Simplified supervisory formula approach (SSFA) and the gross-up approach.

CFR · 2024-01-01 · US · Title 12

(a) (b) (1) (2) Parameter (i) Ninety (90) 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 interest 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 periods(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) (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 System institution must calculate (3) The risk weight for the exposure (expressed as a percent) is equal to (e) (2) To use the gross-up approach, a System institution must calculate the following four inputs: (i) Pro rata share (ii) Enhanced amount (iii) Exposure amount (carrying value) (iv) Risk weight ( (3) (i) The exposure amount (ii) The pro rata share (4) (f)

official document · source cfr-2024 · id 12:§ 628.43