Introduction and exposure measurement.

CFR · 2024-01-01 · US · Title 12

(a) (2) A national bank or Federal savings association must treat an investment in a separate account (as defined (3) (A) The policy owner of a separate account an amount equal to the shortfall between the fair value and cost basis of the separate account when the policy owner of the separate account surrenders the policy, or (B) The beneficiary of the contract an amount equal to the shortfall between the fair value and book value of a specified portfolio of assets. (ii) A national bank or Federal savings association that purchases stable value protection on its investment in a separate account must treat the portion of the carrying value of its investment in the separate account attributable to the stable value protection as an exposure to the provider of the protection and the remaining portion of the carrying value of its separate account as an equity exposure to an investment fund. (iii) A national bank or Federal savings association that provides stable value protection must treat the exposure as an equity derivative with an adjusted carrying value determined as the sum of § 3.151(b)(1) and (2). (b) (1) For the on-balance sheet component of an equity exposure, the national bank's or Federal savings association's carrying value of the exposure; (2) For the off-balance sheet component of an equity exposure, the effective notional principal amount of the exposure, the size of which is equivalent to a hypothetical on-balance sheet position in the underlying equity instrument

official document · source cfr-2024 · id 12:§ 3.151