Advanced approaches credit risk-weighted asset calculations.

(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.