Regulatory Alerts2018-12-17 | 2018-24924Added
Standardized Approach for Calculating the Exposure Amount of Derivative Contracts
The Board of Governors of the Federal Reserve System, the Federal Deposit Insurance Corporation, and the Office of the Comptroller of the Currency propose implementing a new standardized approach for counterparty credit risk (SA-CCR) to calculate the exposure amount of derivative contracts under their regulatory capital rules. Advanced approaches banking organizations would be required to use SA-CCR for calculating standardized total risk-weighted assets and total leverage exposure, while non-advanced approaches banking organizations could elect to use either the current exposure methodology or SA-CCR. The proposal also revises the cleared transactions framework and sets a transition period requiring implementation by July 1, 2020.
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