12 CFR §217.100

1. (a)Purpose. This subpart E establishes:
   1. (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. (2)Methodologies for such Board-regulated institutions to calculate their total risk-weighted assets.
2. (b)Applicability.
   1. (1)This subpart applies to:
      1. (i)A top-tier bank holding company or savings and loan holding company domiciled in the United States that:
         1. (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
         2. (B)That:
            1. (1)Is identified as a global systemically important BHC pursuant to § 217.402;
            2. (2)Is identified as a Category II banking organization pursuant to 12 CFR 252.5 or 12 CFR 238.10; or
            3. (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;
      2. (ii)A state member bank that:
         1. (A)Is a subsidiary of a global systemically important BHC;
         2. (B)Is a Category II Board-regulated institution;
         3. (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
         4. (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
      3. (iii)Any Board-regulated institution that elects to use this subpart to calculate its risk-based capital requirements.
   2. (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).
3. (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. (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. (2)The Board-regulated institution appropriately manages the risk of each such exposure;
   3. (3)The Board-regulated institution notifies the Board in writing prior to applying this principle to each such exposure; and
   4. (4)The exposures to which the Board-regulated institution applies this principle are not, in the aggregate, material to the Board-regulated institution.