16 Jun Derivatives Cheat Sheets
Making Sense of Derivatives Reform
Derivative Cheat Sheets to make sense of derivatives reform.
- 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 swaps clearinghouses, calculating the initial margin for Swaps, or using haircut levels to calculate the value of collateral, view the Swaps Clearing and Collateral pages or click on Swap Margin in the Knowledge Center.