Gross credit exposure.

CFR · 2024-01-01 · US · Title 12

(a) (1) A deposit of the covered company held by the counterparty, loan by a covered company to the counterparty, and lease in which the covered company is the lessor and the counterparty is the lessee, equal to the amount owed by the counterparty to the covered company under the transaction. (2) A debt security or debt investment held by the covered company that is issued by the counterparty, equal to: (i) The market value of the securities, for trading and available-for-sale securities; and (ii) The amortized purchase price of the securities or investments, for securities or investments held to maturity. (3) An equity security held by the covered company that is issued by the counterparty, equity investment in a counterparty, and other direct investments in a counterparty, equal to the market value. (4) A securities financing transaction must be valued using any of the methods that the covered company is authorized to use under 12 CFR part 217, subparts D and E to value such transactions: (i)(A) As calculated for each transaction, in the case of a securities financing transaction between the covered company and the counterparty that is not subject to a bilateral netting agreement or does not meet the definition of “repo-style transaction” in § 217.2 of this chapter; or (B) As calculated for a netting set, in the case of a securities financing transaction between the covered company and the counterparty that is subject to a bilateral netting agreement with that counterparty

official document · source cfr-2024 · id 12:§ 238.153