New York Codes, Rules and Regulations
Title 3 - BANKING
Chapter I - GENERAL REGULATIONS OF THE SUPERINTENDENT
Part 117 - LENDING LIMITS: INCLUSION OF CREDIT EXPOSURES ARISING FROM DERIVATIVE TRANSACTIONS
Section 117.3 - Credit Derivatives
Current through Register Vol. 46, No. 12, March 20, 2024
(a) Credit exposure to a counterparty.
A bank shall calculate its credit exposure to a counterparty arising from credit derivatives by adding the net notional value of all protection purchased from the counterparty with respect to each reference exposure.
(b) Credit exposure with respect to a reference exposure.
A bank shall calculate the credit exposure with respect to a reference exposure arising from credit derivatives entered by the bank by adding the notional value of all protection sold on such reference exposure.
(c) Exposure mitigants.
In computing the exposures in subdivisions (a) and (b) of this section, the bank may take into account exposure mitigants to the extent specified in section 117.4 of this Part.
