Asset class | Gross initial margin (% of notional exposure) |
Credit: 0-2 year duration | 2 |
Credit: 2-5 year duration | 5 |
Credit: 5+ year duration | 10 |
Commodity | 15 |
Equity | 15 |
Foreign Exchange/Currency | 6 |
Cross Currency Swaps: 0-2 year duration | 1 |
Cross Currency Swaps: 2-5 year duration | 2 |
Cross Currency Swaps: 5+ year duration | 4 |
Interest Rate: 0-2 year duration | 1 |
Interest Rate: 2-5 year duration | 2 |
Interest Rate: 5+ year duration | 4 |
Other | 15 |
17 C.F.R. §23.154