Financial Institution Letter
|Counterparty Credit Risk Management: Supervisory Guidance||FIL-53-2011
July 5, 2011
|Summary:||The FDIC, with the Board of Governors of the Federal Reserve System, the Office of the Comptroller of the Currency, and the Office of Thrift Supervision, is issuing guidance to clarify supervisory expectations and sound practices for an effective counterparty credit risk (CCR) management framework. The guidance emphasizes that banks should use appropriate reporting metrics and limits systems, have well- developed and comprehensive stress testing, and maintain systems that facilitate measurement and aggregation of CCR throughout the organization.
Summary of Applicability to Institutions under $ 1 Billion in Total Assets: This guidance applies to banks with significant derivatives portfolios. It does not apply to banks with limited derivatives exposure, particularly noncomplex exposures that are typical for community banks, such as embedded caps and floors on assets or liabilities, forward agreements to sell mortgages, or isolated interest rate swaps. Banks using derivatives that are more complex and/or those with significant noncomplex derivatives exposure should refer to the guidance for applicable risk management principles and practices.
FDIC-Supervised Banks (Commercial and Savings)
Complete Financial Institution Letter: http://www.fdic.gov/news/news/financial/2011/fil11053.html
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