Operational requirements for counterparty credit risk.

CFR · 2024-01-01 · US · Title 12

For purposes of calculating risk-weighted assets under subpart D of this part: (a) (1) The offsetting transaction must be identified by the CCP as a transaction for the clearing member client. (2) The collateral supporting the transaction must be held in a manner that prevents the Enterprise from facing any loss due to an event of default, including from a liquidation, receivership, insolvency, or similar proceeding of either the clearing member or the clearing member's other clients. (3) The Enterprise must conduct sufficient legal review to conclude with a well-founded basis (and maintain sufficient written documentation of that legal review) that in the event of a legal challenge (including one resulting from a default or receivership, insolvency, liquidation, or similar proceeding) the relevant court and administrative authorities would find the arrangements of paragraph (a)(2) of this section to be legal, valid, binding and enforceable under the law of the relevant jurisdictions. (4) The offsetting transaction with a clearing member must be transferable under the transaction documents and applicable laws in the relevant jurisdiction(s) to another clearing member should the clearing member default, become insolvent, or enter receivership, insolvency, liquidation, or similar proceedings. (b) (1) Meets the requirements of paragraph (1)(iii) of the definition of “eligible margin loan” in § 1240.2, and (2) Is legal, valid, binding, and enforceable under applicable law in the

official document · source cfr-2024 · id 12:§ 1240.3