OSC Staff Notice of Request for Comment – Proposed Amendments to the Risk Manual of CDCC with Respect to the Initial Margin Model for Bond Derivatives – Canadian Derivatives Clearing Corporation (CDCC)

The Ontario Securities Commission is publishing for public comment the proposed amendments to the CDCC Risk Manual with respect to the Initial Margin Model for Bond Derivatives.

The purpose of the proposed amendments is to introduce a stress risk component in the Initial Margin Model for Bond Derivatives, similarly to what is proposed for Equity Derivatives (published Q1-2021), as a permanent solution to replace the temporary measures introduced post the COVID-19 market volatility.

The comment period ends on July 02, 2021.

A copy of the CDCC Notice is published on our website at http://www.osc.ca.