Standardized Approach for Calculating the Exposure Amount of Derivative Contracts
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Standardized Approach for Calculating the Exposure Amount of Derivative Contracts

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  • Publisher's site:
  • 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:
  • 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:
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  • File Type:

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