Federal Register: Technical Corrections for Updated Calculation of Derivative Contract Exposure Amounts
Technical corrections to an OCC, Federal Reserve Board and FDIC (collectively, the "Agencies") standardized approach to calculating the exposure amount of derivative contracts under the "regulatory capital rule" were published in the Federal Register. The corrections, among other things, conform the amendatory text with the Supplementary Information of the rule.
As previously covered, the Agencies adopted a standardized approach for counterparty credit risk ("SA-CCR") that replaces the current exposure methodology ("CEM"). Pursuant to the final rule, (i) advanced-approaches banking organizations are required to use SA-CCR to calculate their standardized total risk-weighted assets, and (ii) non-advanced-approaches banking organizations are allowed to use either CEM or SA-CCR when calculating standardized total risk-weighted assets.
The technical corrections are effective immediately.
Available only to Premium subscribers.