Commodity Futures Trading Commission: Office of Public Affairs
Commodity Futures Trading Commission: Office of Public Affairs
Products
The rules would apply to uncleared swaps entered into after the effective dates of the regulation (see
implementation schedule below). The proposal would not apply retroactively.
Market Participants
The rules would apply to those SDs and MSPs that are not subject to oversight by the Prudential Regulators
(covered swap entities or CSEs). The rules would impose margin requirements on (i) trades between CSEs
and SDs or MSPs and (ii) trades between CSEs and financial end users.
The rules would not impose margin requirements on commercial end users.
The rules would require daily posting for all trades between SD/MSPs and financial end users.
Calculation of IM
The rules would permit the calculation of margin to be based on models or a standardized table.
Commodity Futures Trading Commission Division of Swap Dealer and Intermediary Oversight 202-418-6700
Models would be required to use a 99% confidence level over 10-day liquidation time.
The rules would permit $50 million threshold below which margin need not be collected.
Calculation of VM
The rules would require the use of methods and inputs that rely on recent trades or third-party valuations.
Forms of Margin
The rules would permit IM to include cash, sovereign debt, government-sponsored debt, investment grade debt
including corporate bonds, equities, gold, and shares of certain funds with appropriate haircuts.
The rules would require VM to be in cash for all trades between CSEs and SD/MSPs.
The rules would permit VM of the same nature as permitted IM for all trades between SD/MSPs and financial
end users.
Custodial Arrangements
The rules would require IM to be held at independent custodian. The rules would not permit rehypothecation of
required IM.
Inter-affiliate Swaps
The rules require IM on certain inter-affiliate swaps to prevent evasion. The rules would otherwise exempt
inter-affiliate swaps from IM with certain exceptions. The rule requires the exchange of variation margin
between affiliates.
Implementation Schedule
IM requirements would be phased-in starting September 1, 2016 and ending September 1, 2020 from the
largest participants to smaller ones. VM requirements would be effective September 1, 2016 for the largest
participants and March 1, 2017 for the rest.
Commodity Futures Trading Commission Division of Swap Dealer and Intermediary Oversight 202-418-6700