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Federal Deposit
Insurance Corporation

Each depositor insured to at least $250,000 per insured bank

Financial Institution Letters

FIL-67-2018
October 30, 2018

Regulatory Capital Rule:

New Standardized Approach for Calculating the Exposure Amount of Derivative Contracts

Printable Format:

FIL-67-2018 - PDF (PDF Help)

Summary:

The federal bank regulatory agencies (the agencies) have jointly issued a Notice of Proposed Rulemaking (NPR), which would amend the regulatory capital rule (capital rule) to implement a new approach for calculating the exposure amount for derivative contracts, which is called the standardized approach for counterparty credit risk (SA-CCR). The NPR also incorporates SA-CCR into the determination of exposure amount of derivatives for total leverage exposure under the supplementary leverage ratio and the cleared transaction framework under the capital rule. Further, the NPR would make technical amendments to the capital rule with respect to cleared transactions.

Statement of Applicability: This Financial Institution Letter is applicable to all FDIC-supervised institutions. However, only advanced approaches banking organizations would be required to use SA-CCR.

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Note:

FDIC Financial Institution Letters (FILs) may be accessed from the FDIC's Web site at https://www.fdic.gov/news/news/financial/2018/.

To receive FILs electronically, please visit http://www.fdic.gov/about/subscriptions/fil.html.

Paper copies may be obtained through the FDIC's Public Information Center, 3501 Fairfax Drive, E-1002, Arlington, VA 22226 (1-877-275-3342 or 703-562-2200).

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