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Financial Institution Letters

August 14, 2017

Regulatory Capital Treatment of Certain Centrally-Cleared Derivative Contracts Under the FDIC's Capital Rule

Printable Format:

FIL-33-2017 - PDF (PDF Help)


The FDIC is issuing the attached letter that provides supervisory guidance on the regulatory capital treatment of certain centrally-cleared, settled-to-market derivative contracts. Certain central counterparties have revised their rulebooks such that variation margin is considered a settlement payment and not collateral. If an FDIC-supervised institution determines the transfer of variation margin on a centrally-cleared, settled-to-market contract settles any outstanding exposure on the contract and resets the fair value of the contract to zero, the contract's remaining maturity is the time until the next exchange of variation margin. This guidance may affect a derivative contract's calculation of potential future exposure, which uses a conversion factor based, in part, on the contract's remaining maturity.

Statement of Applicability to Institutions with Total Assets Under $1 Billion: This Financial Institution Letter applies to all FDIC-supervised institutions.



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