ISDA Regulatory Initial Margin AANA Self-Disclosure Letter (October 31, 2019)

ISDA Regulatory Initial Margin AANA Self-Disclosure Letter (October 31, 2019)

The ISDA Regulatory Initial Margin AANA Self-Disclosure Letter (the “SDL”) and accompanying Answer Sheet, published on October 31, 2019, are intended to provide a standard form for market participants to communicate certain information needed to determine which trading relationships are, or may become, subject to regulatory initial margin (“IM”) requirements, and how IM calculations will need to be performed. This expands on (and supersedes) the Initial Margin Self-Disclosure Letter published in 2018. In particular, the SDL allows an entity to disclose information identifying whether it is a member of a group, and which AANA thresholds (by regime) the entity (or its group) has exceeded for the relevant year. This information will allow the parties to determine how to calculate IM amounts to comply with IM obligations from the relevant compliance date.

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