Cleared transactions.

CFR · 2024-01-01 · US · Title 12

(a) (2) [Reserved] (b) (ii) A clearing member client System institution's total risk-weighted assets for cleared transactions is the sum of the risk-weighted asset amounts for all its cleared transactions. (2) (A) The exposure amount for the derivative contract or netting set of derivative contracts, calculated using the current exposure method (CEM) for OTC derivative contracts under § 628.34; plus (B) The fair value of the collateral posted by the clearing member client System institution and held by the central counterparty (CCP), clearing member, or custodian in a manner that is not bankruptcy remote. (ii) For a cleared transaction that is a repo-style transaction, the trade exposure amount equals: (A) The exposure amount for the repo-style transaction calculated using the collateral haircut methodology under § 628.37(c); plus (B) The fair value of the collateral posted by the clearing member client System institution and held by the CCP or a clearing member in a manner that is not bankruptcy remote. (3) (A) Two (2) percent if the collateral posted by the System institution to the QCCP or clearing member is subject to an arrangement that prevents any losses to the clearing member client System institution due to the joint default or a concurrent insolvency, liquidation, or receivership proceeding of the clearing member and any other clearing member clients of the clearing member; and the clearing member client System institution has conducted sufficient legal review to co

official document · source cfr-2024 · id 12:§ 628.35