CFTC has proposed two rules to amend the margin requirements for uncleared swaps for swap dealers and major swap participants for which there is no prudential regulator (CFTC Margin Rule). In one of the rules, CFTC is proposing to revise the calculation method for determining whether certain entities come in the scope of the initial margin requirements under the CFTC Margin Rule beginning on September 01, 2021. Comments on this proposal must be received by October 23, 2020. Additionally, the proposed amendments of the other rule would permit the application of separate minimum transfer amounts for initial margin and variation margin and the application of an minimum transfer amounts of up to USD 50,000 for separately managed accounts. Comments on this proposed rule must be received by October 22, 2020.
CFTC is proposing to revise the method for calculating average aggregate notional amounts (AANA) for determining whether a financial end-user has material swaps exposure. CFTC is also proposing to revise the timing for compliance with the initial margin requirements after the end of the last phase of compliance, with the aim to align these aspects of the CFTC Margin Rule with the BCBS-IOSCO framework or margin requirements for non-centrally cleared derivatives. CFTC is also proposing to allow swap dealers and major swap participants subject to CFTC Margin Rule to use the risk-based model calculation of initial margin of a counterparty that is a CFTC-registered swap dealer and major swap participant to determine the amount of initial margin to be collected from the counterparty and to determine whether the initial margin threshold amount for the exchange of initial margin has been exceeded such that documentation concerning the collection, posting, and custody of initial margin would be required.
Comment Due Date: October 23, 2020/October 22, 2020
Keywords: International, Americas, US, Banking, Securities, Margin Requirements, Implementation Timeline, Initial Margin, Variation Margin, Swaps, AANA, Derivatives, Basel, BCBS, IOSCO, CFTC
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