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OCC Bulletin 2017-27
August 14, 2017
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Chief Executive Officers of All National Banks and Federal Savings Associations; Federal Branches and Agencies of Foreign Banks; Department and Division Heads; All Examining Personnel; and Other Interested Parties
The Board of Governors of the Federal Reserve System, the Federal Deposit Insurance Corporation, and the Office of the Comptroller of the Currency (OCC) today issued interagency guidance on the regulatory capital treatment of certain centrally cleared derivative contracts in light of recent changes to the rulebooks of certain central counterparties. The variation margin for certain centrally cleared derivative contracts and netting sets of centrally cleared derivative contracts is considered a settlement payment for the exposure that arises from marking the cleared derivative contracts to fair value (settled-to-market contracts).
This guidance applies to all national banks and federal savings associations (collectively, banks) that have entered into centrally cleared derivative contracts.
Please contact Margot Schwadron, Director of Capital Policy, or Guowei Zhang, Capital Policy Risk Expert, at (202) 649-6370.
Grace E. Dailey
Senior Deputy Comptroller and Chief National Bank Examiner
1 Refer to 12 CFR 3.34, table 1, footnote 2. Also refer to 12 CFR 3.132, table 2, footnote 2.
2 For example, a central counterparty’s rulebook may require a bank to satisfy additional obligations, such as payment of other expenses and fees, in order to recognize payment of variation margin as satisfying settlement under the rulebook. The bank’s legal and accounting analysis should take all such requirements into account.