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 117.4 - Exposure Mitigants

Universal Citation: 3 NY Comp Codes Rules and Regs ยง 117.4

Current through Register Vol. 46, No. 12, March 20, 2024

(a) Netting.

In computing the credit exposures arising from derivative transactions of a bank with a particular counterparty with whom such bank has in force a qualifying master netting agreement, such bank may net the credit exposures covered by such qualifying master netting agreement.

(b) Collateral.

In computing the credit exposures arising from derivative transactions of a bank with a particular counterparty, such credit exposures may be reduced to the extent that such credit exposures have been secured with readily marketable collateral under an effective margining arrangement. The amount of such reduction shall be equal to the value of such collateral multiplied by the percentage applicable to such type of collateral as may be prescribed by the superintendent from time to time.

(c) Hedging.

In computing the credit exposures arising from derivative transactions of a bank with a particular counterparty or with respect to a particular reference exposure, such credit exposures may be reduced to the extent hedged by an eligible credit derivative from an eligible protection provider.

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