Table A—Standardized
minimum gross initial margin requirements for non-cleared swaps and
non-cleared security-based swaps
1
Table A—Standardized
minimum gross initial margin requirements for non-cleared swaps and
non-cleared security-based swaps
| 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 |
1 The
initial margin amount applicable to multiple non-cleared swaps or
non-cleared security-based swaps subject to an eligible master netting
agreement that is calculated according to appendix A will be computed
as follows: Initial Margin = 0.4 × Gross Initial
Margin + 0.6 × NGR × Gross Initial Margin
where; Gross Initial Margin = the sum of the product
of each non-cleared swap’s or non-cleared security-based swap’s
effective notional amount and the gross initial margin requirement
for all non-cleared swaps and non-cleared security-based swaps subject
to the eligible master netting agreement; and
NGR = the net-to-gross ratio (that is, the ratio of the net current
replacement cost to the gross current replacement cost). In calculating
NGR, the gross current replacement cost equals the sum of the replacement
cost for each non-cleared swap and non-cleared security-based swap
subject to the eligible master netting agreement for which the cost
is positive. The net current replacement cost equals the total replacement
cost for all non-cleared swaps and non-cleared security-based swaps
subject to the eligible master netting agreement. In cases where the
gross replacement cost is zero, the NGR should be set to 1.0.
