Final rule on counterparty credit risk measurement (SA-CCR) slated, at long last, for Federal Register publication

A final rule adopted last November that implements a standardized approach for measuring counterparty credit risk (SA-CCR), and which begins taking effect April 1, is slated for publication Friday in the Federal Register.

The rule – 366 pages long in draft form – was adopted by the Federal Deposit Insurance Corp. (FDIC), Federal Reserve Board, and Office of the Comptroller of the Currency (OCC) to replace the “current exposure methodology” for large, internationally active banking organizations with SA-CCR. Other, smaller banking organizations may voluntarily adopt SA-CCR.

The final rule allows an advanced approaches banking organization to use SA-CCR or the internal models methodology to calculate its advanced approaches total risk-weighted assets; however, it is required to 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.

The rule takes effect April 1, 2020, with compliance required by Jan. 1, 2022, for advanced approaches organizations.

Reg lookup: Standardized Approach for Calculating the Exposure Amount of Derivative Contracts