§ 217.100 Purpose, applicability, and principle of conservatism. ( 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 § 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.
[Reg. Q, 78 FR 62157, 62285, Oct. 11, 2013, as amended at 78 FR 62288, Oct. 11, 2013; 80 FR 41419, July 15, 2015; 84 FR 59271, Nov. 1, 2019]