OSFI Updates Margin Requirements for Non-Centrally Cleared Derivatives

April 20, 2020

This post provides an update on Guideline E-22 Margin Requirements for Non-Centrally Cleared Derivatives (Guideline) from the Office of Superintendent of Financial Institutions (OSFI).  By way of background, as a member of the Basel Committee on Banking Supervision (BCBS), Canada participated in the development of the BCBS and the International Organization of Securities Commissions (IOSCO) policy framework on margin requirements for non-centrally cleared derivatives. This Guideline is based on the BCBS-IOSCO framework and establishes minimum standards for margin requirements for non-centrally cleared derivative transactions undertaken by certain federally regulated financial institutions. 

In support of the Basel Committee’s efforts to allow global financial institutions to respond to the immediate financial stability concerns, OSFI updated the Guideline by extending the application of the initial margin requirements.

The updated Guideline delays the application of the initial margin requirements for non-centrally cleared derivatives to September 1, 2021 for covered entities of a consolidated group with aggregate month-end average notional amount of non-centrally cleared derivatives for March, April, and May of 2021  exceeding CAD 75 billion and from and after September 1, 2022 for covered entities of a consolidated group with a month-end average notional amount of non-centrally cleared derivatives from and after each such year exceeding CAD 12 billion.

 

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