12 CFR 1240.123
§ 1240.123 Advanced approaches credit risk-weighted asset calculations.
United States · 12 CFR — Banks and Banking · Status: effective
Cite this
- Citation
- 12 CFR 1240.123, § 1240.123 Advanced approaches credit risk-weighted asset calculations, United States, version 1 as recorded 2026-07-09, yourstate.us, https://yourstate.us/provision/50599
- Permanent ID
ys:prov:50599@1- SHA-256
a62d9d58fcb2b0d3288367197b6cdbfcf4b4eb04fe5e476718cc8b2933cfda16
The hash is SHA-256 of this version's text, with every run of whitespace collapsed to a single space and the ends trimmed. The ID always leads back here, and checking it says whether the text you cited is still the current version.
Full text
(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.
Legislative history
This is a federal regulation, adopted through agency rulemaking under the Administrative Procedure Act — not enacted by a recorded vote of Congress.