Mechanics for calculating risk-weighted assets for general credit risk.

(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]