Derivatives Sound Practices osfibsif.gc.ca（衍生品osfibsif.gc.ca声音实践）.pdfVIP

Guideline Subject: Derivatives Sound Practices Category: Sound Business and Financial Practices No: B-7 Effective Date: November 2014 Introduction Derivatives markets have experienced significant growth, both in size and in the number and complexity of products. The derivatives market is global in nature and is part of the core business of the domestic and cross-border operations of many federally-regulated financial institutions (FRFIs). While derivatives can be effective risk mitigation tools, the associated risks and exposures must be identified, measured, monitored and controlled as part of a FRFI’s comprehensive risk management framework. This Guideline sets out the Office of the Superintendent of Financial Institutions’ (OSFI’s) expectations for FRFIs with respect to derivatives activities. It applies to all FRFIs, i.e., Canadian incorporated FRFIs (and their consolidated subsidiaries) as well as the Canadian branch operations of foreign institutions. This Guideline complements OSFI’s Supervisory Framework and Assessmen t Criteria and other Guidelines, as noted on page 18 of this guideline. 255 Albert Street Ottawa, Canada K1A 0H2 www.osfi-bsif.gc.ca Table of Contents Page Introduction 1 Definition 4 Use of Derivatives4 Risks of Derivatives 4 Risk Management 4 Market Risk 5 Measurement of Market Risk5 Dealers and Active Position-takers 6 Frequency and Reporting of Measurement 7 Valuation Adjustments7 Credit Risk 8 Credit Exposure Limits 8 Measurement of Credit Risk Exposure 8 Netting 9 Margining 10 Settlement Risk 10 Central Counterparties (CCPs) 10 Qualifying Central C