2017 is the year of "margining" – MAS Publishes Guidelines on Margin Requirements for Non-centrally Cleared OTC Derivatives Contracts

This article provides a snapshot of the much-awaited Margin Guidelines (released 6 December 2016) from the Monetary Authority of Singapore ("MAS").

Introduction

On 6 December 2016, MAS published its much-anticipated guidelines for the implementation of the margining regime in Singapore entitled "Guidelines on Margin Requirements for Non-centrally Cleared OTC Derivatives Contracts" (the "Margin Guidelines").[1] In line with the "Margin Big Bang" in Europe (see European Margin Rules for Non-cleared OTC Derivatives – The Margin Big Bang in this issue of The Delta Report), the Margin Guidelines take effect on 1 March 2017. This article provides a snapshot of the Margin Guidelines.

Structure of the Margin Guidelines

The 31-paged Margin Guidelines sets out the margin requirements over 11 main paragraphs and 5 annexes.

For ease of reference, the annexes cover:

Annex 1: Persons exempted from the margin requirements

Annex 2: Calculation of Initial Margin ("IM")

Annex 3: Credit Quality Grades

Annex 4: Standardised Haircut Schedule

Annex 5: Treatment of Initial Margin Collected

The Margin Guidelines in summary

THE DELTA REPORT
Derivatives Newsletter
January 2017

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[1] On the same day, MAS also published its "Response to Feedback Received – Policy Consultation on Margin Requirements for Non-centrally Cleared OTC Derivatives Contracts" which provides insight into MAS' considerations in relation to the final provisions in the Guidelines and any variations between the proposed guidelines set out in MAS' "Policy Consultation on Margin Requirements for Non-centrally Cleared OTC Derivatives" issued on 1 October 2015 and the Guidelines.

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