‘‘(VI) a bank holding company 
described in subsection (a); and 
‘‘(VII) any subsidiary of a bank 
holding company described in sub-
section (a). 
‘‘(ii) IN GENERAL.—For purposes of 
determining the amount of capital required 
under the risk-based capital requirements 
and leverage limits required under sub-
paragraph (A)(i), consolidated assets shall 
include the fair value and potential future 
exposure of derivatives exposures, without 
recognizing the benefits of any netting ar-
rangement, unless the netting arrange-
ment— 
‘‘(I)(aa) is documented under a 
formal master netting agreement or 
other formal arrangement with a de-
rivatives clearing organization reg-
istered with a primary Federal finan-
cial regulatory agency; and 
‘‘(bb) meets financial standards 
approved by the Board of Governors 
and the Corporation; or 
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‘‘(II)(aa) is documented under a 
formal master netting agreement with 
a counterparty; and 
‘‘(bb) requires the covered finan-
cial institution, as a matter of ongoing 
business practice, to— 
‘‘(AA) exchange collateral 
daily for the fulfillment of vari-
ation margin requirements on a 
net basis; and 
‘‘(BB) fulfill all contractual 
payment requirements, including 
payments for contract determina-
tion, on a net basis, with such 
net exchange of collateral and 
payments encompassing all de-
rivatives exposures covered by the 
formal arrangement. 
‘‘(D) TOTAL
DERIVATIVES
RISK
EXPO-
SURES.—For purposes of determining the 
amount of capital required under leverage limits 
required under subparagraph (A)(i)— 
‘‘(i) total derivatives risk exposures 
shall not be assessed at a level less than 2 
percent of total gross notional derivatives 
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contracts to which the covered financial in-
stitution, as defined in subparagraph 
(C)(i), is a party; and 
‘‘(ii) such leverage limits shall not 
vary for derivatives exposures as compared 
to other assets.’’. 
SEC. 204. REPORT ON CLEARINGHOUSES. 
(a) IN GENERAL.—Not later than 1 year after the 
date of enactment of this Act, the Commodity Futures 
Trading Commission, the Office of the Comptroller of the 
Currency, the Federal Deposit Insurance Corporation, and 
the Board of Governors of the Federal Reserve System 
shall jointly publish a report that answers the following 
questions: 
(1) Are prefunded default funds at major clear-
inghouses, along with prefunded liquidity resources, 
adequate to absorb losses and continue operations in 
the event of the failure of multiple large clearing 
members during a systemic stress event affecting the 
financial system as a whole? 
(2) Are capital and liquidity resources associ-
ated with cleared derivatives at clearinghouse mem-
bers adequate to meet clearinghouse capital and 
margin calls that might occur during a systemic 
stress event associated with the failure of multiple 
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large clearing members during a systemic stress 
event? 
(3) Based on planned resource levels at clear-
inghouses and major clearing members, in what 
ways might a lack of prefunded resources at a clear-
ing house, or the level of member capital and liquid-
ity resources associated with cleared derivatives, con-
tribute to increased financial system stress during a 
systemic event? 
(4) How would the answers to the questions in 
paragraphs (1) through (3) be affected if portfolio 
correlation levels in clearinghouse margin and de-
fault fund models were significantly lower than those 
assumed in current risk models? 
(5) Are such lower correlation levels possible in 
a stress event? 
(6) Are capital levels held by clearinghouses 
currently adequate to align risk management incen-
tives between clearinghouses themselves, their mem-
bers, and end user clients of their members? 
(7) Do the fiduciary duties of clearinghouse 
management to their stockholders in any way con-
flict with the public interest? 
(b) POLICY RECOMMENDATIONS.—The report re-
quired under subsection (a) shall contain policy rec-
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ommendations associated with the answers to the ques-
tions posed under paragraphs (1) through (7) of that sub-
section. 
Æ 
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