Title 12

PART 1221 APPENDIX A



Appendix A to Part 1221 - Standardized Minimum Initial Margin Requirements for Non-cleared Swaps and Non - cleared Security-based Swaps

12:10.0.2.2.16.0.1.13.3 : Appendix A

Appendix A to Part 1221 - 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 Swaps 1

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