Published on 22 Oct 2015 • USA (National/Federal) |
Standardized Minimum Initial Margin Requirements for Uncleared Swaps and Uncleared SBS | |
Asset Class | Gross Initial Margin (% of Notional Exposure) |
Credit: 0-2 year duration | 2 |
Credit: 2-5 year duration | 5 |
Credit: 5+ year duration | 10 |
Commodity | 15 |
Equity | 15 |
Foreign Exchange / Currency | 6 |
Cross Currency Swaps: 0-2 year duration | 1 |
Cross-Currency Swaps: 2-5 year duration | 2 |
Cross-Currency Swaps: 5+ year duration | 4 |
Interest Rate: 0-2 year duration | 1 |
Interest Rate: 2-5 year duration | 2 |
Interest Rate: 5+ year duration | 4 |
Other | 15 |
Margin Values for Eligible Non-Cash Margin Collateral | |
Asset Class | Discount (%) |
Eligible government and related (e.g., central bank, multilateral development bank, GSE) debt securities identified in §_.6(a)(2)(iv) or §_.6(b)(5): residual maturity less than one year | 0.5 |
Eligible government and related (e.g., central bank, multilateral development bank, GSE) debt securities identified in §_.6(a)(2)(iv) or §_.6(5): residual maturity between one and five years | 2.0 |
Eligible government and related (e.g., central bank, multilateral development bank, GSE) debt securities identified in §_.6(a)(2)(iv) or §_.6(b)(5): residual maturity greater than five years | 4.0 |
Eligible GSE debt securities not identified in §_.6(a)(2)(iv) or §_.6(b)(5): residual maturity less than one year | 1.0 |
Eligible GSE debt securities not identified in §_.6(a)(2)(iv) or §_.6(b)(5): residual maturity between one and five years | 4.0 |
Eligible GSE debt securities not identified in §_.6(a)(2)(iv) or §_.6(b)(6)(i): residual maturity greater than five years | 8.0 |
Other eligible publicly traded debt: residual maturity less than one-year | 1.0 |
Other eligible publicly traded debt: residual maturity between one and five years | 4.0 |
Other eligible publicly traded debt: residual maturity greater than five years | 8.0 |
Equities included in S&P 500 or related index | 15.0 |
Equities included in S&P 1500 Composite or related index but not S&P 500 or related index | 25.0 |
Gold | 15.0 |
Compliance Date | Initial Margin Requirement |
September 1, 2016 | Initial margin exchange is required for a covered swap entered into by a CSE where both (i) the CSE combined with all its affiliates and (ii) its counterparty combined with all its affiliates have an average daily aggregate notional amount of covered swaps outstanding for March, April, and May of 2016 that exceeds $3 trillion. |
September 1, 2017 | Initial margin exchange is required for a covered swap entered into by a CSE where both (i) the CSE combined with all its affiliates and (ii) its counterparty combined with all its affiliates have an average daily aggregate notional amount of covered swaps outstanding for March, April, and May of 2017 that exceeds $2.25 trillion. |
September 1, 2018 | Initial margin exchange is required for a covered swap entered into by a CSE where both (i) the CSE combined with all its affiliates and (ii) its counterparty combined with all its affiliates have an average daily aggregate notional amount of covered swaps outstanding for March, April, and May of 2018 that exceeds $1.5 trillion. |
September 1, 2019 | Initial margin exchange is required for a covered swap entered into by a CSE where both (i) the covered swap entity combined with all its affiliates and (ii) its counterparty combined with all its affiliates have an average daily aggregate notional amount of covered swaps outstanding for March, April, and May of 2019 that that exceeds $0.75 trillion. |
September 1, 2020 | Initial margin exchange is required for a CSE with respect to covered swaps entered into with any other counterparty. |
Compliance Date | VM Requirements |
September 1, 2016 | VM exchange is required for a CSE where both (i) the CSE combined with all its affiliates and (ii) its counterparty combined with all its affiliates have an average daily aggregate notional amount of covered swaps for March, April, and May of 2016 that exceeds $3 trillion. |
March 1, 2017 | VM exchange is required for a CSE with respect to covered swaps entered into with any other counterparty. |