What rules apply to derivative transactions?

CFR · 2024-01-01 · US · Title 12

(a) (b) (1) Monitoring and controlling the credit exposure arising at any one time from the member bank's derivative transactions with each affiliate and all affiliates in the aggregate (through, among other things, imposing appropriate credit limits, mark-to-market requirements, and collateral requirements); and (2) Ensuring that the member bank's derivative transactions with affiliates comply with the market terms requirement of § 223.51. (c) (1) An agreement under which the member bank, in exchange for a fee, agrees to compensate the nonaffiliate for any default of the underlying obligation of the affiliate; and (2) An agreement under which the member bank, in exchange for payments based on the total return of the underlying obligation of the affiliate, agrees to pay the nonaffiliate a spread over funding costs plus any depreciation in the value of the underlying obligation of the affiliate.

official document · source cfr-2024 · id 12:§ 223.33