Regulatory Alerts2020-04-30
Margin Requirements for Non-Centrally Cleared Derivatives – Guideline (2020)
OSFI issued this guideline to establish minimum initial and variation margin standards for non-centrally cleared derivative transactions conducted by federally-regulated financial institutions. The framework mandates daily calculation and exchange of margin between Covered FRFIs and counterparties with aggregate notional amounts exceeding $12 billion, subject to defined thresholds and legally enforceable netting agreements. It permits the use of internal portfolio models or standardized schedules for initial margin calculations, allows substituted compliance for foreign branches and counterparties, and requires robust dispute resolution procedures to mitigate counterparty credit risk.
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