CFTC – Issues Advisory to Swap Dealers regarding the use of Internal Models in Calculating Minimum Capital Requirements

June 22, 2021 – Advise swap dealers that they may use internal models in calculating minimum capital requirements, specifically initial margin, without NFA authorization.

Advisory Details
Advisory issued in response to inquiries as swap dealer capital and financial reporting requirements compliance. Entity dually registered as an FCM and swap dealer (FCM/SD), or registered solely as standalone SD, is not required to obtain CFTC/NFA authorization related to internal model use. To calculate the initial margin on uncleared swaps for purposes of determining minimum capital requirements under CFTC regulations, firms may use models other than ISDA. The margin model must meet standards of CFTC regulation 23.154(b)(2), 17 CFR 23.154.

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