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)
• Description:
  This Federal Register contains 57 comments and 30 staff disclosures. The comments can be found in the Supporting Files section.
• Content Notes:
  Table 1: Scope and Applicability of the Proposed Rule (Pg 64663)
  
  Table 2: Supervisory Option Volability and Supervisory Factors for Derivative Contracts (Pg 64675-64676)
  
  Table 3: Supervisory Delta Adjustment for Options (Pg 64676)
  
  Table 4: Contractual Terms for the Derivative Contracts (Pg 64678)
  
  Table 5: § 3.34-Conversion Factor Matrix for Derivative Contracts (Pg 64691)
  
  Table 6: §3.132-Supervisory Delta Adjustment for Options Contracts (Pg 64697)
  
  Table 7: §3.132-Supervisory Option Volatility, Supervisory Correlation Parameters, and Supervisory Factors for Derivative Contracts (Pg 64699)
  
  Table 8: § 217.34 Conversion Factor Matrix for Derivative Contracts (Pg 64704)
  
  Table 9: § 217.132 Supervisory Delta Adjustment for Options Contracts (Pg 64710)
  
  Table 10: § 217.132 Supervisory Option Volatility, Supervisory Correlation Parameters, and Supervisory Factors for Derivative Contracts (Pg 64712)
  
  Table 11: §324.132 Supervisory Delta Adjustment for Options Contracts (Pg 64723)
  
  Table 12: §324.132 Supervisory Option Volatility, Supervisory Correlation Parameters, and Supervisory Factors for Derivative Contracts (Pg 64725)
  
  
• Dataset Download URL:
  https://www.govinfo.gov/content/pkg/FR-2018-12-17/pdf/2018-24924.pdf
• Format:
  PDF
• Release Date:
  12/17/2018
• Update Date:
  02/26/2019
• Agencies Involved:
  Federal Deposit Insurance Corporation (FDIC) ; Office of the Comptroller of the Currency (OCC) ; Board of Governors of the Federal Reserve System
• Related Regulation:
  12 CFR Part 3 and 32 ; 12 CFR Part 217 ; 12 CFR Part 324
• Comment Period End Date:
  03/18/2019
• Source:
  FDIC Website/GovInfo
• Federal Register Citation Number:
  83 FR 64660
• CFR Number:
  12 CFR Part 324
• RIN Indentifier:
  RIN 3064–AE80
• Other Agency Docket IDs:
  OCC: Docket ID OCC–2018–0030 ; Federal Reserve: Docket R–1629
• Main Document Checksum:
  urn:sha256:07e18bb8fd38fc499ead792c6d502483e0246767a1a40de8de3fc93d97f620c6
• Download URL:
  https://archive.fdic.gov/view/fdic/8801/fdic_8801_DS1.pdf
• File Type:
  [PDF - 1.23 MB ]