Source: http://frederickmarylandlaws.com/stafford-traffic-court/
Timestamp: 2018-05-23 18:58:09
Document Index: 560290494

Matched Legal Cases: ['§ 3', '§ 3', '§ 3', '§ 3', '§ 3', '§ 3']

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(4) Eligible purchased wholesale exposures. A national bank or Federal savings association must assign a PD, LGD, EAD, and M to each segment of eligible purchased wholesale exposures. If the national bank or Federal savings association can estimate ECL (but not PD or LGD) for a segment of eligible purchased wholesale exposures, the national bank or Federal savings association must assume that the LGD of the segment equals 100 percent and that the PD of the segment equals ECL divided by EAD. The estimated ECL must be calculated for the exposures without regard to any assumption of recourse or guarantees from the seller or other parties.
(5) Credit risk mitigation: credit derivatives, guarantees, and collateral.
(i) A national bank or Federal savings association may take into account the risk reducing effects of eligible guarantees and eligible credit derivatives in support of a wholesale exposure by applying the PD substitution or LGD adjustment treatment to the exposure as provided in§ 3.134 or, if applicable, applying double default treatment to the exposure as provided in§ 3.135. A national bank or Federal savings association may decide separately for each wholesale exposure that qualifies for the double default treatment under § 3.135 whether to apply the double default treatment or to use the PD substitution or LGD adjustment treatment without recognizing double default effects.
(ii) A national bank or Federal savings association may take into account the risk reducing effects of guarantees and credit derivatives in support of retail exposures in a segment when quantifying the PD and LGD of the segment.
(iii) Except as provided in paragraph (d)(6) of this section, a national bank or Federal savings association may take into account the risk reducing effects of collateral in support of a wholesale exposure when quantifying the LGD of the exposure, and may take into account the risk reducing effects of collateral in support of retail exposures when quantifying the PD and LGD of the segment.
(6) EAD for OTC derivative contracts, repo-style transactions, and eligible margin loans. A national bank or Federal savings association must calculate its EAD for an OTC derivative contract as provided in§ 3.132 (c) and (d). A national bank or Federal savings association may take into account the risk-reducing effects of financial collateral in support of a repo-style transaction or eligible margin loan and of any collateral in support of a repo-style transaction that is included in the national bank’s or Federal savings association’s VaR-based measure under subpart F of this part through an adjustment to EAD as provided in§ 3.132(b) and (d). A national bank or Federal savings association that takes collateral into account through such an adjustment to EAD under§ 3.132 may not reflect such collateral in LGD.
(7) Effective maturity. An exposure’s M must be no greater than five years and no less than one year, except that an exposure’s M must be no less than one day if the exposure is a trade related letter of credit, or if the exposure has an original maturity of less than one year and is not part of a national bank’s or Federal savings association’s ongoing financing of the obligor. An exposure is not part of a national bank’s or Federal savings association’s ongoing financing of the obligor if the national bank or Federal savings association: