Regulatory Alerts2020-09-17 | 2020-17744Standardized Approach for Calculating the Exposure Amount of Derivative Contracts Correction
The Office of the Comptroller of the Currency, Federal Reserve Board, and FDIC issued this final rule to implement technical corrections to the capital rule governing the standardized approach for counterparty credit risk (SA-CCR). The amendments update cross-references, replace U.S. GAAP with the defined term GAAP, clarify potential future exposure exclusions for credit derivatives, and correct typographical errors in supervisory duration formulas and margin dispute thresholds. Effective immediately upon publication, these revisions ensure banking organizations calculate derivative exposure amounts consistently with the original January 2020 rule and its supplementary information.
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