(a) Purpose. This subpart E establishes:
(1) Minimum qualifying criteria for Board-regulated institutions
using institution-specific internal risk measurement and management
processes for calculating risk-based capital requirements; and
(2) Methodologies for such Board-regulated
institutions to calculate their total risk-weighted assets.
(b) Applicability.
(1) This subpart applies to:
(i) A top-tier bank holding company
or savings and loan holding company domiciled in the United States
that:
(A) Is not a consolidated
subsidiary of another bank holding company or savings and loan holding
company that uses this subpart to calculate its risk-based capital
requirements; and
(B) That:
(1)
Is identified as a global systemically important BHC pursuant to section
217.402;
(2) Is identified
as a Category II banking organization pursuant to 12 CFR 252.5 or
12 CFR 238.10; or
(3) Has a
subsidiary depository institution that is required, or has elected,
to use 12 CFR part 3, subpart E (OCC), this subpart (Board), or 12
CFR part 324, subpart E (FDIC), to calculate its risk-based capital
requirements;
(ii) A state member bank that:
(A) Is a subsidiary of a global systemically
important BHC;
(B) Is a Category II
Board-regulated institution;
(C) Is
a subsidiary of a depository institution that uses 12 CFR part 3,
subpart E (OCC), this subpart (Board), or 12 CFR part 324, subpart
E (FDIC), to calculate its risk-based capital requirements; or
(D) Is a subsidiary of a bank holding
company or savings and loan holding company that uses this subpart
to calculate its risk-based capital requirements; or
(iii) Any Board-regulated institution
that elects to use this subpart to calculate its risk-based capital
requirements.
(2) A
market risk Board-regulated institution must exclude from its calculation
of risk-weighted assets under this subpart the risk-weighted asset
amounts of all covered positions, as defined in subpart F of this
part (except foreign exchange positions that are not trading positions,
over-the-counter derivative positions, cleared transactions, and unsettled
transactions).
(c) Principle of conservatism. Notwithstanding
the requirements of this subpart, a Board-regulated institution may
choose not to apply a provision of this subpart to one or more exposures
provided that:
(1) The
Board-regulated institution can demonstrate on an ongoing basis to
the satisfaction of the Board that not applying the provision
would, in all circumstances, unambiguously generate a risk-based capital
requirement for each such exposure greater than that which would otherwise
be required under this subpart;
(2) The Board-regulated institution appropriately manages the risk
of each such exposure;
(3) The Board-regulated
institution notifies the Board in writing prior to applying this principle
to each such exposure; and
(4) The
exposures to which the Board-regulated institution applies this principle
are not, in the aggregate, material to the Board-regulated institution.
