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) (ii) The national bank or Federal savings association must identify which of its wholesale obligors are in default. (2) (ii) The national bank or Federal savings association must identify which of its retail exposures are in default. The national bank or Federal savings association must segment defaulted retail exposures separately from non-defaulted retail exposures. (iii) If the national bank or Federal savings association determines the EAD for eligible margin loans using the approach in § 3.132(b), the national bank or Federal savings association must identify which of its retail exposures are eligible margin loans for which the national bank or Federal savings association 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; and (iv) Assign a PD, LGD, and EAD to each segment of retail exposures. (2) (3) (i) Directly and unconditionally guaranteed by the full faith an

official document · source cfr-2024 · id 12:§ 3.131