OCC Updates Credit Concentration Guidance to Include Securitizations and Correlations
The OCC has released version 3.0 of its “Concentrations of Credit” booklet, redefining risk metrics for banks’ securitized exposures.
The Federal Reserve’s Office of the Comptroller of the Currency (OCC) issued a new version of the “Concentrations of Credit” booklet on 30 September 2026, replacing the prior version 2.0 and rescinding Bulletin 2020‑90. The updated guidance brings securitizations and correlated exposures under tighter concentration limits and clarifies how to calculate risk-weighted assets for such assets. Banks must reassess their credit concentration reporting, adjust risk‑management frameworks, and update internal control documentation to reflect the new correlation assumptions. Failure to comply could lead to increased capital requirements and supervisory scrutiny. Firms advising banks should review client portfolios for securitized and highly correlated assets, quantify potential new concentration limits, and help clients adjust risk models and capital plans accordingly. Banks should convene their risk officers by mid‑October to model the adjustments.