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2020-02-05
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Standardized Approach for Calculating the Exposure Amount of Derivative Contracts
Part II
Rules and Regulations
D09002ee1bdb6122a
D09002ee1bdb61306
United States
Department of the Treasury
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org
United States Government Agency or Subagency
United States
Office of the Comptroller of the Currency
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org
United States Government Agency or Subagency
United States
Federal Reserve System
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org
United States Government Agency or Subagency
United States
Federal Deposit Insurance Corporation
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org
United States Government Agency or Subagency
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.
85 FR 4362
https://www.govinfo.gov/app/details/FR-2020-01-24/2019-27249
2019-27249
fr24ja20-18
RIN 1557-AE44
RIN 7100-AF22
RIN 3064-AE80
4810-33-P
Docket ID OCC-2018-0030
Docket No. R-1629
https://www.govinfo.gov/app/details/FR-2020-01-24/2019-27249
https://www.govinfo.gov/content/pkg/FR-2020-01-24/html/2019-27249.htm
https://www.govinfo.gov/content/pkg/FR-2020-01-24/pdf/2019-27249.pdf
Banks
Banking
Federal Reserve System
Holding Companies
Administrative Practice and Procedure
Capital
National Banks
Risk
Reporting and Recordkeeping Requirements
Capital Adequacy
Savings Associations
State Non-Member Banks
Bank Deposit Insurance
83 p.
4362
4444
85 FR 4362
Code of Federal Regulations
Title 12 Part 217
12 CFR Part 217
Code of Federal Regulations
Title 12 Part 32
12 CFR Part 32
Code of Federal Regulations
Title 12 Part 324
12 CFR Part 324
Code of Federal Regulations
Title 12 Part 327
12 CFR Part 327
Code of Federal Regulations
Title 12 Part 3
12 CFR Part 3
Regulation Identification Number 1557-AE44
RIN 1557-AE44
Regulation Identification Number 7100-AF22
RIN 7100-AF22
Regulation Identification Number 3064-AE80
RIN 3064-AE80
Standardized Approach for Calculating the Exposure Amount of Derivative Contracts; Federal Register Vol. 85, Issue
RULE
2019-27249
II
DEPARTMENT OF THE TREASURY
Office of the Comptroller of the Currency
FEDERAL RESERVE SYSTEM
FEDERAL DEPOSIT INSURANCE CORPORATION
2020-04-01
2022-01-01
Docket ID OCC-2018-0030
Docket No. R-1629
4810-33-P
2019-27249
Final rule.
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.
Effective date: April 1, 2020. Mandatory compliance date: January 1, 2022, for advanced approaches banking organizations.
OCC: Margot Schwadron, Director or Guowei Zhang, Risk Expert, Capital Policy, (202) 649-7106; Kevin Korzeniewski, Counsel, or Ron Shimabukuro, Senior Counsel, Chief Counsel's Office, (202) 649-5490; or, for persons who are deaf or hearing impaired, TTY, (202) 649-5597.
Banks
Banking
Federal Reserve System
Holding Companies
Administrative Practice and Procedure
Capital
National Banks
Risk
Reporting and Recordkeeping Requirements
Capital Adequacy
Savings Associations
State Non-Member Banks
Bank Deposit Insurance
Standardized Approach for Calculating the Exposure Amount of Derivative Contracts,
bbean@fdic.gov
cawood@fdic.gov
ileonova@fdic.gov
mphillips@fdic.gov
pyen@fdic.gov
http://www.bis.org/publ/bcbs128.pdf
https://www.bis.org/bcbs/publ/d424.pdf
https://www.bis.org/bcbs/publ/d451.pdf
https://www.bis.org/bcbs/publ/d457.pdf
https://www.bis.org/bcbs/publ/d467.pdf
https://www.bis.org/publ/bcbs107.pdf
https://www.bis.org/publ/bcbs279.pdf
https://www.bis.org/publ/bcbs282.pdf
https://www.treasury.gov/resource-center/international/g7-g20/Documents/pittsburgh_summit_leaders_statement_250909.pdf
Federal Register
Vol. 85, no. 16
Office of the Federal Register, National Archives and Records Administration
2020-01-24
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389 p.
Table of Contents:
AE 2.7:
GS 4.107:
AE 2.106:
KF70.A2
https://www.govinfo.gov/app/details/FR-2020-01-24
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https://www.govinfo.gov/app/details/FR-2020-01-24
https://www.govinfo.gov/content/pkg/FR-2020-01-24/pdf/FR-2020-01-24.pdf
https://www.govinfo.gov/content/pkg/FR-2020-01-24/xml/FR-2020-01-24.xml
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