---
kind: "section"
citation: "17 C.F.R. § 23.103"
title: "17"
number: "23.103"
heading: "Calculation of market risk exposure requirement and credit risk requirement when models are not approved."
url: "https://uscodex.org/cfr/17/23.103"
---

# §23.103. Calculation of market risk exposure requirement and credit risk requirement when models are not approved.

- (a) **Non-model approach.** A swap dealer that:
  - (1) Computes its regulatory capital requirements under § [23.101(a)(1)(ii)](/cfr/17/23.101.md?p=a-1-ii) or [(a)(2)](/cfr/17/23.101.md?p=a-a-2), and
  - (2) **Either—**
    - (A) has not received approval from the Commission or from a registered futures association of which the swap dealer is a member to compute its market risk exposure requirement and/or credit risk exposure requirement pursuant to internal models under [§ 23.102](/cfr/17/23.102.md), or
    - (B) has had its approval to compute its market risk exposure requirement and/or credit risk exposure requirement pursuant to internal models under [§ 23.102](/cfr/17/23.102.md) revoked by the Commission or registered futures association must compute its market risk exposure requirement and/or credit risk exposure requirement pursuant to [paragraphs (b)](#b) and/or (c) of this section.
- (b) **Market risk exposure requirements.**
  - (1) A swap dealer that computes its regulatory capital under § [23.101(a)(1)(ii)](/cfr/17/23.101.md?p=a-1-ii) or [(a)(2)](/cfr/17/23.101.md?p=a-a-2) shall compute a market risk capital charge for the positions that the swap dealer holds in its proprietary accounts using the applicable standardized market risk charges set forth in [§ 240.18a-1](/cfr/17/240.18a-1.md) of this title and [§ 1.17](/cfr/17/1.17.md) of this chapter for such positions.
  - (2) In computing its net capital under [§ 23.101(a)(1)(ii)](/cfr/17/23.101.md?p=a-1-ii), a swap dealer shall deduct from its tentative net capital the sum of the market risk capital charges computed under [paragraph (b)(1)](#b-1) of this section.
  - (3) In computing its minimum capital requirement under [§ 23.101(a)(2)](/cfr/17/23.101.md?p=a-2), a swap dealer must add the amount of the market risk capital charge computed under this section to the $20 million minimum capital requirement.
- (c) **Credit risk charges.**
  - (1) A swap dealer that computes regulatory capital under § [23.101(a)(1)(ii)](/cfr/17/23.101.md?p=a-1-ii) or [(a)(2)](/cfr/17/23.101.md?p=a-a-2) shall compute counterparty credit risk charges using the applicable standardized credit risk charges set forth in [§ 240.18a-1](/cfr/17/240.18a-1.md) of this title and [§ 1.17](/cfr/17/1.17.md) of this chapter for such positions.
  - (2) In computing its net capital under [§ 23.101(a)(1)(ii)](/cfr/17/23.101.md?p=a-1-ii), a swap dealer shall reduce its tentative net capital by the sum of the counterparty credit risk charges computed under [paragraph (c)(1)](#c-1) of this section.
  - (3) In computing its minimum capital requirement under [§ 23.101(a)(2)](/cfr/17/23.101.md?p=a-2), a swap dealer must add the amount of the credit risk charge computed under this section to the $20 million minimum capital requirement.

## Notes

### Amendments

[85 FR 57551, Sept. 15, 2020, as amended at 89 FR 45586, May 23, 2024]

### Source

Source: 81 FR 695, Jan. 6, 2016, unless otherwise noted.

### Authority

Authority: 7 U.S.C. 1a, 2, 6, 6a, 6b, 6b-1, 6c, 6p, 6r, 6s, 6t, 9, 9a, 12, 12a, 13b, 13c, 16a, 18, 19, 21. Section 23.160 also issued under 7 U.S.C. 2(i); Sec. 721(b), Pub. L. 111-203, 124 Stat. 1641 (2010).

### Source

Source: 77 FR 2628, Jan. 19, 2012, unless otherwise noted.

### Amendments

[85 FR 57551, Sept. 15, 2020, as amended at 89 FR 45586, May 23, 2024]