Part: / PART 624 - MARGIN AND CAPITAL REQUIREMENTS FOR COVERED SWAP ENTITIES /
Subpart: / No Subpart /
Date Created: / 4/4/2016
Date Modified: / 4/6/2016
§ 624.3Initial margin.
(a)Collection of margin. A covered swap entityshallcollect initial margin withrespect to anynon-cleared swap or non-clearedsecurity-based swap fromacounterpartythat is afinancialend user withmaterialswapsexposureorthat is a swap entityinan amount that is noless than the greaterof:
(1)Zero; or
(2)Theinitialmargin collection amount forsuchnon-cleared swap or non-clearedsecurity-basedswaplessthe initial margin threshold amount (not including anyportion of theinitialmarginthreshold amount alreadyappliedbythe coveredswapentityorits affiliates toothernon-cleared swapsor non-clearedsecurity-basedswaps with thecounterpartyor itsaffiliates),asapplicable.
(b)Posting of margin.A covered swap entityshall post initialmargin with respect toanynon-cleared swap ornon-clearedsecurity-basedswap to a counterpartythat is a financialenduserwith material swaps exposure. Suchinitialmargin shall bein an amount at least as largeas the coveredswapentitywould be requiredto collect underparagraph (a) of this section if it werein the place of the counterparty.
(c)Timing. A covered swapentityshall complywith the initialmargin requirementsdescribed in paragraphs (a) and (b) ofthis sectionon eachbusiness day, fora periodbeginningon or before the businessdayfollowingthe dayofexecutionandendingonthe date thenon-clearedswap or non-clearedsecurity-based swap terminates or expires.
(d)Othercounterparties. Acovered swap entityis not required to collect or postinitialmargin with respect to anynon-cleared swap or non-clearedsecurity-based swap describedin § 624.1(d). For anyother non-cleared swap or non-clearedsecurity-basedswapbetween acovered swap entityandacounterpartythat is neither afinancialend userwith a materialswapsexposurenor aswapentity,thecoveredswapentityshall collect initial margin at such times andin such forms and suchamounts (if any), that thecovered swap entitydetermines appropriatelyaddresses thecreditriskposedbythe counterpartyand the risks of such non-cleared swapor non-clearedsecurity-basedswap.
[80 FR 74902, Nov. 30, 2015]