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OCC Bulletin 2020-82 | September 21, 2020

Standardized Approach for Counterparty Credit Risk; Correction: Final Rule

To

Chief Executive Officers of All National Banks, Federal Savings Associations, and Federal Branches and Agencies; Department and Division Heads; All Examining Personnel; and Other Interested Parties

Summary

The Office of the Comptroller of the Currency (OCC), along with the Board of Governors of the Federal Reserve System and the Federal Deposit Insurance Corporation (collectively, the agencies), published a final rule in the Federal Register on September 17, 2020, that makes technical corrections to certain provisions of the capital rule related to the standardized approach for counterparty credit risk (SA-CCR), which is used for calculating the exposure amount of derivative contracts. The final rule is effective as of September 17, 2020.

Note for Community Banks

Community banks have the option, but are not required, to adopt the SA-CCR methodology. The technical corrections in this final rule apply to community banks that elect to use the SA-CCR methodology.

Highlights 

The final rule corrects certain errors in the SA-CCR provisions of the agencies’ capital rule. The corrections include:

  • Clarifying that a banking organization that uses SA-CCR will be permitted to exclude the potential future exposure of all credit derivatives or other similar instruments through which it provides credit protection from total leverage exposure.
  • Revising the number of outstanding margin disputes related to application of a higher margin period of risk. 
  • Correcting the calculation of the hypothetical capital requirement of a qualifying central counterparty. 
  • Correcting various cross-references and typographical errors within the capital rule.

Further Information

Please contact Margot Schwadron, Director, or Guowei Zhang, Risk Expert, Capital Policy, at (202) 649-6370; or Daniel Perez, Senior Attorney, or Daniel Sufranski, Attorney, Chief Counsel’s Office, at (202) 649-5490.

 

Jonathan V. Gould
Senior Deputy Comptroller and Chief Counsel

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