Regulatory Alerts2008-03-28
Added
Guidelines on the Calculation of Counterparty Risk Requirement for Specified Structured Warrants
The Monetary Authority of Singapore issues these guidelines to specify how holders of capital markets services licences must calculate counterparty risk requirements for specified structured warrants. The document mandates a 100% risk requirement for unsettled contracts on securities exchanges and an 8% requirement for open contracts traded on other recognized exchanges. It further details the calculation of counterparty exposure based on unpaid purchase or undelivered sale contracts and addresses scenarios where contracts are offset by contra or forced-sale transactions.
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