US Agencies (FDIC, FED, and OCC) published technical corrections to certain provisions of the capital rule on the standardized approach for counterparty credit risk (SA-CCR). The SA-CCR is used to calculate the exposure amount of derivative contracts. The amendatory text of the SA-CCR final rule did not accurately reflect the treatment described in the Supplementary Information section of the SA-CCR final rule for the certain items. This final rule corrects the capital rule of US Agencies, consistent with the Supplementary Information section of the SA-CCR final rule. The final rule on SA-CCR was published in January 2020 while this final rule on technical corrections went into effect from September 17, 2020.
The recent technical corrections revise the capital rule to:
- Clarify 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
- Revise the number of outstanding margin disputes related to application of a higher margin period of risk
- Correct the calculation of the hypothetical capital requirement of a qualifying central counterparty
- Correct various cross-references and typographical errors in the capital rule that are no longer accurate as of the SA-CCR final rule's effective date
Effective Date: September 17, 2020
Keywords: Americas, US, Banking, Basel, SA-CCR, Regulatory Capital, Counterparty Credit Risk, Standardized Approach, Derivatives, US Agencies
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