§45.4. Variation margin. — Inbound Citations

(1) September 1, 2016 with respect to the requirements in § 45.3 for initial margin and § 45.4 for variation margin for any non-cleared swaps and non-cleared security-based swaps, where both:

(i) The covered swap entity combined with all its affiliates; and

(ii) Its counterparty combined with all its affiliates, have an average daily aggregate notional amount of non-cleared swaps, non-cleared security-based swaps, foreign exchange forwards and foreign exchange swaps for March, April and May 2016 that exceeds $3 trillion, where such amounts are calculated only for business days; and

(iii) In calculating the amounts in paragraphs (e)(1)(i) and (ii) of this section, an entity shall count the average daily aggregate notional amount of a non-cleared swap, a non-cleared security-based swap, a foreign exchange forward or a foreign exchange swap between the entity and an affiliate only one time, and shall not count a swap or security-based swap that is exempt pursuant to paragraph (d) of this section.

(a) Provides the covered swap entity and its counterparty with the contractual right to collect and post initial margin and variation margin in such amounts, in such form, and under such circumstances as are required by this subpart, and at such time as initial margin or variation margin is required to be collected or posted under § 45.3 or § 45.4, as applicable; and

(1) For purposes of calculating and complying with the initial margin requirements of § 45.3 using an initial margin model as described in § 45.8, or with the variation margin requirements of § 45.4, a covered swap entity may net non-cleared swaps or non-cleared security-based swaps in accordance with this subsection.

(a) The requirements of §§ 45.3 through 45.8 and §§ 45.10 through 45.12 shall not apply to any foreign non-cleared swap or foreign non-cleared security-based swap of a foreign covered swap entity.

(iv) The covered swap entity collects initial margin for the non-cleared swap or non-cleared security-based swap in accordance with § 45.3(a) in the form of cash pursuant to § 45.6(b)(1), and posts and collects variation margin in accordance with § 45.4(a) in the form of cash pursuant to § 45.6(b)(1); and

(f) A covered swap entity may collect or post initial margin and variation margin that is required by § 45.3(d) or § 45.4(c) or that is not required pursuant to this part in any form of collateral.