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FRS | RIN: 7100-AF22 | Publication ID: Spring 2019 |
Title: ●Standardized Approach for Calculating the Exposure Amount of Derivative Contracts (Docket No: R-1629) | |
Abstract:
The Board of Governors of the Federal Reserve System (Board), the Federal Deposit Insurance Corporation (FDIC), and the Office of the Comptroller of the Currency (OCC) (together, the Agencies) invited public comment on a proposal that would implement a new approach for calculating the exposure amount of derivative contracts under the Agencies’ regulatory capital rule. The proposed approach, called the standardized approach for counterparty credit risk (SA-CCR), would replace the current exposure methodology (CEM) as an additional methodology for calculating advanced approaches total risk-weighted assets under the capital rule. An advanced approaches banking organization also would be required to use SA-CCR to calculate its standardized total risk-weighted assets; a non-advanced approaches banking organization could elect to use either CEM or SA-CCR for calculating its standardized total risk-weighted assets. In addition, the proposal would modify other aspects of the capital rule to account for the proposed implementation of SA-CCR. Specifically, the proposal would require an advanced approaches banking organization to use SA-CCR with some adjustments to determine the exposure amount of derivative contracts for calculating total leverage exposure (the denominator of the supplementary leverage ratio). The proposal also would incorporate SA-CCR into the cleared transactions framework and would make other amendments, generally with respect to cleared transactions. The proposed introduction of SA-CCR would indirectly affect the Board's single counterparty credit limit rule, along with other rules. The OCC is proposing to update cross-references to CEM and add SA-CCR as an option for determining exposure amounts for derivative contracts in its lending limit rules.
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Agency: Federal Reserve System(FRS) | Priority: Substantive, Nonsignificant |
RIN Status: First time published in the Unified Agenda | Agenda Stage of Rulemaking: Proposed Rule Stage |
Major: No | Unfunded Mandates: No |
EO 13771 Designation: Independent agency | |
CFR Citation: 12 CFR 217 12 CFR 324 12 CFR 32 12 CFR 3 | |
Legal Authority: 12 U.S.C. 248(a) 12 U.S.C. 321 12 U.S.C. 481 12 U.S.C. 1818 12 U.S.C. 1851 |
Legal Deadline:
None |
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Timetable:
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Regulatory Flexibility Analysis Required: No | Government Levels Affected: None |
Federalism: No | |
Included in the Regulatory Plan: No | |
RIN Data Printed in the FR: No | |
Agency Contact: Constance Horsley Deputy Associate Director Federal Reserve System Division of Supervision and Regulation, Washington, DC 20551 Phone:202 452-5239 David Lynch Deputy Associate Director Federal Reserve System Division of Supervision and Regulation, Washington, DC 20551 Phone:202 452-2081 Elizabeth MacDonald Manager Federal Reserve System Division of Supervision and Regulation, Washington, DC 20551 Phone:202 475-6316 |