SECTION 217.31—Mechanics
for Calculating Risk-Weighted Assets for General Credit Risk
(a) General risk-weighting requirements. A Board-regulated institution must apply risk weights to its exposures
as follows:
(1) A Board-regulated
institution must determine the exposure amount of each on-balance
sheet exposure, each OTC derivative contract, and each off-balance
sheet commitment, trade and transaction-related contingency, guarantee,
repo-style transaction, financial standby letter of credit, forward
agreement, or other similar transaction that is not:
(i) An unsettled
transaction subject to section 217.38;
(ii) A cleared transaction subject to
section 217.35;
(iii) A default fund contribution subject to section 217.35;
(iv) A securitization
exposure subject to sections 217.41 through 217.45; or
(v) An equity exposure
(other than an equity OTC derivative contract) subject to sections
217.51 through 217.53.
(2) The Board-regulated institution must
multiply each exposure amount by the risk weight appropriate to the
exposure based on the exposure type or counterparty, eligible guarantor,
or financial collateral to determine the risk-weighted asset amount
for each exposure.
(b) Total risk-weighted
assets for general credit risk equals the sum of the risk-weighted
asset amounts calculated under this section.
