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CA-4.1.6C

Conventional bank licensees must ensure that sufficient resources are devoted to the orderly operation of margin agreements with OTC derivative and securities-financing counterparties, as measured by the timeliness and accuracy of its outgoing calls and response time to incoming calls. Conventional bank licensees must have collateral management policies in place to control, monitor and report:

(a) The risk to which margin agreements exposes them (such as the volatility and liquidity of the securities exchanged as collateral);
(b) The concentration risk to particular types of collateral;
(c) The reuse of collateral (both cash and non-cash) including the potential liquidity shortfalls resulting from the reuse of collateral received from counterparties; and
(d) The surrender of rights on collateral posted to counterparties.
January 2015