毕马威：最后草拟 - 非中央结算场外衍生工具的保证金及风险缓减标准（英文版）.pdfVIP

Final draft – Hong Kong margin and other risk mitigation standards for non-centrally cleared OTC derivatives In December 2016, the Hong Kong Monetary Authority (HKMA) released a final draft of Supervisory Policy Manual (SPM) CR-G- 14, which contains margin requirements and risk mitigation standards (RMS) for non-centrally cleared over-the-counter (OTC) derivative transactions undertaken by authorised institutions (AIs). Regulators in other jurisdictions, including Europe, the US, Australia, India, Japan and Singapore, have also released their own versions of these rules. What impact will the new margin requirements have on banks in Hong Kong? Requirement for margin to be posted/collected in respect of transactions between an AI and a covered entity Under the new requirements, a non-centrally cleared OTC derivative transaction between an AI and a ‘covered entity’ (i.e. a financial counterparty or a significant non-financial counterparty) entered into after the relevant effective date may become subject to a requirement to collect or post margin subject to the following implementation timeline: Variation margin • The effective date for variation margin (VM) requirements is 1 March 2017 for all non-centrally cleared derivatives entered into with a covered entity. Initial margin and risk mitigation standards • The requirement to exchange initial margin (IM) and comply with the RMS applies in a one-year period (i.e. from 1 September of each year to 31 August of the following year), where both the AI and covered entity have an average aggregate notional amount of non-centrally cleared derivatives (calculated as the average of the total gross notional amount of month-end positions on a group-wide basis), exceeding the respective threshold: HKD 24 trillion HKD 18 trilli