§1240.123. Advanced approaches credit risk-weighted asset calculations.
12 C.F.R. § 1240.123
An Enterprise must use its advanced systems to determine its credit risk capital requirements for each of the following exposures:
General credit risk (including for mortgage exposures);
Cleared transactions;
Default fund contributions;
Unsettled transactions;
Securitization exposures;
Equity exposures; and
The fair value adjustment to reflect counterparty credit risk in valuation of OTC derivative contracts.
The credit-risk-weighted assets calculated under this subpart E equals the aggregate credit risk capital requirement under paragraph (a) of this section multiplied by 12.5.
Notes, amendments, and revision history
Authority
Authority: 12 U.S.C. 4511, 4513, 4513b, 4514, 4515, 4517, 4526, 4611-4612, 4631-36.
Source
Source: 85 FR 82198, Dec. 17, 2020, unless otherwise noted.