OSC Staff Notice of Request for Comment – Proposed Amendments to the Risk Manual of the CDCC with Respect to the Base Initial Margin Model for Fixed Income Products – 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 Base Initial Margin Model for Fixed Income products.

The purpose of the proposed amendments is to update the calculation methodology of historical shocks on the risk factors and introduce a Stressed Value-at-Risk component to the Initial Margin Model for Fixed Income products, as a permanent solution to replace the temporary remediation actions put in place post the COVID-19 market events.

The comment period ends on March 28, 2022.

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