Agencies Propose Rule to Update Calculation of Derivative Contract Exposure Amounts Under Regulatory Capital Rules


On October 30, the Federal Reserve Board, the Federal Depository Insurance Corporation and the Office of the Comptroller of the Currency (collectively, the “Agencies“) proposed changes to their standards for how large federal institutions measure counterparty credit risk posed by derivatives contracts under the Agencies’ regulatory capital rules. The proposal would provide the “standardized approach for measuring counterparty credit risk” as an alternative approach to the Agencies’ current exposure methodology for calculating derivative exposure. Release.