Banking agencies extend comment period by one month for counterparty credit risk measuring proposal

The comment period was extended Friday by one month for a proposed rule to update the standards for regulators about how financial firms measure counterparty credit risk posed by derivative contracts.

The extension means comments are now due March 18; the original comment period closed Friday (Feb. 15), according to the Federal Deposit Insurance Corp. (FDIC), the Federal Reserve, and the Office of the Comptroller of the Currency (OCC).

The proposal – released Oct. 30 but not published in the Federal Register until Dec. 17, with a 60-day comment period that started on that day – would provide the “standardized approach for measuring counterparty credit risk,” also known as “SA-CCR” as an alternative approach to the agencies’ current exposure methodology, or CEM, for calculating derivative exposure under the agencies’ regulatory capital rules, the agencies said.

According to the notice published in December, an advanced approaches banking organization also would be required to use SA-CCR to calculate its standardized total risk-weighted assets; by contrast, a non-advanced approaches banking organization could elect to use either CEM or SA-CCR to make that calculation.

The proposal would also modify other aspects of the capital rule to account for the proposed implementation of SA-CCR.

“With the extension, the agencies will have provided interested parties with approximately four and a half months from the date the proposal was publicly released to review the proposal,” the agencies said in their extension notice.

Agencies extend comment period on proposed standardized approach for calculating the exposure amount of derivative contracts