Regulatory Alerts2012-11-01
Added · Updated
Proposed Regulation 905: Loan Limitations for Credit Exposure to Derivative Transactions
The State Bank Commissioner proposes adopting new Regulation 905 to establish rules for calculating credit exposure arising from derivative transactions for Delaware banks, aligning state lending limits with Section 909 of Title 5 of the Delaware Code and the Dodd-Frank Act. The regulation defines key terms and mandates that banks calculate counterparty credit exposure using one of three methods: the Internal Model Method, the Conversion Factor Matrix Method, or the Remaining Maturity Method, with specific formulas and factors provided for each. It further specifies how to handle credit derivatives, intraday exposures, and nonconforming loans resulting from post-execution increases in exposure, while inviting public comments by December 3, 2012.