Published on 25 Sep 2014 • USA (National/Federal) |
Appendix A: Standardized Minimum Gross Initial Margin Requirements for Non-cleared Swaps and Non-cleared Security-Based Swaps¹ | |
Asset Class (type of swap) | Initial Margin Requirement (% 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% |
Appendix B: Initial Margin Haircuts | |
Asset Class | Haircut (% of market value) |
Cash in same currency as swap obligation | 0 |
Eligible government and related (e.g., central bank, multilateral development bank, GSE securities identified in §_.6(a)(2)(iii)) debt: residual maturity less than one year | 0.5 |
Eligible government and related (e.g., central bank, multilateral development bank, GSE securities identified in §_.6(a)(2)(iii)) debt: residual maturity between one and five years | 2 |
Eligible government and related (e.g., central bank, multilateral development bank, GSE securities identified in §_.6(a)(2)(iii)) debt: residual maturity greater than five years | 4 |
Eligible corporate (including eligible GSE debt securities not identified in §_.6(a)(2)(iii)) debt: residual maturity less than one year | 1 |
Eligible corporate (including eligible GSE debt securities not identified in §_.6(a)(2)(iii)) debt: residual maturity between one and five years | 4 |
Eligible corporate (including eligible GSE debt securities not identified in §_.6(a)(2)(iii)) debt: residual maturity greater than five years | 8 |
Equities included in S&P 500 or related index | 15 |
Equities included in S&P 500 Composite or related index but not S&P 500 or related index | 25 |
Gold | 15 |
Additional (additive) haircut on asset in which the currency of the swap obligation differs from that of the collateral asset | 8 |