Covered entities, meaning financial firms and systemically important non-financial firms, must exchange initial and variation margin on non-centrally cleared derivatives between covered entities (MGN10.5-10.7, MGN20.3). Central banks, sovereigns, multilateral development banks, the BIS and non-systemic non-financial firms are not covered (MGN10.6). Physically settled FX forwards and swaps are outside the requirements, and the fixed principal exchange of cross-currency swaps is excluded from initial margin only (MGN10.2-10.3). Variation margin must be exchanged in full with a zero threshold on a regular basis, for example daily (MGN20.4, MGN20.26-20.27). Initial margin must be exchanged bilaterally with a threshold of at most 50 million euro applied across both consolidated groups (MGN10.8-10.11, MGN20.5), and all transfers may use a minimum transfer amount of at most 500,000 euro (MGN20.6). After phase-in, initial margin applies where non-centrally cleared activity reaches 8 billion euro gross notional (MGN20.7). Initial margin must reflect a one-tailed 99% confidence interval over 10 days, calibrated to include financial stress (MGN20.9), using a supervisor-approved model or the standardised schedule (for example 1% to 4% for interest rate, 6% FX, 15% equity) adjusted by the net-to-gross ratio (MGN20.10-20.17), without cherry-picking between methods (MGN20.20). Dispute procedures and enforceable netting opinions are required (MGN20.24-20.25).
The graph holds this control, the 0 it maps to, and the evidence behind each claim, over MCP and REST.