Standardized Approach for Calculating the Exposure Amount of Derivative Contracts

Details

• Publisher's site:
  https://www.fdic.gov/|FDIC.gov
• Corporate Authors:
  Federal Deposit Insurance Corporation (FDIC)
• Content Notes:
  Figure 1: Overview of SA-CCR Under the Final Rule (Pg 4365-4366)
  
  Table 1: Scope and Applicability of the Final Rule (Pg 4367-4368)
  
  Table 2: Supervisory Option Volatility and Supervisory Factors for Derivative Contracts (Pg 4385)
  
  Table 3: Supervisory Delta Adjustment for Options (Pg 4386)
  
  Table 1 to § 3.34—Conversion Factor Matrix for Derivative Contracts (Pg 4403)
  
  Table: [Footnote Redesignation] (Pg 4405)
  
  Table 2 to § 3.132—Supervisory Delta Adjustment for Options Contracts (Pg 4409)
  
  Table 3 to § 3.132—Supervisory Option Volatility, Supervisory Correlation Parameters, and Supervisory Factors for Derivative Contracts (Pg 4411)
  
  Table 13 to § 3.173—Supplementary Leverage Ratio (Pg 4414)
  
  Table 1 to § 217.34—Conversion Factor Matrix for Derivative Contracts (Pg 4418)
  
  Table: [Footnote Redesignation] (Pg 4419)
  
  Table 2 to § 217.132—Supervisory Delta Adjustment for Options Contracts (Pg 4424)
  
  Table 3 to § 217.132—Supervisory Option Volatility, Supervisory Correlation Parameters, and Supervisory Factors for Derivative Contracts (Pg 4426)
  
  Table 13 to § 217.173—Supplementary Leverage Ratio (Pg 4428-4429)
  
  Table 1 to § 324.34—Conversion Factor Matrix for Derivative Contracts (Pg 4432)
  
  Table: [Footnote Redesignation] (Pg 4434)
  
  Table 2 to § 324.132—Supervisory Delta Adjustment for Options Contracts (Pg 4438)
  
  Table 3 to § 324.132—Supervisory Option Volatility, Supervisory Correlation Parameters, and Supervisory Factors for Derivative Contracts (Pg 4440)
  
  Table 13 to § 324.132—Supplementary Leverage Ratio (Pg 4443)
  
  VI. Description of Scorecard Measures (Pg 4443-4444)
  
  
• Dataset Download URL:
  https://www.govinfo.gov/content/pkg/FR-2020-01-24/pdf/2019-27249.pdf
• Format:
  PDF
• Release Date:
  01/24/2020
• Agencies Involved:
  Federal Deposit Insurance Corporation (FDIC) ; Office of the Comptroller of the Currency (OCC) ; Board of Governors of the Federal Reserve System (The Fed) ; U.S. Small Business Administration (SBA) ; Office of Management and Budget (OMB) ; Government Accountability Office (GAO)
• Law Involved:
  Securities Exchange Act of 1934 (Exchange Act) ; Dodd-Frank Wall Street Reform and Consumer Protection Act (Dodd-Frank Act) ; Commodity Exchange Act (CEA) ; Regulatory Flexibility Act (RFA) ; Unfunded Mandates Reform Act of 1995 (UMRA) ; Paperwork Reduction Act of 1995 (PRA) ; Congressional Review Act (CRA) ; Gramm-Leach-Bliley Act ; Riegle Community Development and Regulatory Improvement Act (RCDRIA) ; Economic Growth and Regulatory Paperwork Reduction Act (EGRPRA)
• Other Institutions Involved:
  Basel Committee on Banking Supervision (BCBS) ; Group of Twenty (G20)
• Related Regulation:
  12 CFR Parts 3 and 32 ; 12 CFR Part 217
• Source:
  FDIC Website/GovInfo
• Effective Date:
  04/01/2020
• Federal Register Citation Number:
  85 FR 4362
• CFR Number:
  12 CFR Part 324 ; 12 CFR Part 327
• RIN Indentifier:
  RIN 3064–AE80
• Other Agency Docket IDs:
  Docket ID OCC–2018–0030 ; Docket No. R–1629
• Main Document Checksum:
  urn:sha256:0375a8566b73bb3b7ad3cf6ee4408bed3e698a98b2789163e176dcc3483524f3
• Download URL:
  https://archive.fdic.gov/view/fdic/14038/fdic_14038_DS1.pdf
• File Type:
  [PDF - 1.91 MB ]