Derivatives Cheat Sheets

Derivatives Cheat Sheet

These Derivative Cheat Sheets will help make sense of derivatives reform

Cleared & Bilateral

Haircuts & Collateral 

The attached file shows it all on three pages

The attached PDF file includes 3 resources:

Page 1 – matrix of the various aspects and differences between Clearing a swap and entering into a bilateral swap (OTC)   (Source: MHDS LLC)

Page 2 – Haircuts suggested for non-centrally cleared ( Bilateral) Swaps  (Source: BIS)

Page 3- % of Notional to be collected as Initial Margin (Independent Amount) for Bilateral swaps (BIS)

 

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CLICK THE IMAGE TO ACCESS MATRICES

 

If you have any questions on calculating initial margin & using haircut levels to calculate the value of collateral, click on the examples on this page.   Or click ON TAP KNOWLEDGE on the right sidebar and I’ll answer your question asap.

The attached file will be updated to reflect new terms related to the revisions proposed by the CFTC once comment period ends and revisions are ruled upon.

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