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Comments due on derivatives exposure proposal

03/18/2019
Status: 

The Board of Governors of the Federal Reserve System, the Federal Deposit Insurance Corporation, and the Office of the Comptroller of the Currency have published [83 FR 64660] a proposal that would implement a new approach for calculating the exposure amount of derivative contracts under the agencies' regulatory capital rule. The proposed approach, called the standardized approach for counterparty credit risk (SA-CCR), would replace the current exposure methodology (CEM) as an additional methodology for calculating advanced approaches total risk-weighted assets under the capital rule. Comments are due by February 15, 2019.

UPDATE: On 2/15/19, the agencies issued a notice extending the comment period until March 18, 2019.

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