(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 section 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.
