(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.