Published Date: 28 March 2008

Guidelines on the Calculation of Counterparty Risk Requirement for Specified Structured Warrants under Paragraph 3(2) of the Third Schedule to the Securities and Futures (Financial and Margin Requirements for Holders of Capital Markets Services Licences) Regulations [FMR N02]

Specifies how counterparty risk requirements should be computed for specified structured warrants. The guidelines are not applicable to capital computations after 3 April 2015 and financial returns after 1 July 2015.

These guidelines apply to capital markets services (CMS) licensees:

  • dealing in securities and trading in futures contracts; and
  • which are members of an approved exchange or designated clearing house 

in respect of capital computations before 3 April 2015 and financial returns before 1 July 2015. 

They specify how counterparty risk requirement should be computed for specified structured warrants in the following scenarios: 

  • Contracts unsettled at the end of or after the due date;
  • Open contracts traded on an approved exchange other than a securities exchange or recognised group A exchange; and
  • Contract which is offset by contra contract, forced-sale or buying-in transaction.