Derivative contracts.

CFR · 2024-01-01 · US · Title 12

(a) (A) (B) ( (ii) (A) (B) ( ( (2) (b) (2) (ii) A credit union's total risk-weighted assets for cleared transactions is the sum of the risk-weighted asset amounts for all its cleared transactions. (3) (i) The exposure amount for the derivative contract or netting set of derivative contracts, calculated using the methodology used to calculate exposure amount for OTC interest rate derivative contracts under paragraph (a) of this section; plus (ii) The fair value of the collateral posted by the credit union and held by the, clearing member, or custodian. (4) (i) Two percent if the collateral posted by the credit union to the DCO or clearing member is subject to an arrangement that prevents any losses to the credit union 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 credit union has conducted sufficient legal review to conclude with a well-founded basis (and maintains sufficient written documentation of that legal review) that in the event of a legal challenge (including one resulting from an event of default or from liquidation, insolvency, or receivership proceedings) the relevant court and administrative authorities would find the arrangements to be legal, valid, binding and enforceable under the law of the relevant jurisdictions; or (ii) Four percent if the requirements of paragraph (b)(4)(i) are not met. (5) (c) (2) As an

official document · source cfr-2024 · id 12:§ 702.105