(a) Collection
of margin. A covered swap entity shall collect initial margin
with respect to any non-cleared swap or non-cleared security-based
swap from a counterparty that is a financial end user with material
swaps exposure or that is a swap entity in an amount that is no less
than the greater of:
(1)
Zero; or
(2) The initial margin
collection amount for such non-cleared swap or non-cleared security-based
swap less the initial margin threshold amount (not including any portion
of the initial margin threshold amount already applied by the covered
swap entity or its affiliates to other non-cleared swaps or non-cleared
security-based swaps with the counterparty or its affiliates), as
applicable.
(b) Posting
of margin. A covered swap entity shall post initial margin with
respect to any non-cleared swap or non-cleared security-based swap
to a counterparty that is a financial end user with material swaps
exposure. Such initial margin shall be in an amount at least as large
as the covered swap entity would be required to collect under paragraph
(a) of this section if it were in the place of the counterparty.
(c) Timing. A covered swap entity
shall comply with the initial margin requirements described in paragraphs
(a) and (b) of this section on each business day, for a period beginning
on or before the business day following the day of execution and ending
on the date the non-cleared swap or non-cleared security-based swap
terminates or expires.
(d) Other
counterparties. A covered swap entity is not required to collect
or post initial margin with respect to any non-cleared swap or non-cleared
security-based swap described in section 237.1(d). For any other non-cleared
swap or non-cleared security-based swap between a covered swap entity
and a counterparty that is neither a financial end user with a material
swaps exposure nor a swap entity, the covered swap entity shall collect
initial margin at such times and in such forms and such amounts (if
any), that the covered swap entity determines appropriately addresses
the credit risk posed by the counterparty and the risks of such non-cleared
swap or non-cleared security-based swap.
