Common use of Quantitative requirements Clause in Contracts

Quantitative requirements. (1) The covered swap entity’s initial margin model must calculate an amount of ini- tial margin that is equal to the poten- tial future exposure of the non-cleared swap, non-cleared security-based swap or netting portfolio of non-cleared swaps or non-cleared security-based swaps covered by an eligible master netting agreement. Potential future exposure is an estimate of the one- tailed 99 percent confidence interval for an increase in the value of the non- cleared swap, non-cleared security- based swap or netting portfolio of non- cleared swaps or non-cleared security- based swaps due to an instantaneous price shock that is equivalent to a movement in all material underlying risk factors, including prices, rates, and spreads, over a holding period equal to the shorter of ten business days or the maturity of the non-cleared swap, non-cleared security-based swap or netting portfolio.