US regulators set out new counterparty credit risk standard

The US Federal Reserve, the Federal Deposit Insurance Corporation (FDIC) and the Office of the Comptroller of the Currency (OCC) have set out new standards in relation to how firms measure counterparty credit risk posed by derivative contracts under the US regulatory capital rules. Under the new rules, for credit derivative contracts and equity derivative contracts issuing banks will be required to use the same formula to determine the hedging set amount for both its credit derivative contracts