Standardized Approach for Calculating the Exposure Amount of Derivative Contracts
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This Document Has Been Replaced By: Standardized Approach for Calculating the Exposure Amount of Derivative Contracts

Standardized Approach for Calculating the Exposure Amount of Derivative Contracts

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Details:

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

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