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(a) General risk-weighting requirements. An Enterprise must apply risk weights to its exposures as follows:
(1) An Enterprise must determine the exposure amount of each mortgage exposure, each other on-balance sheet exposure, each OTC derivative contract, and each off-balance sheet commitment, trade and transaction-related contingency, guarantee, repo-style transaction, forward agreement, or other similar transaction that is not:
(i) An unsettled transaction subject to § 1240.40;
(ii) A cleared transaction subject to § 1240.37;
(iii) A default fund contribution subject to § 1240.37;
(iv) A retained CRT exposure, acquired CRT exposure, or other securitization exposure subject to §§ 1240.41 through 1240.46;
(v) An equity exposure (other than an equity OTC derivative contract) subject to §§ 1240.51 and 1240.52; or
(vi) CVA risk-weighted assets subject to § 1240.36(d).
(2) An Enterprise must multiply each exposure amount by the risk weight appropriate to the exposure based on the exposure type or counterparty, eligible guarantor, or financial collateral to determine the risk-weighted asset amount for each exposure.
(b) Total risk-weighted assets for general credit risk. Total risk-weighted assets for general credit risk equals the sum of the risk-weighted asset amounts calculated under this section.
[88 FR 82198, Dec. 17, 2020, as amended at 88 FR 83476, Nov. 30, 2023]