(a) Purpose. This subpart F establishes risk-based capital requirements
for Board-regulated institutions with significant exposure to market
risk, provides methods for these Board-regulated institutions to calculate
their standardized measure for market risk and, if applicable, advanced
measure for market risk, and establishes public disclosure requirements.
(b) Applicability.
(1) This subpart applies to
any Board-regulated institution with aggregate trading assets and
trading liabilities (as reported in the Board-regulated institution’s
most recent quarterly Call Report, for a state member bank, or FR
Y-9C, for a bank holding company or savings and loan holding company,
as applicable, any savings and loan holding company that does not
file the FR Y-9C should follow the instructions to the FR Y-9C) equal
to:
(i) 10 percent or more of quarter-end
total assets as reported on the most recent quarterly [Call Report
or FR Y-9C]; or
(ii) $1 billion or more.
(2) The Board may apply this subpart to
any Board-regulated institution if the Board deems it necessary or
appropriate because of the level of market risk of the Board-regulated
institution or to ensure safe and sound banking practices.
(3) The Board may exclude
a Board-regulated institution that meets the criteria of paragraph
(b)(1) of this section from application of this subpart if the Board
determines that the exclusion is appropriate based on the level of
market risk of the Board-regulated institution and is consistent with
safe and sound banking practices.
(c) Reservation of authority.
(1) The Board may require
a Board-regulated institution to hold an amount of capital greater
than otherwise required under this subpart if the Board determines
that the Board-regulated institution’s capital requirement for market
risk as calculated under this subpart is not commensurate with the
market risk of the Board-regulated institution’s covered positions.
In making determinations under paragraphs (c)(1) through (c)(3) of
this section, the Board will apply notice and response procedures
generally in the same manner as the notice and response procedures
set forth in 12 CFR 263.202.
(2) If the Board determines that the risk-based
capital requirement calculated under this subpart by the Board-regulated
institution for one or more covered positions or portfolios of covered
positions is not commensurate with the risks associated with those
positions or portfolios, the Board may require the Board-regulated
institution to assign a different risk-based capital requirement to
the positions or portfolios that more accurately reflects the risk
of the positions or portfolios.
(3) The Board may also require a Board-regulated
institution to calculate risk-based capital requirements for specific
positions or portfolios under this subpart, or under subpart D or
subpart E of this part, as appropriate, to more accurately reflect
the risks of the positions.
(4) Nothing in this subpart limits the
authority of the Board under any other provision of law or regulation
to take supervisory or enforcement action, including action to address
unsafe or unsound practices or conditions, deficient capital levels,
or violations of law.
