AMF published the guideline on margins for over-the-counter (OTC) derivatives not cleared by a central counterparty (CCP). The guideline sets out expectations of AMF regarding the exchange of margin for non-centrally cleared OTC derivatives (covered derivatives). This guideline applies to a covered institution that trades covered derivatives with a covered counterparty. The effective dates of the expectations for the exchange of variation margin and initial margin are March 01, 2020 and September 01, 2021, respectively.
As per the guideline, a local institution belonging to a financial group whose aggregate month-end average gross notional amount of outstanding covered derivatives for March, April, and May of a given year exceeds USD 12 billion becomes a covered institution as of September 01 of that year. From that date until August 31 of the following year, the guideline will apply to all new covered derivatives traded with a covered counterparty. However, AMF does not expect initial margin expectations to be met for existing covered derivatives. AMF expects all covered institutions to have appropriate margining practices in place for all covered derivatives traded with a covered counterparty, with the exception of:
- physically settled foreign exchange forwards
- cross-currency swaps
- fixed physically settled foreign exchange transactions associated with the exchange of principal of cross-currency swaps
Conversely, a covered institution belonging to a financial group whose aggregate month-end average gross notional amount of outstanding covered derivatives for March, April, and May of a given year falls below USD 12 billion ceases to be a covered institution. From that time on, the guideline will not apply to any covered derivative involving the institution, regardless of the date on which the derivative was traded, until such time as the institution has recovered its status as a covered institution. The same holds true for a covered counterparty.
Keywords: Americas, Canada, Banking, Securities, OTC Derivatives, Non-Centrally Cleared Derivatives, CCPs, Margin Requirements, Initial Margin, Variation Margin, AMF
Previous ArticlePRA Finalizes Approach to Supervising Liquidity and Funding Risks
HKMA announced that enhancements will be made to the Special 100% Loan Guarantee of the SME Financing Guarantee Scheme (SFGS) and the application period will be extended to December 31, 2021.
EBA launched consultations on the regulatory and implementing technical standards on cooperation and information exchange between competent authorities involved in prudential supervision of investment firms.
BoE has set out a three-phased plan to transform data collection from the UK financial sector over the next decade.
BIS recently made a couple of announcements with respect to the planned and ongoing work in the area of financial technology.
ESRB updated the list of national macro-prudential measures applied by each member state in the European Economic Area.
BoE has set out results of a survey on the impact of COVID-19 events on the use of machine learning and data science.
In response to a request from the European Council and Parliament, ECB published an opinion on the proposed regulation on markets in crypto-assets.
APRA announced the updated aggregate amounts for the 2021 Committed Liquidity Facility (CLF) established between the Reserve Bank of Australia (RBA) and certain locally incorporated authorized deposit-taking institutions that are subject to the Liquidity Coverage Ratio (LCR).
ECB published supervisory Memorandums of Understanding (MoUs) with UK as well as other European and non-European authorities.
EIOPA identified business model sustainability and adequate product design as the two EU-wide strategic supervisory priorities.