ISDA 2016 Variation Margin Protocol: Margin Rules Compliance Guide - United States

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Derivatives Alert: ISDA 2016 Variation Margin Protocol – Margin Rules Compliance Guide US

Derivatives Alert

The International Swaps and Derivatives Association, Inc. has published the ISDA 2016 Variation Margin Protocol. The VM Protocol aims to facilitate compliance with the margin rules of various jurisdictions, including the United States.

This Guide is intended to facilitate a determination by parties that are or will become subject to margin rules in the United States as to whether they will adhere to the VM Protocol, and if so, what elections to make. 

In addition, for purposes of determining whether the various VM Protocol methods result in functional compliance, over-compliance, under-compliance, or ambiguous compliance with the margin rules in effect in the United States as of the date of this Guide, we set forth a chart summarizing the various requirements, their treatment under each method, and a color-coded statement of compliance status.

Finally, for purposes of assessing both the New CSA Method (as defined in the VM Protocol) and the form of ISDA 2016 Credit Support Annex for Variation Margin, set forth beneath the chart is a summary of the terms that would apply upon application of the New CSA Method and that differ in a material respect from the 1994 CSA Form.

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