Simplified supervisory formula approach (SSFA).

CFR · 2024-01-01 · US · Title 12

(a) (b) (1) (2) Parameter (i) Ninety days or more past due; (ii) Subject to a bankruptcy or insolvency proceeding; (iii) In the process of foreclosure; (iv) Held as real estate owned; (v) Has contractually deferred payments for 90 days or more, other than principal or interest payments deferred on: (A) Federally-guaranteed student loans, in accordance with the terms of those guarantee programs; or (B) Consumer loans, including non-federally-guaranteed student loans, provided that such payments are deferred pursuant to provisions included in the contract at the time funds are disbursed that provide for period(s) of deferral that are not initiated based on changes in the creditworthiness of the borrower; or (vi) Is in default. (3) Parameter (4) Parameter (5) A supervisory calibration parameter, (c) Mechanics of the SSFA. (1) When the detachment point, parameter (2) When the attachment point, parameter (3) When (i) The weight assigned to 1,250 percent equals (ii) The weight assigned to 1,250 percent times (iii) The risk weight will be set equal to: (d) (2) Then the Enterprise must calculate (3) The risk weight for the exposure (expressed as a percent) is equal to (e)

official document · source cfr-2024 · id 12:§ 1240.43