Capital Adequacy: Calculation of Credit Equivalent Amounts of Off-Balance Sheet Contracts

概要

The Office of the Comptroller of the Currency (OCC) is proposing to amend its risk-based capital guidelines for national banks. This proposed rule would revise and expand the set of off- balance sheet credit conversion factors used to calculate the potential future exposure of derivative contracts and permit banks to net multiple derivative contracts that are subject to a qualifying bilateral netting contract when calculating the potential future credit exposure. This proposed rule is based on the July 15, 1994, proposed revisions to the Agreement on International Convergence of Capital Measurement and Capital Standards of July 1988 (Basle Accord). The effect of this proposed rule would be twofold. First, long-dated interest rate and foreign exchange rate contracts would be subject to new higher off-balance sheet credit conversion factors and new conversion factors would be established specifically for derivative contracts related to equities, precious metals, and other commodities. Second, national banks generally would recognize a reduction in potential future credit exposure for multiple derivative contracts subject to a qualifying bilateral netting contract.