Collateralized transactions.

CFR · 2024-01-01 · US · Title 12

(a) (i) The simple approach in paragraph (b) of this section for any exposure; or (ii) The collateral haircut approach in paragraph (c) of this section for repo-style transactions, eligible margin loans, collateralized derivative contracts, and single-product netting sets of such transactions. (2) A Board-regulated institution may use any approach described in this section that is valid for a particular type of exposure or transaction; however, it must use the same approach for similar exposures or transactions. (b) (ii) To qualify for the simple approach, the financial collateral must meet the following requirements: (A) The collateral must be subject to a collateral agreement for at least the life of the exposure; (B) The collateral must be revalued at least every six months; and (C) The collateral (other than gold) and the exposure must be denominated in the same currency. (2) (ii) A Board-regulated institution must apply a risk weight to the unsecured portion of the exposure based on the risk weight applicable to the exposure under this subpart. (3) (i) A Board-regulated institution may assign a zero percent risk weight to an exposure to an OTC derivative contract that is marked-to-market on a daily basis and subject to a daily margin maintenance requirement, to the extent the contract is collateralized by cash on deposit. (ii) A Board-regulated institution may assign a 10 percent risk weight to an exposure to an OTC derivative contract that is marked-to-market daily and

official document · source cfr-2024 · id 12:§ 217.37