Bankowość · 24/01/2020

US Regulators Unveil New Approach for Calculating Derivative Contract Exposure

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 the standardized approach for counterparty credit risk (SA-CCR) for calculating the exposure amount of derivative contracts under their regulatory capital rule. This new approach will be used by advanced approaches banking organizations to calculate their advanced approaches total risk-weighted assets and will replace the current exposure methodology for these organizations.