OCC Comments on Decision by Federal Bank Regulatory Agencies to Finalize Rule to Update Calculation of Counterparty Credit Risk for Derivatives Contracts

November 18, 2019
Chicago -

OCC, the world's largest equity derivatives clearing organization, today issued the following statement from Executive Chairman Craig Donohue regarding the decision by the federal bank regulatory agencies to finalize the rule to update the calculation of counterparty credit risk for derivatives contracts.

"We commend the Federal Reserve, the Federal Deposit Insurance Corporation, and the Office of the Comptroller of the Currency for finalizing a rule to update how certain bank-affiliated clearing member firms measure counterparty credit risk posed by derivative contracts under the agencies' regulatory capital rules. The new methodology, called the Standardized Approach for Counterparty Credit Risk (SA-CCR), replaces the current exposure methodology (CEM) for calculating exposures to derivatives contracts such as listed options under the capital rules. This action addresses many of the issues OCC and the U.S. listed options industry have highlighted with policymakers for several years. We appreciate the agencies' work to finalize this important measure which will enhance the ability of firms to offer clearance and settlement services to market makers and other liquidity providers who are vital to the functioning of the U.S. listed options market."

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