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    AMF Sets Out Initial Margin Expectations for Uncleared OTC Derivatives

    August 19, 2021

    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

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