GroundRules
12 CFR 1240.123: Advanced approaches credit risk-weighted asset calculations.
Where this section sits in the code
- Title 12—Banks and Banking
- CHAPTER XII—FEDERAL HOUSING FINANCE AGENCY
- SUBCHAPTER C—ENTERPRISES
- PART 1240—CAPITAL ADEQUACY OF ENTERPRISES
- Subpart E—Risk-Weighted Assets—Internal Ratings-Based and Advanced Measurement Approaches
(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.
Collected 2026-08-27T02:24:16Z. Source file · JSON