§ 1240.123. Advanced approaches credit risk-weighted asset calculations.
87 words·~1 min read·
/us/cfr/t12/s§ 1240.123·A research copy — for the controlling text, always check the official state or federal source. Not legal advice.
(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.