Risk-based capital requirement for securitization exposures.

CFR · 2024-01-01 · US · Title 12

(a) (1) A Board-regulated institution must deduct from common equity tier 1 capital any after-tax gain-on-sale resulting from a securitization and must apply a 1,250 percent risk weight to the portion of any CEIO that does not constitute after tax gain-on-sale; (2) If a securitization exposure does not require deduction or a 1,250 percent risk weight under paragraph (a)(1) of this section, the Board-regulated institution must apply the supervisory formula approach in § 217.143 to the exposure if the Board-regulated institution and the exposure qualify for the supervisory formula approach according to § 217.143(a); (3) If a securitization exposure does not require deduction or a 1,250 percent risk weight under paragraph (a)(1) of this section and does not qualify for the supervisory formula approach, the Board-regulated institution may apply the simplified supervisory formula approach under § 217.144; (4) If a securitization exposure does not require deduction or a 1,250 percent risk weight under paragraph (a)(1) of this section, does not qualify for the supervisory formula approach in § 217.143, and the Board-regulated institution does not apply the simplified supervisory formula approach in § 217.144, the Board-regulated institution must apply a 1,250 percent risk weight to the exposure; and (5) If a securitization exposure is a derivative contract (other than protection provided by a Board-regulated institution in the form of a credit derivative) that has a first priority c

official document · source cfr-2024 · id 12:§ 217.142