Joint Release/Agencies Propose Rule to Update Calculation of Derivative Contract Exposure Amounts under Regulatory Capital Rules — 2018-10-30

Agencies Propose Rule to Update Calculation of Derivative Contract Exposure Amounts under Regulatory Capital Rules Three federal banking agencies on Tuesday invited public comment on a proposal to update their standards for how firms measure counterparty credit risk posed by derivative contracts under the agencies' regulatory capital rules. The proposed changes are designed to better reflect the current derivatives market and incorporate risks observed during the 2007-2008 financial crisis. The proposal, jointly issued by the Federal Reserve Board, Federal Deposit Insurance Corporation, and the Office of the Comptroller of the Currency, 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.