Regulatory Alerts2021-01-05 | 2020-27736Margin Requirements for Uncleared Swaps for Swap Dealers and Major Swap Participants
The Commodity Futures Trading Commission adopted amendments to its margin requirements for uncleared swaps to align the calculation method for determining initial margin scope with the BCBS/IOSCO Framework. These changes update the assessment period and averaging method for entities subject to the final phase of the compliance schedule starting September 1, 2022, while allowing the use of a counterparty's risk-based model to determine initial margin amounts. The rule also permits SDs and MSPs to use a counterparty's risk-based model calculation to determine if the initial margin threshold has been exceeded for documentation purposes.
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