MAS Amends Notices on NSFR and Guide on Margin Rules for Derivatives
MAS published amendments to Notices 652 and 653 on net stable funding ratio (NSFR) requirements and NSFR disclosures, respectively. The amendments to Notices 652 and Notice 653 shall take effect on April 08, 2020. MAS also updated the guideline that set out on margin requirements for non-centrally cleared over-the-counter (OTC) derivatives contracts. These amendments are a result of the mitigation measures that were announced on April 07, 2020 to alleviate the impact of COVID-19 outbreak on the financial sector.
Notice 652 sets out the minimum all currency NSFR requirements that a bank has to comply with while Notice 653 sets out requirements for a reporting bank to disclose quantitative and qualitative information about its NSFR. Both these notices apply to all domestic systemically important banks and internationally active banks. Notice 652 is being amended to lower the required stable funding factors for all loans to non-financial corporates, retail customers, and small business customers that have a residual maturity of less than six months, from 50% to 25%, for the period between April 08, 2020 and September 30, 2021 (both dates inclusive). The changes to the notice also involve gradually phasing back the required stable funding factors from 25% to 50% by April 01, 2022. The notice on NSFR disclosures (Notice 653) is being amended as a result of changes to the NSFR requirements.
The guideline on margin requirements offers guidance on scope of products and entities, margin calculations and methodologies, and eligible collateral and haircuts. Under the revised guideline, the phase-in date for the exchange of initial margin with the USD 80 billion threshold has been extended to September 01, 2021 while the phase-in date for the exchange of initial margin with the USD 13 billion threshold has been extended to September 01, 2022, for each subsequent twelve-month period. The guideline has been amended in line with the recently revised phase-in requirements of the Basel Committee. The Basel Committee has recently extended the timeline for these phase-in requirements in an effort to ease the burden on financial institutions in light of the COVID-19 outbreak.
Effective Date: April 08, 2020 (Notices 652 and 653)
Keywords: Asia Pacific, Singapore, Banking, Guidelines, OTC Derivatives, NSFR, MAS Notice 653, MAS Notice 652, Disclosures, Basel III, Liquidity Risk, Initial Margin, COVID-19, MAS
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