Regulatory Alerts2021-06-29
Added · Updated
Guidelines on Margin Requirements for Non-Centrally Cleared OTC Derivatives Contracts
MAS Covered Entities must exchange initial and variation margin with counterparties that are also MAS Covered Entities or Foreign Covered Entities for uncleared derivatives contracts booked in Singapore. The guidelines specify exclusions for certain foreign exchange forwards, swaps, and commodity derivatives, and set an initial margin threshold of $80,000,000 and a de-minimis transfer amount of $800,000. Margin calculations must use a quantitative portfolio model meeting a 99% confidence interval over a 10-day margin period of risk or a standardized schedule, with eligible collateral limited to cash, gold, specific debt securities, and main stock index equities.
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