---
kind: "section"
citation: "12 C.F.R. § 1240.123"
title: "12"
number: "1240.123"
heading: "Advanced approaches credit risk-weighted asset calculations."
url: "https://uscodex.org/cfr/12/1240.123"
---

# §1240.123. Advanced approaches credit risk-weighted asset calculations.

- (a) An Enterprise must use its advanced systems to determine its credit risk capital requirements for each of the following exposures:
  - (1) General credit risk (including for mortgage exposures);
  - (2) Cleared transactions;
  - (3) Default fund contributions;
  - (4) Unsettled transactions;
  - (5) Securitization exposures;
  - (6) Equity exposures; and
  - (7) The fair value adjustment to reflect counterparty credit risk in valuation of OTC derivative contracts.
- (b) The credit-risk-weighted assets calculated under this subpart E equals the aggregate credit risk capital requirement under [paragraph (a)](#a) of this section multiplied by 12.5.

## Notes

### 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.