentation, custodial, and operational agreements related to the exchange of initial margin between covered institutions are not required to be entered into until the amount of margin to be exchanged approaches the CAD 75 million threshold. AMF is soon expected to publish an amended guideline to incorporate these clarifications.
Furthermore, an entry into force phase will be added to the guideline for the initial margin exchange expectations for covered institutions belonging to a financial group whose aggregate month-end average gross notional amount of outstanding covered derivatives for March 2021, April 2021, and May 2021, excluding derivatives traded between entities of the same financial group, exceeds CAD 75 billion. Earlier, in April 2020, AMF had published the amended guideline on margins for OTC derivatives not cleared by a central counterparty. In line with the decision of the Basel Committee on Banking Supervision (BCBS) and the International Organization of Securities Commissions (IOSCO), the amended version had deferred the effective date of the initial margin expectations to September 01, 2022—that is, one year later than originally planned. With this notice, AMF also supports the BCBS-IOSCO statement released on March 05, 2019.
Keywords: Americas, Canada, Quebec, Banking, Securities, OTC Derivatives, Initial Margin, Basel, Phase 5, Benchmark Reforms, Interest Rate Benchmarks, Guideline, ABCBS, IOSCO, AMF
Previous ArticleBoE Consults on Approach to Setting MREL, Publishes Bail-In Guidance
The European Banking Authority (EBA) published four draft principles to support supervisory efforts in assessing the representativeness of COVID-19-impacted data for banks using the internal ratings based (IRB) credit risk models.
The European Council and the European Parliament (EP) reached a provisional political agreement on the Corporate Sustainability Reporting Directive (CSRD).
The Prudential Regulation Authority (PRA) launched a consultation (CP6/22) that sets out proposal for a new Supervisory Statement on expectations for management of model risk by banks.
The European Commission (EC) published the Delegated Regulation 2022/954, which amends regulatory technical standards on specification of the calculation of specific and general credit risk adjustments.
The Bank for International Settlements (BIS) Innovation Hub updated its work program, announcing a set of projects across various centers.
The European Insurance and Occupational Pensions Authority (EIOPA) published two consultation papers—one on the supervisory statement on exclusions related to systemic events and the other on the supervisory statement on the management of non-affirmative cyber exposures.
Certain members of the U.S. Senate Committee on Banking, Housing, and Urban Affairs issued a letter to the Securities and Exchange Commission (SEC)
The European Insurance and Occupational Pensions Authority (EIOPA) published a consultation paper on the advice on the review of the securitization prudential framework in Solvency II.
The Bank for International Settlements (BIS) published bulletins on lending in decentralized finance (DeFi) system, on blockchain scalability and fragmentation of crypto, and on extractable value and market manipulation in crypto and decentralized finance.
The Prudential Regulation Authority (PRA) issued a statement on PRA buffer adjustment while the Bank of England (BoE) published a notice on the statistical reporting requirements for banks.