Mechanics for calculating total wholesale and retail risk-weighted assets.

CFR · 2024-01-01 · US · Title 12

(a) (1) Phase 1—categorization of exposures; (2) Phase 2—assignment of wholesale obligors and exposures to rating grades and segmentation of retail exposures; (3) Phase 3—assignment of risk parameters to wholesale exposures and segments of retail exposures; and (4) Phase 4—calculation of risk-weighted asset amounts. (b) (c) (i) The Board-regulated institution must assign each obligor of a wholesale exposure to a single obligor rating grade and must assign each wholesale exposure to which it does not directly assign an LGD estimate to a loss severity rating grade. (ii) The Board-regulated institution must identify which of its wholesale obligors are in default. (2) (ii) The Board-regulated institution must identify which of its retail exposures are in default. The Board-regulated institution must segment defaulted retail exposures separately from non-defaulted retail exposures. (iii) If the Board-regulated institution determines the EAD for eligible margin loans using the approach in § 217.132(b), the Board-regulated institution must identify which of its retail exposures are eligible margin loans for which the Board-regulated institution uses this EAD approach and must segment such eligible margin loans separately from other retail exposures. (3) (d) (i) Associate a PD with each wholesale obligor rating grade; (ii) Associate an LGD with each wholesale loss severity rating grade or assign an LGD to each wholesale exposure; (iii) Assign an EAD and M to each wholesale exposure;

official document · source cfr-2024 · id 12:§ 217.131