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Title 12: Banks and Banking
CHAPTER IX: FEDERAL HOUSING FINANCE BOARD
SUBCHAPTER G: FEDERAL HOME LOAN BANK ASSETS AND OFF-BALANCE SHEET ITEMS
PART 956: FEDERAL HOME LOAN BANK INVESTMENTS
956.6 - Use of hedging instruments.
(a) Applicability of GAAP. Derivative instruments that do not qualify as hedging instruments pursuant to GAAP may be used only if a non-speculative use is documented by the Bank.
(b) Documentation requirements. (1) Transactions with a single counterparty shall be governed by a single master agreement when practicable.
(2) A Bank's agreement with the counterparty for over-the-counter derivative contracts shall include:
(i) A requirement that market value determinations and subsequent adjustments of collateral be made at least on a monthly basis;
(ii) A statement that failure of a counterparty to meet a collateral call will result in an early termination event;
(iii) A description of early termination pricing and methodology, with the methodology reflecting a reasonable estimate of the market value of the over-the-counter derivative contract at termination (standard International Swaps and Derivatives Association, Inc. language relative to early termination pricing and methodology may be used to satisfy this requirement); and
(iv) A requirement that the Bank's consent be obtained prior to the transfer of an agreement or contract by a counterparty.
[66 FR 8321, Jan. 30, 2001]
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