Collateralized transactions.

CFR · 2024-01-01 · US · Title 12

(a) (i) The collateral haircut approach set forth in paragraph (b)(2) of this section; and (ii) For single product netting sets of repo-style transactions and eligible margin loans, the simple VaR methodology set forth in paragraph (b)(3) of this section. (2) An Enterprise may use any combination of the two methodologies for collateral recognition; however, it must use the same methodology for similar exposures or transactions. (b) (i) The collateral haircut approach described in paragraph (b)(2) of this section; or (ii) For netting sets only, the simple VaR methodology described in paragraph (b)(3) of this section. (2) (ii) (A) An Enterprise must use the haircuts for market price volatility (H (B) For currency mismatches, an Enterprise must use a haircut for foreign exchange rate volatility (H (C) For repo-style transactions and client-facing derivative transactions, an Enterprise may multiply the supervisory haircuts provided in paragraphs (b)(2)(ii)(A) and (B) of this section by the square root of (D) An Enterprise must adjust the supervisory haircuts upward on the basis of a holding period longer than ten business days (for eligible margin loans) or five business days (for repo-style transactions), using the formula provided in paragraph (b)(2)(ii)(F) of this section where the conditions in this paragraph (b)(2)(ii)(D) apply. If the number of trades in a netting set exceeds 5,000 at any time during a quarter, an Enterprise must adjust the supervisory haircuts upward on th

official document · source cfr-2024 · id 12:§ 1240.39