Code of Federal Regulations (Last Updated: May 6, 2024) |
Title 12 - Banks and Banking |
Chapter II - Federal Reserve System |
SubChapter A - Board of Governors of the Federal Reserve System |
Part 217 - Capital Adequacy of Bank Holding Companies, Savings and Loan Holding Companies, and State Member Banks (Regulation Q) |
Subpart E - Risk-Weighted Assets - Internal Ratings-Based and Advanced Measurement Approaches |
Risk-Weighted Assets for Equity Exposures |
§ 217.155 - Equity derivative contracts.
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§ 217.155 Equity derivative contracts.
(a) Under the IMA, in addition to holding risk-based capital against an equity derivative contract under this part, a Board-regulated institution must hold risk-based capital against the counterparty credit risk in the equity derivative contract by also treating the equity derivative contract as a wholesale exposure and computing a supplemental risk-weighted asset amount for the contract under § 217.132.
(b) Under the SRWA, a Board-regulated institution may choose not to hold risk-based capital against the counterparty credit risk of equity derivative contracts, as long as it does so for all such contracts. Where the equity derivative contracts are subject to a qualified master netting agreement, a Board-regulated institution using the SRWA must either include all or exclude all of the contracts from any measure used to determine counterparty credit risk exposure.