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Federal Register / Vol. 86, No. 184 / Monday, September 27, 2021 / Proposed Rules l. In paragraph e, removing the term 10 percent and adding the term 5
percent in its place;
m. Revising paragraph f2i;
n. In paragraph g, revising the first three equations;
o. Revising the first equation in paragraph h; and

p. Removing and reserving paragraph i.
The revisions read as follows:

1240.44
CRTA.

Credit risk transfer approach

b

9
ii
E
2
i

d

RWo/o, Tranche 1,250% if KA+ AggELo/o D
_
5% if KA+ AggELo/o A
D - K + A E Lo K + A E Lo - A
1250/.
A Dgg_ A Yo + 5o1.

AD _ Agg Yo if A< KA + Ag g EL %
70
70

f
2 Inputsi Enterprise adjusted exposure. The adjusted exposure EAE
of an Enterprise with respect to a retained CRT exposure is as follows:

EAE%,Tranche = 100% CM%,Tranche
LTEA%,Tranche,CM LS%,Tranche
LSEA%,Tranche LTEA%,Tranche,LS, Where the loss timing effectiveness adjustments LTEA for a retained CRT
exposure are determined under
if SLS%,Tranche - ELS%,Tranche

paragraph g of this section, and the loss sharing effectiveness adjustment LSEA for a retained CRT exposure is determined under paragraph h of this section.

g

> 0 then
LTEA%,Tranche,CM

100% max
o, min 1, LTKA,cM +D AggEL%
-AELS%,Tranche - A
SLS%,Tranche - ELS%,Tranche
LTEA%,Tranche,LS

100% max
o, min 1, LTKA,Ls +DAggEL%
-AELS%,Tranche - A
SLS%,Tranche - ELS%,Tranche

h

> 0 then 5%

0

,Oi
EP27SE21.010

_
_
UnCollatUL%,Tranche 1250% +SRIF%,Tranche LSEA%,Tranche - max 1 HC

0
RW%,Tranche - ELS%,Tranche 1250 i
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if RW%,Tranche - ELS%,Tranche 1250%

EP27SE21.011