OCC BULLETIN 2018-45
Date: December 17, 2018
To: 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
Description: Notice of Proposed Rulemaking
On December 17, 2018, the Office of the Comptroller of the Currency (OCC), Board of Governors of the Federal Reserve System, and Federal Deposit Insurance Corporation (collectively, the agencies) published a notice of proposed rulemaking (NPR) to provide an updated framework for measuring derivative counterparty credit exposure. The proposed rule would replace 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 of netting derivative contracts and exchanging margin.
The proposed rule would
Please contact Guowei Zhang, Risk Expert, Capital Policy Division, at (202) 649-7106; or Kevin Korzeniewski, Counsel, Chief Counsel’s Office, at (202) 649-5490.