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Final rule on calculation of counterparty risk

A final rule updating how certain banking organizations are required to measure counterparty credit risk for derivative contracts under their regulatory capital rules has been jointly announced by the Federal Reserve, FDIC, and OCC. The final rule implements the "standardized approach for measuring counterparty credit risk," also known as SA-CCR and will replace the "current exposure methodology" for large, internationally active banking organizations, while other, smaller banking organizations may voluntarily adopt SA-CCR.

The rule, which will affect OCC regulations at 12 CFR parts 3 and 32, Federal Reserve Regulation Q (12 CFR part 217), and FDIC regulations at 12 CFR parts 324 and 327, will be effective April 1, 2020, with a mandatory compliance date of January 1, 2022, for advanced approaches banking organizations.

UPDATE: Published at 85 FR 4362 on 1/24/2020.

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