N.Y. Comp. Codes R. & Regs. tit. 3 § 117.3
Current through Register Vol. 46, No. 53, December 31, 2024
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.
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.
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.
N.Y. Comp. Codes R. & Regs. Tit. 3 § 117.3