Counterparty credit risk of repo-style transactions, eligible margin loans, and OTC derivative contracts.

CFR · 2024-01-01 · US · Title 12

(a) (i) The collateral haircut approach set forth in paragraph (b)(2) of this section; (ii) The internal models methodology set forth in paragraph (d) of this section; and (iii) 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) A Board-regulated institution may use any combination of the three methodologies for collateral recognition; however, it must use the same methodology for transactions in the same category. (3) A Board-regulated institution must use the methodology in paragraph (c) of this section, or with prior written approval of the Board, the internal model methodology in paragraph (d) of this section, to calculate EAD for an OTC derivative contract or a set of OTC derivative contracts subject to a qualifying master netting agreement. To estimate EAD for qualifying cross-product master netting agreements, a Board-regulated institution may only use the internal models methodology in paragraph (d) of this section. (4) A Board-regulated institution must also use the methodology in paragraph (e) of this section to calculate the risk-weighted asset amounts for CVA for OTC derivatives. (b) (i) The collateral haircut approach described in paragraph (b)(2) of this section; (ii) For netting sets only, the simple VaR methodology described in paragraph (b)(3) of this section; or (iii) The internal models methodology described in paragraph (d) of this section. (2)

official document · source cfr-2024 · id 12:§ 217.132