16 Jun Derivatives Cheat Sheets
Making Sense of Derivatives Reform
These Derivative Cheat Sheets will help make sense of derivatives reform.
The attached PDF includes 3 resources:
- Page 1 – Matrix of the differences between Cleared and Uncleared Swaps (Source: MHDS LLC)
- Page 2 – Haircuts suggested for non-centrally cleared (bilateral) swaps (Source: BIS)
- Page 3 – % of the notional amount to be collected as initial margin for uncleared swaps (Source: BIS)
If you have any questions on calculating initial margin or using haircut levels to calculate the value of collateral, view the Swaps Clearing and Collateral pages and click on Swap Margin in the Knowledge Center.