12 CFR 1240.123 - Advanced approaches credit risk-weighted asset calculations.

Regulations last checked for updates: Nov 23, 2024

Title 12 - Banks and Banking last revised: Nov 20, 2024

View all text of Subpart E [§ 1240.100 - § 1240.162]

§ 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) of this section multiplied by 12.5.

authority: 12 U.S.C. 4511,4513,4513b,4514,4515,4517,4526,4611,4631

source: 85 FR 82198, Dec. 17, 2020, unless otherwise noted.

cite as: 12 CFR 1240.123