Special rules for affiliates.

CFR · 2024-01-01 · US · Title 12

(a)(1) A covered swap entity shall calculate on each business day an initial margin collection amount for each counterparty that is a swap entity or financial end user with a material swaps exposure and an affiliate of the covered swap entity. (2) If the aggregate of all initial margin collection amounts calculated under paragraph (a)(1) of this section does not exceed 15 percent of the covered swap entity's tier 1 capital, the requirements for a covered swap entity to collect initial margin under § 624.3(a) do not apply with respect to any non-cleared swap or non-cleared security-based swap with a counterparty that is an affiliate. (3) On each business day that the aggregate of all initial margin collection amounts calculated under paragraph (a)(1) of this section exceeds 15 percent of the covered swap entity's tier 1 capital: (i) The covered swap entity shall collect initial margin under § 624.3(a) for each additional non-cleared swap and non-cleared security-based swap executed that business day with a counterparty that is a swap entity or financial end user with a material swaps exposure and an affiliate of the covered swap entity, commencing on the day after execution and continuing on a daily basis as required under § 624.3(c), until the earlier of; (A) The termination date of such non-cleared swap or non-cleared security-based swap, or (B) The business day on which the aggregate of all initial margin collection amounts calculated under paragraph (a)(1) of this section

official document · source cfr-2024 · id 12:§ 624.11