§1240.31. Mechanics for calculating risk-weighted assets for general credit risk.
12 C.F.R. § 1240.31
General risk-weighting requirements. An Enterprise must apply risk weights to its exposures as follows:
An Enterprise must determine the exposure amount of each mortgage exposure, each other on-balance sheet exposure, each OTC derivative contract, and each off-balance sheet commitment, trade and transaction-related contingency, guarantee, repo-style transaction, forward agreement, or other similar transaction that is not:
An unsettled transaction subject to § 1240.40;
A cleared transaction subject to § 1240.37;
A default fund contribution subject to § 1240.37;
A retained CRT exposure, acquired CRT exposure, or other securitization exposure subject to §§ 1240.41 through 1240.46;
An equity exposure (other than an equity OTC derivative contract) subject to §§ 1240.51 and 1240.52; or
CVA risk-weighted assets subject to § 1240.36(d).
An Enterprise must multiply each exposure amount by the risk weight appropriate to the exposure based on the exposure type or counterparty, eligible guarantor, or financial collateral to determine the risk-weighted asset amount for each exposure.
Total risk-weighted assets for general credit risk. Total risk-weighted assets for general credit risk equals the sum of the risk-weighted asset amounts calculated under this section.
Notes, amendments, and revision history
Amendments
[88 FR 82198, Dec. 17, 2020, as amended at 88 FR 83476, Nov. 30, 2023]
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.
Amendments
[88 FR 82198, Dec. 17, 2020, as amended at 88 FR 83476, Nov. 30, 2023]