Standardized Approach for Calculating the Exposure Amount of Derivative Contracts

Title: Standardized Approach for Calculating the Exposure Amount of Derivative Contracts
Subject: Derivatives
Agency: OCC, Federal Reserve, FDIC
Status: Final rule
Summary:

The Office of the Comptroller of the Currency, the Board of Governors of the Federal Reserve System, and the Federal Deposit Insurance Corporation are issuing a final rule to implement a new approach—the standardized approach for counterparty credit risk (SA-CCR)—for calculating the exposure amount of derivative contracts under these agencies’ regulatory capital rule. Under the final rule, an advanced approaches banking organization may use SA-CCR or the internal models methodology to calculate its advanced approaches total risk-weighted assets, and must use SA-CCR, instead of the current exposure methodology, to calculate its standardized total risk-weighted assets. A non- advanced approaches banking organization may use the current exposure methodology or SA-CCR to calculate its standardized total risk-weighted assets. The final rule also implements SA-CCR in other aspects of the capital rule. Notably, the final rule requires an advanced approaches banking organization to use SA-CCR to determine the exposure amount of derivative contracts included in the banking organization’s total leverage exposure, the denominator of the supplementary leverage ratio. In addition, the final rule incorporates SA-CCR into the cleared transactions framework and makes other amendments, generally with respect to cleared transactions.

FR Doc: 2019-27249; 2020-06755 (notification for early adoption on “best efforts” basis); 2020-17744 (correction)
Date proposed: Oct. 30, 2018
Comments due date: March 18, 2019
Final rule effective date: April 1, 2020; Jan. 1, 2022, for advanced approaches banking organizations

Adoption may be immediate on a “best efforts” basis per notification published March 31, 2020

Correction published and effective Sept. 17, 2020

Rule compliance date:
Agency release:

Agencies propose rule to update calculation of derivative contract exposure amounts under regulatory capital rules

Related Reg Report item(s): Banking agencies propose new standards for measuring counterparty credit risk in derivative contracts

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