Regulatory Alerts2013-12-01
Added · Updated
Final: 905 Loan Limitations: Credit Exposure to Derivative Transactions
The State Bank Commissioner adopts an amendment to Regulation 905 establishing rules for calculating credit exposure arising from derivative transactions to determine bank loan limitations under Section 909 of Title 5 of the Delaware Code. The regulation defines key terms such as eligible credit derivatives and effective margining arrangements, and mandates that banks calculate counterparty credit exposure using one of four specified methods: the Internal Model Method, Conversion Factor Matrix Method, Remaining Maturity Method, or Current Exposure Method. Special provisions address credit derivatives, central counterparties, and intraday exposures, with the amended regulation becoming effective on December 11, 2013.