OCC Bulletin 2020-7| February 18, 2020
Standardized Approach for Counterparty Credit Risk: Final Rule
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
On January 24, 2020, the Office of the Comptroller of the Currency, the Board of Governors of the Federal Reserve System, and the Federal Deposit Insurance Corporation (collectively, the agencies) published a final rule to provide an updated framework for measuring the exposure amount of derivatives contracts. The final rule replaces the existing current exposure methodology (CEM) with the standardized approach for counterparty credit risk (SA-CCR) for banks subject to the advanced approaches, while permitting smaller banks to use CEM or SA-CCR. SA-CCR is a more risk-sensitive approach that better reflects industry practices including margining for derivative contracts.
This bulletin rescinds OCC Bulletin 2018-45, "Capital: Notice of Proposed Rulemaking," which was issued on December 17, 2018.
Note for Community Banks
Under the final rule, community banks have the option, but are not required, to use the SA-CCR framework.
The final rule
- requires advanced approaches banks to use the SA-CCR framework for measuring the exposure amount for derivatives contracts in place of CEM starting January 1, 2022.
- permits all banks to use SA-CCR in place of CEM starting April 1, 2020.
- makes technical amendments to the capital rule with respect to certain derivatives transactions.
Please contact Guowei Zhang, Risk Expert, Capital Policy Division, at (202) 649-6370, or Kevin Korzeniewski, Counsel, Chief Counsel's Office, at (202) 649-5490.
Jonathan V. Gould
Senior Deputy Comptroller and Chief Counsel