Supervisory formula approach (SFA).

CFR · 2024-01-01 · US · Title 12

(a) (b) (c) (2) If K (i) F · T (where F is 0.016 for all securitization exposures); or (ii) S[L + T]−S[L]. (3) If K (i) F · (T−(K (ii) S[L + T]−S[K (d) (e) (1) (2) (3) (A) The sum of the risk-based capital requirements for the underlying exposures plus the expected credit losses of the underlying exposures (as determined under this subpart E as if the underlying exposures were directly held by the national bank or Federal savings association); to (B) UE. (ii) The calculation of K (iii) All assets related to the securitization are treated as underlying exposures, including assets in a reserve account (such as a cash collateral account). (4) (A) The amount of all securitization exposures subordinated to the tranche that contains the national bank's or Federal savings association's securitization exposure; to (B) UE. (ii) A national bank or Federal savings association must determine L before considering the effects of any tranche-specific credit enhancements. (iii) Any gain-on-sale or CEIO associated with the securitization may not be included in L. (iv) Any reserve account funded by accumulated cash flows from the underlying exposures that is subordinated to the tranche that contains the national bank's or Federal savings association's securitization exposure may be included in the numerator and denominator of L to the extent cash has accumulated in the account. Unfunded reserve accounts (that is, reserve accounts that are to be funded from future cash flows from the underlying

official document · source cfr-2024 · id 12:§ 3.143