(a) An Enterprise must use its advanced systems to determine its credit risk capital requirements for each of the following exposures:
(1) General credit risk (including for mortgage exposures);
(2) Cleared transactions;
(3) Default fund contributions;
(4) Unsettled transactions;
(5) Securitization exposures;
(6) Equity exposures; and
(7) The fair value adjustment to reflect counterparty credit risk in valuation of OTC derivative contracts.
(b) The credit-risk-weighted assets calculated under this subpart E equals the aggregate credit risk capital requirement under paragraph (a) of this section multiplied by 12.5.