Regulatory Alerts2020-10-05
Added · Updated
Margin Requirements for Non-Centrally Cleared Derivatives
The Saudi Arabian Monetary Authority has issued updated margin rules requiring covered financial and systemically important non-financial entities to exchange initial and variation margin on all non-centrally cleared derivatives. Covered entities must calculate and exchange full variation margin daily with a zero threshold, while initial margin is capped at an €50 million group-wide threshold and calculated using either a standardised schedule or SAMA-approved quantitative models calibrated to stress periods. The framework mandates highly liquid, appropriately haircuted collateral excluding counterparty-issued securities, thereby reducing systemic risk and promoting central clearing across the Kingdom’s derivatives market.
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