Published on 13 Apr 2011 • USA (National/Federal) |
Standardized Minimum Initial Margin Requirements for Non-cleared Swaps and Non-cleared Security-Based Swaps | |
Asset Class | Initial Margin Requirement |
(% of Notional Exposure) | |
Credit: 0-2 year duration | [1-3] |
Credit: 2-5 year duration | [2-8] |
Credit: 5+ year duration | [5-15] |
Commodity | [10-20] |
Equity | [10-20] |
Foreign Exchange/Currency | [3-9] |
Interest Rate: 0-2 year duration | [0-2] |
Interest Rate: 2-5 year duration | [1-3] |
Interest rate: 5+ year duration | [2-6] |
Other | [10-20] |