12 CFR §3.100

1. (a)Purpose. This subpart E establishes:
   1. (1)Minimum qualifying criteria for national banks or Federal savings associations using institution-specific internal risk measurement and management processes for calculating risk-based capital requirements; and
   2. (2)Methodologies for such national banks or Federal savings associations to calculate their total risk-weighted assets.
2. (b)Applicability.
   1. (1)This subpart applies to a national bank or Federal savings association that:
      1. (i)Is a subsidiary of a global systemically important BHC, as identified pursuant to 12 CFR 217.402;
      2. (ii)Is a Category II national bank or Federal savings association;
      3. (iii)Is a subsidiary of a depository institution that uses the advanced approaches pursuant to this subpart (OCC), 12 CFR part 217, subpart E (Board), or 12 CFR part 324 (FDIC), to calculate its risk-based capital requirements;
      4. (iv)Is a subsidiary of a bank holding company or savings and loan holding company that uses the advanced approaches pursuant to subpart E of 12 CFR part 217 to calculate its risk-based capital requirements; or
      5. (v)Elects to use this subpart to calculate its risk-based capital requirements.
   2. (2)A market risk national bank or Federal savings association 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 national bank or Federal savings association may choose not to apply a provision of this subpart to one or more exposures provided that:
   1. (1)The national bank or Federal savings association can demonstrate on an ongoing basis to the satisfaction of the OCC 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 national bank or Federal savings association appropriately manages the risk of each such exposure;
   3. (3)The national bank or Federal savings association notifies the OCC in writing prior to applying this principle to each such exposure; and
   4. (4)The exposures to which the national bank or Federal savings association applies this principle are not, in the aggregate, material to the national bank or Federal savings association.