Regulatory Capital Rule: New Standardized Approach for Calculating the Exposure Amount of Derivative Contracts
Summary
The federal bank regulatory agencies (the agencies) have jointly issued a Notice of Proposed Rulemaking (NPR), which would amend the regulatory capital rule (capital rule) to implement a new approach for calculating the exposure amount for derivative contracts, which is called the standardized approach for counterparty credit risk (SA-CCR). The NPR also incorporates SA-CCR into the determination of exposure amount of derivatives for total leverage exposure under the supplementary leverage ratio and the cleared transaction framework under the capital rule. Further, the NPR would make technical amendments to the capital rule with respect to cleared transactions.
Statement of Applicability to Institutions under $1 Billion in Total Assets:
This Financial Institution Letter is applicable to all FDIC-supervised institutions. However, only advanced approaches banking organizations would be required to use SA-CCR.
Suggested Distribution:
FDIC-supervised Institutions
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