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e-CFR data is current as of July 6, 2020

Title 12Chapter IISubchapter APart 237Subpart A → Appendix


Title 12: Banks and Banking
PART 237—SWAPS MARGIN AND SWAPS PUSH-OUT
Subpart A—Margin and Capital Requirements for Covered Swap Entities (Regulation KK)


Appendix A to Subpart A to Part 237—Standardized Minimum Initial Margin Requirements for Non-Cleared Swaps and Non—Cleared Security-Based Swaps

Table A—Standardized Minimum Gross Initial Margin Requirements for Non-Cleared Swaps and Non-Cleared Security-Based Swaps1

Asset ClassGross initial margin
(% of notional exposure)
Credit: 0-2 year duration2
Credit: 2-5 year duration5
Credit: 5+ year duration10
Commodity15
Equity15
Foreign Exchange/Currency6
Cross Currency Swaps: 0-2 year duration1
Cross-Currency Swaps: 2-5 year duration2
Cross-Currency Swaps: 5+ year duration4
Interest Rate: 0-2 year duration1
Interest Rate: 2-5 year duration2
Interest Rate: 5+ year duration4
Other15

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=0.4xGross Initial Margin +0.6x NGRxGross 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.

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