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    US Agencies Extend Consultation Period for the Proposed SA-CCR

    February 26, 2019

    US Agencies (FDIC, FED, and OCC) extended the comment period for a proposed rule to update their standards for how firms measure counterparty credit risk posed by derivative contracts. This proposal would amend the agencies’ capital rule to implement the standardized approach for calculating the exposure amount of derivatives contracts. The comment period has been extended until March 18, 2019.

    The proposal was released by the agencies on October 30, 2018, with a sixty-day comment period that began after publication in the Federal Register on December 17, 2018. The proposal would provide the "standardized approach for measuring counterparty credit risk," also known as "SA-CCR" as an alternative approach to the agencies' current exposure methodology, or CEM, for calculating derivative exposure under the agencies' regulatory capital rules. With the extension, the agencies will have provided interested parties with approximately four and a half months from the date the proposal was publicly released to review the proposal. The proposal includes a transition period, until July 01, 2020, by which time an advanced approaches banking organization must implement the standardized approach for counterparty credit risk (SA-CCR). An advanced approaches banking organization may, however, adopt SA-CCR as of the effective date of the final rule.

     

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    Comment Due Date: March 18, 2019

    Keywords: Americas, US, Banking, Basel III, SA-CCR, Advanced Approaches, Standardized Approach, Regulatory Capital, Derivatives Contracts, US Agencies

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