Initial margin models and standardized amounts.

CFR · 2024-01-01 · US · Title 12

(a) (b) (c) (2) A covered swap entity must demonstrate that the initial margin model satisfies all of the requirements of this section on an ongoing basis. (3) A covered swap entity must notify FHFA in writing 60 days prior to: (i) Extending the use of an initial margin model that FHFA has approved under this section to an additional product type; (ii) Making any change to any initial margin model approved by FHFA under this section that would result in a material change in the covered swap entity's assessment of initial margin requirements; or (iii) Making any material change to modeling assumptions used by the initial margin model. (4) FHFA may rescind its approval of the use of any initial margin model, in whole or in part, or may impose additional conditions or requirements if FHFA determines, in its sole discretion, that the initial margin model no longer complies with this section. (d) (2) All data used to calibrate the initial margin model must be based on an equally weighted historical observation period of at least one year and not more than five years and must incorporate a period of significant financial stress for each broad asset class that is appropriate to the non-cleared swaps and non-cleared security-based swaps to which the initial margin model is applied. (3) The covered swap entity's initial margin model must use risk factors sufficient to measure all material price risks inherent in the transactions for which initial margin is being calculated. The risk c

official document · source cfr-2024 · id 12:§ 1221.8