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
The European Banking Authority (EBA) published the final draft regulatory technical standards specifying and, where relevant, calibrating the minimum performance-related triggers for simple.
The European Central Bank (ECB) is undertaking the integrated reporting framework (IReF) project to integrate statistical requirements for banks into a standardized reporting framework that would be applicable across the euro area and adopted by authorities in other EU member states.
The European Banking Authority (EBA) has been awarded the top European Standard for its environmental performance under the European Eco-Management and Audit Scheme (EMAS).
The Monetary Authority of Singapore (MAS) set out the Financial Services Industry Transformation Map 2025 and, in collaboration with the SGX Group, launched ESGenome.
The Basel Committee on Banking Supervision met, shortly after a gathering of the Group of Central Bank Governors and Heads of Supervision (GHOS), the oversight body of BCBS.
The International Organization of Securities Commissions (IOSCO) welcomed the work of the international audit and assurance standard setters—the International Auditing and Assurance Standards Board (IAASB)
The Bank of England (BoE) published a Statistical Notice (2022/18), which informs that due to the Bank Holiday granted for Her Majesty Queen Elizabeth II’s State Funeral on Monday September 19, 2022.
The French Prudential Control and Resolution Authority (ACPR) announced that the European Banking Authority (EBA) has updated its filing rules and the implementation dates for certain modules of the EBA reporting framework 3.2.
The European Central Bank (ECB) published a paper that examines how credit rating agencies accepted by the Eurosystem, as part of the Eurosystem Credit Assessment Framework (ECAF)
The Australian Prudential Regulation Authority (APRA) announced reduction in the aggregate Committed Liquidity Facility (CLF) for authorized deposit-taking entities to ~USD 33 billion on September 01, 2022.