# baseURI: http://finregont.com/fro/cfr/FRO_CFR_Title_12_Part_217.ttl
# imports: http://finregont.com/fro/cfr/Code_Federal_Regulations.ttl
# prefix: fro-cfr-t12-p217
@prefix dct: .
@prefix fro-cfr: .
@prefix fro-cfr-t12-p217: .
@prefix fro-leg-ref: .
@prefix fro-ref: .
@prefix lkif-mereo: .
@prefix lkif-rel-places: .
@prefix lkif-role: .
@prefix lkif-rules: .
@prefix lkif-time: .
@prefix lkif-time-mod: .
@prefix mereology: .
@prefix modification: .
@prefix norm: .
@prefix owl: .
@prefix owl2: .
@prefix rdf: .
@prefix rdfs: .
@prefix skos: .
@prefix sm: .
@prefix xsd: .
rdf:type owl:Ontology ;
dct:license "https://opensource.org/licenses/GPL-3.0" ;
sm:author "Jurgen Ziemer" ;
sm:copyright "Jayzed Data Models Inc." ;
rdfs:comment "The data triples in this ontology instantiate FinRegOnt classes CFR_Title, CFR_Section, CFR_Paragraph etc. along with their properties. They are loaded from CFR-2015-title12-vol3-part217, reverse engineered from the original data in Government Publishing Office XML file." ;
rdfs:isDefinedBy ;
rdfs:label "Financial Regulation Ontology: FRO CFR Ttile 12 Part 217 module" ;
owl:imports ;
skos:definition """Code of Federal Regulations:
TITLE 12 - Banks and Banking
Chapter II, Subchapter A - BOARD OF GOVERNORS OF THE FEDERAL RESERVE SYSTEM
PART 217 - CAPITAL ADEQUACY OF BOARD-REGULATED INSTITUTIONS
""" ;
.
fro-cfr-t12-p217:r-1-10-1
rdf:type fro-cfr:CFR_Section ;
fro-cfr:hasSectionCitation "[Reg. Q, 78 FR 62157 and 62285, Oct. 11, 2013, as amended at 78 FR 62288, Oct. 11, 2013]" ;
fro-cfr:hasSectionNumber "§ 217.100" ;
fro-cfr:hasSectionSubject "Purpose, applicability, and principle of conservatism." ;
fro-leg-ref:divides fro-cfr:CFR_Title-12_Part-217 ;
fro-leg-ref:hasSequenceNumber 1 ;
fro-ref:hasSourceInstance ;
.
fro-cfr-t12-p217:r-1-10-1-10
rdf:type fro-cfr:CFR_Parapraph ;
fro-cfr:hasParagraphEnumText "2" ;
fro-cfr:hasParagraphText "(" ;
fro-cfr:hasParagraphText ") Has consolidated total on-balance sheet foreign exposure at the most recent year-end equal to $10 billion (excluding exposures held by an insurance underwriting subsidiary). Total on-balance sheet foreign exposure equals total cross-border claims less claims with head office or guarantor located in another country plus redistributed guaranteed amounts to the country of head office or guarantor plus local country claims on local residents plus revaluation gains on foreign exchange and derivative products, calculated in accordance with the Federal Financial Institutions Examination Council (FFIEC) 009 Country Exposure Report); or" ;
fro-leg-ref:divides fro-cfr-t12-p217:r-1-10-1 ;
fro-leg-ref:hasSequenceNumber 10 ;
fro-ref:hasSourceInstance ;
.
fro-cfr-t12-p217:r-1-10-1-11
rdf:type fro-cfr:CFR_Parapraph ;
fro-cfr:hasParagraphEnumText "3" ;
fro-cfr:hasParagraphText "(" ;
fro-cfr:hasParagraphText ") Has a subsidiary depository institution that is required, or has elected, to use 12 CFR part 3, subpart E (OCC), 12 CFR part 217, subpart E (Board), or 12 CFR part 325, subpart E (FDIC) to calculate its risk-based capital requirements;" ;
fro-leg-ref:divides fro-cfr-t12-p217:r-1-10-1 ;
fro-leg-ref:hasSequenceNumber 11 ;
fro-ref:hasSourceInstance ;
.
fro-cfr-t12-p217:r-1-10-1-12
rdf:type fro-cfr:CFR_Parapraph ;
fro-cfr:hasParagraphText "(ii) A state member bank that:" ;
fro-leg-ref:divides fro-cfr-t12-p217:r-1-10-1 ;
fro-leg-ref:hasSequenceNumber 12 ;
fro-ref:hasSourceInstance ;
.
fro-cfr-t12-p217:r-1-10-1-13
rdf:type fro-cfr:CFR_Parapraph ;
fro-cfr:hasParagraphText "(A) Has total consolidated assets, as reported on the most recent year-end Consolidated Report of Condition and Income (Call Report), equal to $250 billion or more;" ;
fro-leg-ref:divides fro-cfr-t12-p217:r-1-10-1 ;
fro-leg-ref:hasSequenceNumber 13 ;
fro-ref:hasSourceInstance ;
.
fro-cfr-t12-p217:r-1-10-1-14
rdf:type fro-cfr:CFR_Parapraph ;
fro-cfr:hasParagraphText "(B) Has consolidated total on-balance sheet foreign exposure at the most recent year-end equal to $10 billion or more (where total on-balance sheet foreign exposure equals total cross-border claims less claims with head office or guarantor located in another country plus redistributed guaranteed amounts to the country of head office or guarantor plus local country claims on local residents plus revaluation gains on foreign exchange and derivative products, calculated in accordance with the Federal Financial Institutions Examination Council (FFIEC) 009 Country Exposure Report);" ;
fro-leg-ref:divides fro-cfr-t12-p217:r-1-10-1 ;
fro-leg-ref:hasSequenceNumber 14 ;
fro-ref:hasSourceInstance ;
.
fro-cfr-t12-p217:r-1-10-1-15
rdf:type fro-cfr:CFR_Parapraph ;
fro-cfr:hasParagraphText "(C) Is a subsidiary of a depository institution that uses 12 CFR part 3, subpart E (OCC), 12 CFR part 217, subpart E (Board), or 12 CFR part 325, subpart E (FDIC) to calculate its risk-based capital requirements; or" ;
fro-leg-ref:divides fro-cfr-t12-p217:r-1-10-1 ;
fro-leg-ref:hasSequenceNumber 15 ;
fro-ref:hasSourceInstance ;
.
fro-cfr-t12-p217:r-1-10-1-16
rdf:type fro-cfr:CFR_Parapraph ;
fro-cfr:hasParagraphText "(D) Is a subsidiary of a bank holding company or savings and loan holding company that uses 12 CFR part 217, subpart E, to calculate its risk-based capital requirements; and" ;
fro-leg-ref:divides fro-cfr-t12-p217:r-1-10-1 ;
fro-leg-ref:hasSequenceNumber 16 ;
fro-ref:hasSourceInstance ;
.
fro-cfr-t12-p217:r-1-10-1-17
rdf:type fro-cfr:CFR_Parapraph ;
fro-cfr:hasParagraphText "(iii) Any Board-regulated institution that elects to use this subpart to calculate its risk-based capital requirements." ;
fro-leg-ref:divides fro-cfr-t12-p217:r-1-10-1 ;
fro-leg-ref:hasSequenceNumber 17 ;
fro-ref:hasSourceInstance ;
.
fro-cfr-t12-p217:r-1-10-1-18
rdf:type fro-cfr:CFR_Parapraph ;
fro-cfr:hasParagraphText "(iv) Is a subsidiary of a bank holding company or savings and loan holding company that uses the advanced approaches pursuant to 12 CFR part 217 to calculate its total risk-weighted assets; or" ;
fro-leg-ref:divides fro-cfr-t12-p217:r-1-10-1 ;
fro-leg-ref:hasSequenceNumber 18 ;
fro-ref:hasSourceInstance ;
.
fro-cfr-t12-p217:r-1-10-1-19
rdf:type fro-cfr:CFR_Parapraph ;
fro-cfr:hasParagraphText "(v) Elects to use this subpart to calculate its total risk-weighted assets." ;
fro-leg-ref:divides fro-cfr-t12-p217:r-1-10-1 ;
fro-leg-ref:hasSequenceNumber 19 ;
fro-ref:hasSourceInstance ;
.
fro-cfr-t12-p217:r-1-10-1-2
rdf:type fro-cfr:CFR_Parapraph ;
fro-cfr:hasParagraphEnumText "Purpose." ;
fro-cfr:hasParagraphText "(a)" ;
fro-cfr:hasParagraphText "This subpart E establishes:" ;
fro-leg-ref:divides fro-cfr-t12-p217:r-1-10-1 ;
fro-leg-ref:hasSequenceNumber 2 ;
fro-ref:hasSourceInstance ;
.
fro-cfr-t12-p217:r-1-10-1-20
rdf:type fro-cfr:CFR_Parapraph ;
fro-cfr:hasParagraphText "(2) A bank that is subject to this subpart shall remain subject to this subpart unless the Board determines in writing that application of this subpart is not appropriate in light of the Board-regulated institution's asset size, level of complexity, risk profile, or scope of operations. In making a determination under this paragraph (b), the Board will apply notice and response procedures in the same manner and to the same extent as the notice and response procedures in 12 CFR 263.202." ;
fro-leg-ref:divides fro-cfr-t12-p217:r-1-10-1 ;
fro-leg-ref:hasSequenceNumber 20 ;
fro-ref:hasSourceInstance ;
.
fro-cfr-t12-p217:r-1-10-1-21
rdf:type fro-cfr:CFR_Parapraph ;
fro-cfr:hasParagraphText "(3) 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)." ;
fro-leg-ref:divides fro-cfr-t12-p217:r-1-10-1 ;
fro-leg-ref:hasSequenceNumber 21 ;
fro-ref:hasSourceInstance ;
.
fro-cfr-t12-p217:r-1-10-1-22
rdf:type fro-cfr:CFR_Parapraph ;
fro-cfr:hasParagraphEnumText "Principle of conservatism." ;
fro-cfr:hasParagraphText "(c)" ;
fro-cfr:hasParagraphText "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:" ;
fro-leg-ref:divides fro-cfr-t12-p217:r-1-10-1 ;
fro-leg-ref:hasSequenceNumber 22 ;
fro-ref:hasSourceInstance ;
.
fro-cfr-t12-p217:r-1-10-1-23
rdf:type fro-cfr:CFR_Parapraph ;
fro-cfr:hasParagraphText "(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;" ;
fro-leg-ref:divides fro-cfr-t12-p217:r-1-10-1 ;
fro-leg-ref:hasSequenceNumber 23 ;
fro-ref:hasSourceInstance ;
.
fro-cfr-t12-p217:r-1-10-1-24
rdf:type fro-cfr:CFR_Parapraph ;
fro-cfr:hasParagraphText "(2) The Board-regulated institution appropriately manages the risk of each such exposure;" ;
fro-leg-ref:divides fro-cfr-t12-p217:r-1-10-1 ;
fro-leg-ref:hasSequenceNumber 24 ;
fro-ref:hasSourceInstance ;
.
fro-cfr-t12-p217:r-1-10-1-25
rdf:type fro-cfr:CFR_Parapraph ;
fro-cfr:hasParagraphText "(3) The Board-regulated institution notifies the Board in writing prior to applying this principle to each such exposure; and" ;
fro-leg-ref:divides fro-cfr-t12-p217:r-1-10-1 ;
fro-leg-ref:hasSequenceNumber 25 ;
fro-ref:hasSourceInstance ;
.
fro-cfr-t12-p217:r-1-10-1-26
rdf:type fro-cfr:CFR_Parapraph ;
fro-cfr:hasParagraphText "(4) The exposures to which the Board-regulated institution applies this principle are not, in the aggregate, material to the Board-regulated institution." ;
fro-leg-ref:divides fro-cfr-t12-p217:r-1-10-1 ;
fro-leg-ref:hasSequenceNumber 26 ;
fro-ref:hasSourceInstance ;
.
fro-cfr-t12-p217:r-1-10-1-3
rdf:type fro-cfr:CFR_Parapraph ;
fro-cfr:hasParagraphText "(1) Minimum qualifying criteria for Board-regulated institutions using institution-specific internal risk measurement and management processes for calculating risk-based capital requirements; and" ;
fro-leg-ref:divides fro-cfr-t12-p217:r-1-10-1 ;
fro-leg-ref:hasSequenceNumber 3 ;
fro-ref:hasSourceInstance ;
.
fro-cfr-t12-p217:r-1-10-1-4
rdf:type fro-cfr:CFR_Parapraph ;
fro-cfr:hasParagraphText "(2) Methodologies for such Board-regulated institutions to calculate their total risk-weighted assets." ;
fro-leg-ref:divides fro-cfr-t12-p217:r-1-10-1 ;
fro-leg-ref:hasSequenceNumber 4 ;
fro-ref:hasSourceInstance ;
.
fro-cfr-t12-p217:r-1-10-1-5
rdf:type fro-cfr:CFR_Parapraph ;
fro-cfr:hasParagraphEnumText "Applicability." ;
fro-cfr:hasParagraphText "(1) This subpart applies to:" ;
fro-cfr:hasParagraphText "(b)" ;
fro-leg-ref:divides fro-cfr-t12-p217:r-1-10-1 ;
fro-leg-ref:hasSequenceNumber 5 ;
fro-ref:hasSourceInstance ;
.
fro-cfr-t12-p217:r-1-10-1-6
rdf:type fro-cfr:CFR_Parapraph ;
fro-cfr:hasParagraphText "(i) A top-tier bank holding company or savings and loan holding company domiciled in the United States that:" ;
fro-leg-ref:divides fro-cfr-t12-p217:r-1-10-1 ;
fro-leg-ref:hasSequenceNumber 6 ;
fro-ref:hasSourceInstance ;
.
fro-cfr-t12-p217:r-1-10-1-7
rdf:type fro-cfr:CFR_Parapraph ;
fro-cfr:hasParagraphText "(A) Is not a consolidated subsidiary of another bank holding company or savings and loan holding company that uses 12 CFR part 217, subpart E, to calculate its risk-based capital requirements; and" ;
fro-leg-ref:divides fro-cfr-t12-p217:r-1-10-1 ;
fro-leg-ref:hasSequenceNumber 7 ;
fro-ref:hasSourceInstance ;
.
fro-cfr-t12-p217:r-1-10-1-8
rdf:type fro-cfr:CFR_Parapraph ;
fro-cfr:hasParagraphText "(B) That:" ;
fro-leg-ref:divides fro-cfr-t12-p217:r-1-10-1 ;
fro-leg-ref:hasSequenceNumber 8 ;
fro-ref:hasSourceInstance ;
.
fro-cfr-t12-p217:r-1-10-1-9
rdf:type fro-cfr:CFR_Parapraph ;
fro-cfr:hasParagraphEnumText "1" ;
fro-cfr:hasParagraphText "(" ;
fro-cfr:hasParagraphText ") Has total consolidated assets (excluding assets held by an insurance underwriting subsidiary), as defined on schedule HC-K of the FR Y-9C, equal to $250 billion or more;" ;
fro-leg-ref:divides fro-cfr-t12-p217:r-1-10-1 ;
fro-leg-ref:hasSequenceNumber 9 ;
fro-ref:hasSourceInstance ;
.
fro-cfr-t12-p217:r-1-10-2
rdf:type fro-cfr:CFR_Section ;
fro-cfr:hasSectionCitation "[Reg. Q, 78 FR 62157 and 62285, Oct. 11, 2013, as amended at 79 FR 78295, Dec. 30, 2014]" ;
fro-cfr:hasSectionNumber "§ 217.101" ;
fro-cfr:hasSectionSubject "Definitions." ;
fro-leg-ref:divides fro-cfr:CFR_Title-12_Part-217 ;
fro-leg-ref:hasSequenceNumber 2 ;
fro-ref:hasSourceInstance ;
.
fro-cfr-t12-p217:r-1-10-2-10
rdf:type fro-cfr:CFR_Parapraph ;
fro-cfr:hasParagraphEnumText "Credit default swap" ;
fro-cfr:hasParagraphText "(CDS) means a financial contract executed under standard industry documentation that allows one party (the protection purchaser) to transfer the credit risk of one or more exposures (reference exposure(s)) to another party (the protection provider) for a certain period of time." ;
fro-leg-ref:divides fro-cfr-t12-p217:r-1-10-2 ;
fro-leg-ref:hasSequenceNumber 10 ;
fro-ref:hasSourceInstance ;
.
fro-cfr-t12-p217:r-1-10-2-100
rdf:type fro-cfr:CFR_Parapraph ;
fro-cfr:hasParagraphEnumText "Retail exposure subcategory" ;
fro-cfr:hasParagraphText "means the residential mortgage exposure, qualifying revolving exposure, or other retail exposure subcategory." ;
fro-leg-ref:divides fro-cfr-t12-p217:r-1-10-2 ;
fro-leg-ref:hasSequenceNumber 100 ;
fro-ref:hasSourceInstance ;
.
fro-cfr-t12-p217:r-1-10-2-101
rdf:type fro-cfr:CFR_Parapraph ;
fro-cfr:hasParagraphEnumText "Risk parameter" ;
fro-cfr:hasParagraphText "means a variable used in determining risk-based capital requirements for wholesale and retail exposures, specifically probability of default (PD), loss given default (LGD), exposure at default (EAD), or effective maturity (M)." ;
fro-leg-ref:divides fro-cfr-t12-p217:r-1-10-2 ;
fro-leg-ref:hasSequenceNumber 101 ;
fro-ref:hasSourceInstance ;
.
fro-cfr-t12-p217:r-1-10-2-102
rdf:type fro-cfr:CFR_Parapraph ;
fro-cfr:hasParagraphEnumText "Scenario analysis" ;
fro-cfr:hasParagraphText "means a systematic process of obtaining expert opinions from business managers and risk management experts to derive reasoned assessments of the likelihood and loss impact of plausible high-severity operational losses. Scenario analysis may include the well-reasoned evaluation and use of external operational loss event data, adjusted as appropriate to ensure relevance to a Board-regulated institution's operational risk profile and control structure." ;
fro-leg-ref:divides fro-cfr-t12-p217:r-1-10-2 ;
fro-leg-ref:hasSequenceNumber 102 ;
fro-ref:hasSourceInstance ;
.
fro-cfr-t12-p217:r-1-10-2-103
rdf:type fro-cfr:CFR_Parapraph ;
fro-cfr:hasParagraphEnumText "Total wholesale and retail risk-weighted assets" ;
fro-cfr:hasParagraphText "means the sum of:" ;
fro-leg-ref:divides fro-cfr-t12-p217:r-1-10-2 ;
fro-leg-ref:hasSequenceNumber 103 ;
fro-ref:hasSourceInstance ;
.
fro-cfr-t12-p217:r-1-10-2-104
rdf:type fro-cfr:CFR_Parapraph ;
fro-cfr:hasParagraphText "(1) Risk-weighted assets for wholesale exposures that are not IMM exposures, cleared transactions, or default fund contributions to non-defaulted obligors and segments of non-defaulted retail exposures;" ;
fro-leg-ref:divides fro-cfr-t12-p217:r-1-10-2 ;
fro-leg-ref:hasSequenceNumber 104 ;
fro-ref:hasSourceInstance ;
.
fro-cfr-t12-p217:r-1-10-2-105
rdf:type fro-cfr:CFR_Parapraph ;
fro-cfr:hasParagraphText "(2) Risk-weighted assets for wholesale exposures to defaulted obligors and segments of defaulted retail exposures;" ;
fro-leg-ref:divides fro-cfr-t12-p217:r-1-10-2 ;
fro-leg-ref:hasSequenceNumber 105 ;
fro-ref:hasSourceInstance ;
.
fro-cfr-t12-p217:r-1-10-2-106
rdf:type fro-cfr:CFR_Parapraph ;
fro-cfr:hasParagraphText "(3) Risk-weighted assets for assets not defined by an exposure category;" ;
fro-leg-ref:divides fro-cfr-t12-p217:r-1-10-2 ;
fro-leg-ref:hasSequenceNumber 106 ;
fro-ref:hasSourceInstance ;
.
fro-cfr-t12-p217:r-1-10-2-107
rdf:type fro-cfr:CFR_Parapraph ;
fro-cfr:hasParagraphText "(4) Risk-weighted assets for non-material portfolios of exposures;" ;
fro-leg-ref:divides fro-cfr-t12-p217:r-1-10-2 ;
fro-leg-ref:hasSequenceNumber 107 ;
fro-ref:hasSourceInstance ;
.
fro-cfr-t12-p217:r-1-10-2-108
rdf:type fro-cfr:CFR_Parapraph ;
fro-cfr:hasParagraphText "(5) Risk-weighted assets for IMM exposures (as determined in § 217.132(d));" ;
fro-leg-ref:divides fro-cfr-t12-p217:r-1-10-2 ;
fro-leg-ref:hasSequenceNumber 108 ;
fro-ref:hasSourceInstance ;
.
fro-cfr-t12-p217:r-1-10-2-109
rdf:type fro-cfr:CFR_Parapraph ;
fro-cfr:hasParagraphText "(6) Risk-weighted assets for cleared transactions and risk-weighted assets for default fund contributions (as determined in § 217.133); and" ;
fro-leg-ref:divides fro-cfr-t12-p217:r-1-10-2 ;
fro-leg-ref:hasSequenceNumber 109 ;
fro-ref:hasSourceInstance ;
.
fro-cfr-t12-p217:r-1-10-2-11
rdf:type fro-cfr:CFR_Parapraph ;
fro-cfr:hasParagraphEnumText "Credit valuation adjustment" ;
fro-cfr:hasParagraphText "(CVA) means the fair value adjustment to reflect counterparty credit risk in valuation of OTC derivative contracts." ;
fro-leg-ref:divides fro-cfr-t12-p217:r-1-10-2 ;
fro-leg-ref:hasSequenceNumber 11 ;
fro-ref:hasSourceInstance ;
.
fro-cfr-t12-p217:r-1-10-2-110
rdf:type fro-cfr:CFR_Parapraph ;
fro-cfr:hasParagraphText "(7) Risk-weighted assets for unsettled transactions (as determined in § 217.136)." ;
fro-leg-ref:divides fro-cfr-t12-p217:r-1-10-2 ;
fro-leg-ref:hasSequenceNumber 110 ;
fro-ref:hasSourceInstance ;
.
fro-cfr-t12-p217:r-1-10-2-111
rdf:type fro-cfr:CFR_Parapraph ;
fro-cfr:hasParagraphEnumText "Unexpected operational loss (UOL)" ;
fro-cfr:hasParagraphText "means the difference between the Board-regulated institution's operational risk exposure and the Board-regulated institution's expected operational loss." ;
fro-leg-ref:divides fro-cfr-t12-p217:r-1-10-2 ;
fro-leg-ref:hasSequenceNumber 111 ;
fro-ref:hasSourceInstance ;
.
fro-cfr-t12-p217:r-1-10-2-112
rdf:type fro-cfr:CFR_Parapraph ;
fro-cfr:hasParagraphEnumText "Unit of measure" ;
fro-cfr:hasParagraphText "means the level (for example, organizational unit or operational loss event type) at which the Board-regulated institution's operational risk quantification system generates a separate distribution of potential operational losses." ;
fro-leg-ref:divides fro-cfr-t12-p217:r-1-10-2 ;
fro-leg-ref:hasSequenceNumber 112 ;
fro-ref:hasSourceInstance ;
.
fro-cfr-t12-p217:r-1-10-2-113
rdf:type fro-cfr:CFR_Parapraph ;
fro-cfr:hasParagraphEnumText "Wholesale exposure" ;
fro-cfr:hasParagraphText "means a credit exposure to a company, natural person, sovereign, or governmental entity (other than a securitization exposure, retail exposure, pre-sold construction loan, or equity exposure)." ;
fro-leg-ref:divides fro-cfr-t12-p217:r-1-10-2 ;
fro-leg-ref:hasSequenceNumber 113 ;
fro-ref:hasSourceInstance ;
.
fro-cfr-t12-p217:r-1-10-2-114
rdf:type fro-cfr:CFR_Parapraph ;
fro-cfr:hasParagraphEnumText "Wholesale exposure subcategory" ;
fro-cfr:hasParagraphText "means the HVCRE or non-HVCRE wholesale exposure subcategory." ;
fro-leg-ref:divides fro-cfr-t12-p217:r-1-10-2 ;
fro-leg-ref:hasSequenceNumber 114 ;
fro-ref:hasSourceInstance ;
.
fro-cfr-t12-p217:r-1-10-2-12
rdf:type fro-cfr:CFR_Parapraph ;
fro-cfr:hasParagraphEnumText "Default" ;
fro-cfr:hasParagraphText "—For the purposes of calculating capital requirements under this subpart:" ;
fro-leg-ref:divides fro-cfr-t12-p217:r-1-10-2 ;
fro-leg-ref:hasSequenceNumber 12 ;
fro-ref:hasSourceInstance ;
.
fro-cfr-t12-p217:r-1-10-2-13
rdf:type fro-cfr:CFR_Parapraph ;
fro-cfr:hasParagraphEnumText "Retail." ;
fro-cfr:hasParagraphText "(1)" ;
fro-cfr:hasParagraphText "(i) A retail exposure of a Board-regulated institution is in default if:" ;
fro-leg-ref:divides fro-cfr-t12-p217:r-1-10-2 ;
fro-leg-ref:hasSequenceNumber 13 ;
fro-ref:hasSourceInstance ;
.
fro-cfr-t12-p217:r-1-10-2-14
rdf:type fro-cfr:CFR_Parapraph ;
fro-cfr:hasParagraphText "(A) The exposure is 180 days past due, in the case of a residential mortgage exposure or revolving exposure;" ;
fro-leg-ref:divides fro-cfr-t12-p217:r-1-10-2 ;
fro-leg-ref:hasSequenceNumber 14 ;
fro-ref:hasSourceInstance ;
.
fro-cfr-t12-p217:r-1-10-2-15
rdf:type fro-cfr:CFR_Parapraph ;
fro-cfr:hasParagraphText "(B) The exposure is 120 days past due, in the case of retail exposures that are not residential mortgage exposures or revolving exposures; or" ;
fro-leg-ref:divides fro-cfr-t12-p217:r-1-10-2 ;
fro-leg-ref:hasSequenceNumber 15 ;
fro-ref:hasSourceInstance ;
.
fro-cfr-t12-p217:r-1-10-2-16
rdf:type fro-cfr:CFR_Parapraph ;
fro-cfr:hasParagraphText "(C) The Board-regulated institution has taken a full or partial charge-off, write-down of principal, or material negative fair value adjustment of principal on the exposure for credit-related reasons." ;
fro-leg-ref:divides fro-cfr-t12-p217:r-1-10-2 ;
fro-leg-ref:hasSequenceNumber 16 ;
fro-ref:hasSourceInstance ;
.
fro-cfr-t12-p217:r-1-10-2-17
rdf:type fro-cfr:CFR_Parapraph ;
fro-cfr:hasParagraphText "(ii) Notwithstanding paragraph (1)(i) of this definition, for a retail exposure held by a non-U.S. subsidiary of the Board-regulated institution that is subject to an internal ratings-based approach to capital adequacy consistent with the Basel Committee on Banking Supervision's “International Convergence of Capital Measurement and Capital Standards: A Revised Framework” in a non-U.S. jurisdiction, the Board-regulated institution may elect to use the definition of default that is used in that jurisdiction, provided that the Board-regulated institution has obtained prior approval from the Board to use the definition of default in that jurisdiction." ;
fro-leg-ref:divides fro-cfr-t12-p217:r-1-10-2 ;
fro-leg-ref:hasSequenceNumber 17 ;
fro-ref:hasSourceInstance ;
.
fro-cfr-t12-p217:r-1-10-2-18
rdf:type fro-cfr:CFR_Parapraph ;
fro-cfr:hasParagraphText "(iii) A retail exposure in default remains in default until the Board-regulated institution has reasonable assurance of repayment and performance for all contractual principal and interest payments on the exposure." ;
fro-leg-ref:divides fro-cfr-t12-p217:r-1-10-2 ;
fro-leg-ref:hasSequenceNumber 18 ;
fro-ref:hasSourceInstance ;
.
fro-cfr-t12-p217:r-1-10-2-19
rdf:type fro-cfr:CFR_Parapraph ;
fro-cfr:hasParagraphEnumText "Wholesale." ;
fro-cfr:hasParagraphText "(2)" ;
fro-cfr:hasParagraphText "(i) A Board-regulated institution's wholesale obligor is in default if:" ;
fro-leg-ref:divides fro-cfr-t12-p217:r-1-10-2 ;
fro-leg-ref:hasSequenceNumber 19 ;
fro-ref:hasSourceInstance ;
.
fro-cfr-t12-p217:r-1-10-2-2
rdf:type fro-cfr:CFR_Parapraph ;
fro-cfr:hasParagraphText "(a) Terms that are set forth in § 217.2 and used in this subpart have the definitions assigned thereto in § 217.2." ;
fro-leg-ref:divides fro-cfr-t12-p217:r-1-10-2 ;
fro-leg-ref:hasSequenceNumber 2 ;
fro-ref:hasSourceInstance ;
.
fro-cfr-t12-p217:r-1-10-2-20
rdf:type fro-cfr:CFR_Parapraph ;
fro-cfr:hasParagraphText "(A) The Board-regulated institution determines that the obligor is unlikely to pay its credit obligations to the Board-regulated institution in full, without recourse by the Board-regulated institution to actions such as realizing collateral (if held); or" ;
fro-leg-ref:divides fro-cfr-t12-p217:r-1-10-2 ;
fro-leg-ref:hasSequenceNumber 20 ;
fro-ref:hasSourceInstance ;
.
fro-cfr-t12-p217:r-1-10-2-21
rdf:type fro-cfr:CFR_Parapraph ;
fro-cfr:hasParagraphText "(B) The obligor is past due more than 90 days on any material credit obligation(s) to the Board-regulated institution." ;
fro-leg-ref:divides fro-cfr-t12-p217:r-1-10-2 ;
fro-leg-ref:hasSequenceNumber 21 ;
fro-ref:hasSourceInstance ;
.
fro-cfr-t12-p217:r-1-10-2-22-0
rdf:type fro-cfr:CFR_Parapraph ;
fro-cfr:hasParagraphText "Overdrafts are past due once the obligor has breached an advised limit or been advised of a limit smaller than the current outstanding balance." ;
fro-leg-ref:hasSequenceNumber 0 ;
fro-ref:hasSourceInstance ;
.
fro-cfr-t12-p217:r-1-10-2-23
rdf:type fro-cfr:CFR_Parapraph ;
fro-cfr:hasParagraphText "(ii) An obligor in default remains in default until the Board-regulated institution has reasonable assurance of repayment and performance for all contractual principal and interest payments on all exposures of the Board-regulated institution to the obligor (other than exposures that have been fully written-down or charged-off)." ;
fro-leg-ref:divides fro-cfr-t12-p217:r-1-10-2 ;
fro-leg-ref:hasSequenceNumber 23 ;
fro-ref:hasSourceInstance ;
.
fro-cfr-t12-p217:r-1-10-2-24
rdf:type fro-cfr:CFR_Parapraph ;
fro-cfr:hasParagraphEnumText "Dependence" ;
fro-cfr:hasParagraphText "means a measure of the association among operational losses across and within units of measure." ;
fro-leg-ref:divides fro-cfr-t12-p217:r-1-10-2 ;
fro-leg-ref:hasSequenceNumber 24 ;
fro-ref:hasSourceInstance ;
.
fro-cfr-t12-p217:r-1-10-2-25
rdf:type fro-cfr:CFR_Parapraph ;
fro-cfr:hasParagraphEnumText "Economic downturn conditions" ;
fro-cfr:hasParagraphText "means, with respect to an exposure held by the Board-regulated institution, those conditions in which the aggregate default rates for that exposure's wholesale or retail exposure subcategory (or subdivision of such subcategory selected by the Board-regulated institution) in the exposure's national jurisdiction (or subdivision of such jurisdiction selected by the Board-regulated institution) are significantly higher than average." ;
fro-leg-ref:divides fro-cfr-t12-p217:r-1-10-2 ;
fro-leg-ref:hasSequenceNumber 25 ;
fro-ref:hasSourceInstance ;
.
fro-cfr-t12-p217:r-1-10-2-26
rdf:type fro-cfr:CFR_Parapraph ;
fro-cfr:hasParagraphEnumText "Effective maturity (M)" ;
fro-cfr:hasParagraphText "of a wholesale exposure means:" ;
fro-leg-ref:divides fro-cfr-t12-p217:r-1-10-2 ;
fro-leg-ref:hasSequenceNumber 26 ;
fro-ref:hasSourceInstance ;
.
fro-cfr-t12-p217:r-1-10-2-27
rdf:type fro-cfr:CFR_Parapraph ;
fro-cfr:hasParagraphText "(1) For wholesale exposures other than repo-style transactions, eligible margin loans, and OTC derivative contracts described in paragraph (2) or (3) of this definition:" ;
fro-leg-ref:divides fro-cfr-t12-p217:r-1-10-2 ;
fro-leg-ref:hasSequenceNumber 27 ;
fro-ref:hasSourceInstance ;
.
fro-cfr-t12-p217:r-1-10-2-28
rdf:type fro-cfr:CFR_Parapraph ;
fro-cfr:hasParagraphText "(i) The weighted-average remaining maturity (measured in years, whole or fractional) of the expected contractual cash flows from the exposure, using the undiscounted amounts of the cash flows as weights; or" ;
fro-leg-ref:divides fro-cfr-t12-p217:r-1-10-2 ;
fro-leg-ref:hasSequenceNumber 28 ;
fro-ref:hasSourceInstance ;
.
fro-cfr-t12-p217:r-1-10-2-29
rdf:type fro-cfr:CFR_Parapraph ;
fro-cfr:hasParagraphText "(ii) The nominal remaining maturity (measured in years, whole or fractional) of the exposure." ;
fro-leg-ref:divides fro-cfr-t12-p217:r-1-10-2 ;
fro-leg-ref:hasSequenceNumber 29 ;
fro-ref:hasSourceInstance ;
.
fro-cfr-t12-p217:r-1-10-2-3
rdf:type fro-cfr:CFR_Parapraph ;
fro-cfr:hasParagraphText "(b) For the purposes of this subpart, the following terms are defined as follows:" ;
fro-leg-ref:divides fro-cfr-t12-p217:r-1-10-2 ;
fro-leg-ref:hasSequenceNumber 3 ;
fro-ref:hasSourceInstance ;
.
fro-cfr-t12-p217:r-1-10-2-30
rdf:type fro-cfr:CFR_Parapraph ;
fro-cfr:hasParagraphText "(2) For repo-style transactions, eligible margin loans, and OTC derivative contracts subject to a qualifying master netting agreement for which the Board-regulated institution does not apply the internal models approach in section 132(d), the weighted-average remaining maturity (measured in years, whole or fractional) of the individual transactions subject to the qualifying master netting agreement, with the weight of each individual transaction set equal to the notional amount of the transaction." ;
fro-leg-ref:divides fro-cfr-t12-p217:r-1-10-2 ;
fro-leg-ref:hasSequenceNumber 30 ;
fro-ref:hasSourceInstance ;
.
fro-cfr-t12-p217:r-1-10-2-31
rdf:type fro-cfr:CFR_Parapraph ;
fro-cfr:hasParagraphText "(3) For repo-style transactions, eligible margin loans, and OTC derivative contracts for which the Board-regulated institution applies the internal models approach in § 217.132(d), the value determined in § 217.132(d)(4)." ;
fro-leg-ref:divides fro-cfr-t12-p217:r-1-10-2 ;
fro-leg-ref:hasSequenceNumber 31 ;
fro-ref:hasSourceInstance ;
.
fro-cfr-t12-p217:r-1-10-2-32
rdf:type fro-cfr:CFR_Parapraph ;
fro-cfr:hasParagraphEnumText "Eligible double default guarantor," ;
fro-cfr:hasParagraphText "with respect to a guarantee or credit derivative obtained by a Board-regulated institution, means:" ;
fro-leg-ref:divides fro-cfr-t12-p217:r-1-10-2 ;
fro-leg-ref:hasSequenceNumber 32 ;
fro-ref:hasSourceInstance ;
.
fro-cfr-t12-p217:r-1-10-2-33
rdf:type fro-cfr:CFR_Parapraph ;
fro-cfr:hasParagraphEnumText "U.S.-based entities." ;
fro-cfr:hasParagraphText "(1)" ;
fro-cfr:hasParagraphText "A depository institution, a bank holding company, a savings and loan holding company, or a securities broker or dealer registered with the SEC under the Securities Exchange Act, if at the time the guarantee is issued or anytime thereafter, has issued and outstanding an unsecured debt security without credit enhancement that is investment grade." ;
fro-leg-ref:divides fro-cfr-t12-p217:r-1-10-2 ;
fro-leg-ref:hasSequenceNumber 33 ;
fro-ref:hasSourceInstance ;
.
fro-cfr-t12-p217:r-1-10-2-34
rdf:type fro-cfr:CFR_Parapraph ;
fro-cfr:hasParagraphEnumText "Non-U.S.-based entities." ;
fro-cfr:hasParagraphText "(2)" ;
fro-cfr:hasParagraphText "A foreign bank, or a non-U.S.-based securities firm if the Board-regulated institution demonstrates that the guarantor is subject to consolidated supervision and regulation comparable to that imposed on U.S. depository institutions, or securities broker-dealers) if at the time the guarantee is issued or anytime thereafter, has issued and outstanding an unsecured debt security without credit enhancement that is investment grade." ;
fro-leg-ref:divides fro-cfr-t12-p217:r-1-10-2 ;
fro-leg-ref:hasSequenceNumber 34 ;
fro-ref:hasSourceInstance ;
.
fro-cfr-t12-p217:r-1-10-2-35
rdf:type fro-cfr:CFR_Parapraph ;
fro-cfr:hasParagraphEnumText "Eligible operational risk offsets" ;
fro-cfr:hasParagraphText "means amounts, not to exceed expected operational loss, that:" ;
fro-leg-ref:divides fro-cfr-t12-p217:r-1-10-2 ;
fro-leg-ref:hasSequenceNumber 35 ;
fro-ref:hasSourceInstance ;
.
fro-cfr-t12-p217:r-1-10-2-36
rdf:type fro-cfr:CFR_Parapraph ;
fro-cfr:hasParagraphText "(1) Are generated by internal business practices to absorb highly predictable and reasonably stable operational losses, including reserves calculated consistent with GAAP; and" ;
fro-leg-ref:divides fro-cfr-t12-p217:r-1-10-2 ;
fro-leg-ref:hasSequenceNumber 36 ;
fro-ref:hasSourceInstance ;
.
fro-cfr-t12-p217:r-1-10-2-37
rdf:type fro-cfr:CFR_Parapraph ;
fro-cfr:hasParagraphText "(2) Are available to cover expected operational losses with a high degree of certainty over a one-year horizon." ;
fro-leg-ref:divides fro-cfr-t12-p217:r-1-10-2 ;
fro-leg-ref:hasSequenceNumber 37 ;
fro-ref:hasSourceInstance ;
.
fro-cfr-t12-p217:r-1-10-2-38
rdf:type fro-cfr:CFR_Parapraph ;
fro-cfr:hasParagraphEnumText "Eligible purchased wholesale exposure" ;
fro-cfr:hasParagraphText "means a purchased wholesale exposure that:" ;
fro-leg-ref:divides fro-cfr-t12-p217:r-1-10-2 ;
fro-leg-ref:hasSequenceNumber 38 ;
fro-ref:hasSourceInstance ;
.
fro-cfr-t12-p217:r-1-10-2-39
rdf:type fro-cfr:CFR_Parapraph ;
fro-cfr:hasParagraphText "(1) The Board-regulated institution or securitization SPE purchased from an unaffiliated seller and did not directly or indirectly originate;" ;
fro-leg-ref:divides fro-cfr-t12-p217:r-1-10-2 ;
fro-leg-ref:hasSequenceNumber 39 ;
fro-ref:hasSourceInstance ;
.
fro-cfr-t12-p217:r-1-10-2-4
rdf:type fro-cfr:CFR_Parapraph ;
fro-cfr:hasParagraphEnumText "Advanced internal ratings-based (IRB) systems" ;
fro-cfr:hasParagraphText "means an advanced approaches Board-regulated institution's internal risk rating and segmentation system; risk parameter quantification system; data management and maintenance system; and control, oversight, and validation system for credit risk of wholesale and retail exposures." ;
fro-leg-ref:divides fro-cfr-t12-p217:r-1-10-2 ;
fro-leg-ref:hasSequenceNumber 4 ;
fro-ref:hasSourceInstance ;
.
fro-cfr-t12-p217:r-1-10-2-40
rdf:type fro-cfr:CFR_Parapraph ;
fro-cfr:hasParagraphText "(2) Was generated on an arm's-length basis between the seller and the obligor (intercompany accounts receivable and receivables subject to contra-accounts between firms that buy and sell to each other do not satisfy this criterion);" ;
fro-leg-ref:divides fro-cfr-t12-p217:r-1-10-2 ;
fro-leg-ref:hasSequenceNumber 40 ;
fro-ref:hasSourceInstance ;
.
fro-cfr-t12-p217:r-1-10-2-41
rdf:type fro-cfr:CFR_Parapraph ;
fro-cfr:hasParagraphText "(3) Provides the Board-regulated institution or securitization SPE with a claim on all proceeds from the exposure or a pro rata interest in the proceeds from the exposure;" ;
fro-leg-ref:divides fro-cfr-t12-p217:r-1-10-2 ;
fro-leg-ref:hasSequenceNumber 41 ;
fro-ref:hasSourceInstance ;
.
fro-cfr-t12-p217:r-1-10-2-42
rdf:type fro-cfr:CFR_Parapraph ;
fro-cfr:hasParagraphText "(4) Has an M of less than one year; and" ;
fro-leg-ref:divides fro-cfr-t12-p217:r-1-10-2 ;
fro-leg-ref:hasSequenceNumber 42 ;
fro-ref:hasSourceInstance ;
.
fro-cfr-t12-p217:r-1-10-2-43
rdf:type fro-cfr:CFR_Parapraph ;
fro-cfr:hasParagraphText "(5) When consolidated by obligor, does not represent a concentrated exposure relative to the portfolio of purchased wholesale exposures." ;
fro-leg-ref:divides fro-cfr-t12-p217:r-1-10-2 ;
fro-leg-ref:hasSequenceNumber 43 ;
fro-ref:hasSourceInstance ;
.
fro-cfr-t12-p217:r-1-10-2-44
rdf:type fro-cfr:CFR_Parapraph ;
fro-cfr:hasParagraphEnumText "Expected exposure (EE)" ;
fro-cfr:hasParagraphText "means the expected value of the probability distribution of non-negative credit risk exposures to a counterparty at any specified future date before the maturity date of the longest term transaction in the netting set. Any negative fair values in the probability distribution of fair values to a counterparty at a specified future date are set to zero to convert the probability distribution of fair values to the probability distribution of credit risk exposures." ;
fro-leg-ref:divides fro-cfr-t12-p217:r-1-10-2 ;
fro-leg-ref:hasSequenceNumber 44 ;
fro-ref:hasSourceInstance ;
.
fro-cfr-t12-p217:r-1-10-2-45
rdf:type fro-cfr:CFR_Parapraph ;
fro-cfr:hasParagraphEnumText "Expected operational loss (EOL)" ;
fro-cfr:hasParagraphText "means the expected value of the distribution of potential aggregate operational losses, as generated by the Board-regulated institution's operational risk quantification system using a one-year horizon." ;
fro-leg-ref:divides fro-cfr-t12-p217:r-1-10-2 ;
fro-leg-ref:hasSequenceNumber 45 ;
fro-ref:hasSourceInstance ;
.
fro-cfr-t12-p217:r-1-10-2-46
rdf:type fro-cfr:CFR_Parapraph ;
fro-cfr:hasParagraphEnumText "Expected positive exposure (EPE)" ;
fro-cfr:hasParagraphText "means the weighted average over time of expected (non-negative) exposures to a counterparty where the weights are the proportion of the time interval that an individual expected exposure represents. When calculating risk-based capital requirements, the average is taken over a one-year horizon." ;
fro-leg-ref:divides fro-cfr-t12-p217:r-1-10-2 ;
fro-leg-ref:hasSequenceNumber 46 ;
fro-ref:hasSourceInstance ;
.
fro-cfr-t12-p217:r-1-10-2-47
rdf:type fro-cfr:CFR_Parapraph ;
fro-cfr:hasParagraphEnumText "Exposure at default (EAD)" ;
fro-cfr:hasParagraphText "means:" ;
fro-leg-ref:divides fro-cfr-t12-p217:r-1-10-2 ;
fro-leg-ref:hasSequenceNumber 47 ;
fro-ref:hasSourceInstance ;
.
fro-cfr-t12-p217:r-1-10-2-48
rdf:type fro-cfr:CFR_Parapraph ;
fro-cfr:hasParagraphText "(1) For the on-balance sheet component of a wholesale exposure or segment of retail exposures (other than an OTC derivative contract, a repo-style transaction or eligible margin loan for" ;
fro-cfr:hasParagraphText "which the Board-regulated institution determines EAD under § 217.132, a cleared transaction, or default fund contribution), EAD means the Board-regulated institution's carrying value (including net accrued but unpaid interest and fees) for the exposure or segment less any allocated transfer risk reserve for the exposure or segment." ;
fro-leg-ref:divides fro-cfr-t12-p217:r-1-10-2 ;
fro-leg-ref:hasSequenceNumber 48 ;
fro-ref:hasSourceInstance ;
.
fro-cfr-t12-p217:r-1-10-2-49
rdf:type fro-cfr:CFR_Parapraph ;
fro-cfr:hasParagraphText "(2) For the off-balance sheet component of a wholesale exposure or segment of retail exposures (other than an OTC derivative contract, a repo-style transaction or eligible margin loan for which the Board-regulated institution determines EAD under § 217.132, cleared transaction, or default fund contribution) in the form of a loan commitment, line of credit, trade-related letter of credit, or transaction-related contingency, EAD means the Board-regulated institution's best estimate of net additions to the outstanding amount owed the Board-regulated institution, including estimated future additional draws of principal and accrued but unpaid interest and fees, that are likely to occur over a one-year horizon assuming the wholesale exposure or the retail exposures in the segment were to go into default. This estimate of net additions must reflect what would be expected during economic downturn conditions. For the purposes of this definition:" ;
fro-leg-ref:divides fro-cfr-t12-p217:r-1-10-2 ;
fro-leg-ref:hasSequenceNumber 49 ;
fro-ref:hasSourceInstance ;
.
fro-cfr-t12-p217:r-1-10-2-5
rdf:type fro-cfr:CFR_Parapraph ;
fro-cfr:hasParagraphEnumText "Advanced systems" ;
fro-cfr:hasParagraphText "means an advanced approaches Board-regulated institution's advanced IRB systems, operational risk management processes, operational risk data and assessment systems, operational risk quantification systems, and, to the extent used by the Board-regulated institution, the internal models methodology, advanced CVA approach, double default excessive correlation detection process, and internal models approach (IMA) for equity exposures." ;
fro-leg-ref:divides fro-cfr-t12-p217:r-1-10-2 ;
fro-leg-ref:hasSequenceNumber 5 ;
fro-ref:hasSourceInstance ;
.
fro-cfr-t12-p217:r-1-10-2-50
rdf:type fro-cfr:CFR_Parapraph ;
fro-cfr:hasParagraphText "(i) Trade-related letters of credit are short-term, self-liquidating instruments that are used to finance the movement of goods and are collateralized by the underlying goods." ;
fro-leg-ref:divides fro-cfr-t12-p217:r-1-10-2 ;
fro-leg-ref:hasSequenceNumber 50 ;
fro-ref:hasSourceInstance ;
.
fro-cfr-t12-p217:r-1-10-2-51
rdf:type fro-cfr:CFR_Parapraph ;
fro-cfr:hasParagraphText "(ii) Transaction-related contingencies relate to a particular transaction and include, among other things, performance bonds and performance-based letters of credit." ;
fro-leg-ref:divides fro-cfr-t12-p217:r-1-10-2 ;
fro-leg-ref:hasSequenceNumber 51 ;
fro-ref:hasSourceInstance ;
.
fro-cfr-t12-p217:r-1-10-2-52
rdf:type fro-cfr:CFR_Parapraph ;
fro-cfr:hasParagraphText "(3) For the off-balance sheet component of a wholesale exposure or segment of retail exposures (other than an OTC derivative contract, a repo-style transaction, or eligible margin loan for which the Board-regulated institution determines EAD under § 217.132, cleared transaction, or default fund contribution) in the form of anything other than a loan commitment, line of credit, trade-related letter of credit, or transaction-related contingency, EAD means the notional amount of the exposure or segment." ;
fro-leg-ref:divides fro-cfr-t12-p217:r-1-10-2 ;
fro-leg-ref:hasSequenceNumber 52 ;
fro-ref:hasSourceInstance ;
.
fro-cfr-t12-p217:r-1-10-2-53
rdf:type fro-cfr:CFR_Parapraph ;
fro-cfr:hasParagraphText "(4) EAD for OTC derivative contracts is calculated as described in § 217.132. A Board-regulated institution also may determine EAD for repo-style transactions and eligible margin loans as described in § 217.132." ;
fro-leg-ref:divides fro-cfr-t12-p217:r-1-10-2 ;
fro-leg-ref:hasSequenceNumber 53 ;
fro-ref:hasSourceInstance ;
.
fro-cfr-t12-p217:r-1-10-2-54
rdf:type fro-cfr:CFR_Parapraph ;
fro-cfr:hasParagraphEnumText "Exposure category" ;
fro-cfr:hasParagraphText "means any of the wholesale, retail, securitization, or equity exposure categories." ;
fro-leg-ref:divides fro-cfr-t12-p217:r-1-10-2 ;
fro-leg-ref:hasSequenceNumber 54 ;
fro-ref:hasSourceInstance ;
.
fro-cfr-t12-p217:r-1-10-2-55
rdf:type fro-cfr:CFR_Parapraph ;
fro-cfr:hasParagraphEnumText "External operational loss event data" ;
fro-cfr:hasParagraphText "means, with respect to a Board-regulated institution, gross operational loss amounts, dates, recoveries, and relevant causal information for operational loss events occurring at organizations other than the Board-regulated institution." ;
fro-leg-ref:divides fro-cfr-t12-p217:r-1-10-2 ;
fro-leg-ref:hasSequenceNumber 55 ;
fro-ref:hasSourceInstance ;
.
fro-cfr-t12-p217:r-1-10-2-56
rdf:type fro-cfr:CFR_Parapraph ;
fro-cfr:hasParagraphEnumText "IMM exposure" ;
fro-cfr:hasParagraphText "means a repo-style transaction, eligible margin loan, or OTC derivative for which a Board-regulated institution calculates its EAD using the internal models methodology of § 217.132(d)." ;
fro-leg-ref:divides fro-cfr-t12-p217:r-1-10-2 ;
fro-leg-ref:hasSequenceNumber 56 ;
fro-ref:hasSourceInstance ;
.
fro-cfr-t12-p217:r-1-10-2-57
rdf:type fro-cfr:CFR_Parapraph ;
fro-cfr:hasParagraphEnumText "Internal operational loss event data" ;
fro-cfr:hasParagraphText "means, with respect to a Board-regulated institution, gross operational loss amounts, dates, recoveries, and relevant causal information for operational loss events occurring at the Board-regulated institution." ;
fro-leg-ref:divides fro-cfr-t12-p217:r-1-10-2 ;
fro-leg-ref:hasSequenceNumber 57 ;
fro-ref:hasSourceInstance ;
.
fro-cfr-t12-p217:r-1-10-2-58
rdf:type fro-cfr:CFR_Parapraph ;
fro-cfr:hasParagraphEnumText "Loss given default (LGD)" ;
fro-cfr:hasParagraphText "means:" ;
fro-leg-ref:divides fro-cfr-t12-p217:r-1-10-2 ;
fro-leg-ref:hasSequenceNumber 58 ;
fro-ref:hasSourceInstance ;
.
fro-cfr-t12-p217:r-1-10-2-59
rdf:type fro-cfr:CFR_Parapraph ;
fro-cfr:hasParagraphText "(1) For a wholesale exposure, the greatest of:" ;
fro-leg-ref:divides fro-cfr-t12-p217:r-1-10-2 ;
fro-leg-ref:hasSequenceNumber 59 ;
fro-ref:hasSourceInstance ;
.
fro-cfr-t12-p217:r-1-10-2-6
rdf:type fro-cfr:CFR_Parapraph ;
fro-cfr:hasParagraphEnumText "Backtesting" ;
fro-cfr:hasParagraphText "means the comparison of a Board-regulated institution's internal estimates with actual outcomes during a sample period not used in model development. In this context, backtesting is one form of out-of-sample testing." ;
fro-leg-ref:divides fro-cfr-t12-p217:r-1-10-2 ;
fro-leg-ref:hasSequenceNumber 6 ;
fro-ref:hasSourceInstance ;
.
fro-cfr-t12-p217:r-1-10-2-60
rdf:type fro-cfr:CFR_Parapraph ;
fro-cfr:hasParagraphText "(i) Zero;" ;
fro-leg-ref:divides fro-cfr-t12-p217:r-1-10-2 ;
fro-leg-ref:hasSequenceNumber 60 ;
fro-ref:hasSourceInstance ;
.
fro-cfr-t12-p217:r-1-10-2-61
rdf:type fro-cfr:CFR_Parapraph ;
fro-cfr:hasParagraphText "(ii) The Board-regulated institution's empirically based best estimate of the long-run default-weighted average economic loss, per dollar of EAD, the Board-regulated institution would expect to incur if the obligor (or a typical obligor in the loss severity grade assigned by the Board-regulated institution to the exposure) were to default within a one-year horizon over a mix of economic conditions, including economic downturn conditions; or" ;
fro-leg-ref:divides fro-cfr-t12-p217:r-1-10-2 ;
fro-leg-ref:hasSequenceNumber 61 ;
fro-ref:hasSourceInstance ;
.
fro-cfr-t12-p217:r-1-10-2-62
rdf:type fro-cfr:CFR_Parapraph ;
fro-cfr:hasParagraphText "(iii) The Board-regulated institution's empirically based best estimate of the economic loss, per dollar of EAD, the Board-regulated institution would expect to incur if the obligor (or a typical obligor in the loss severity grade assigned by the Board-regulated institution to the exposure) were to default within a one-year horizon during economic downturn conditions." ;
fro-leg-ref:divides fro-cfr-t12-p217:r-1-10-2 ;
fro-leg-ref:hasSequenceNumber 62 ;
fro-ref:hasSourceInstance ;
.
fro-cfr-t12-p217:r-1-10-2-63
rdf:type fro-cfr:CFR_Parapraph ;
fro-cfr:hasParagraphText "(2) For a segment of retail exposures, the greatest of:" ;
fro-leg-ref:divides fro-cfr-t12-p217:r-1-10-2 ;
fro-leg-ref:hasSequenceNumber 63 ;
fro-ref:hasSourceInstance ;
.
fro-cfr-t12-p217:r-1-10-2-64
rdf:type fro-cfr:CFR_Parapraph ;
fro-cfr:hasParagraphText "(i) Zero;" ;
fro-leg-ref:divides fro-cfr-t12-p217:r-1-10-2 ;
fro-leg-ref:hasSequenceNumber 64 ;
fro-ref:hasSourceInstance ;
.
fro-cfr-t12-p217:r-1-10-2-65
rdf:type fro-cfr:CFR_Parapraph ;
fro-cfr:hasParagraphText "(ii) The Board-regulated institution's empirically based best estimate of the long-run default-weighted average economic loss, per dollar of EAD, the Board-regulated institution would expect to incur if the exposures in the segment were to default within a one-year horizon over a mix of economic conditions, including economic downturn conditions; or" ;
fro-leg-ref:divides fro-cfr-t12-p217:r-1-10-2 ;
fro-leg-ref:hasSequenceNumber 65 ;
fro-ref:hasSourceInstance ;
.
fro-cfr-t12-p217:r-1-10-2-66
rdf:type fro-cfr:CFR_Parapraph ;
fro-cfr:hasParagraphText "(iii) The Board-regulated institution's empirically based best estimate of the economic loss, per dollar of EAD, the Board-regulated institution would expect to incur if the exposures in the segment were to default within a one-year horizon during economic downturn conditions." ;
fro-leg-ref:divides fro-cfr-t12-p217:r-1-10-2 ;
fro-leg-ref:hasSequenceNumber 66 ;
fro-ref:hasSourceInstance ;
.
fro-cfr-t12-p217:r-1-10-2-67
rdf:type fro-cfr:CFR_Parapraph ;
fro-cfr:hasParagraphText "(3) The economic loss on an exposure in the event of default is all material credit-related losses on the exposure (including accrued but unpaid interest or fees, losses on the sale of collateral, direct workout costs, and an appropriate allocation of indirect workout costs). Where positive or negative cash flows on a wholesale exposure to a defaulted obligor or a defaulted retail exposure (including proceeds from the sale of collateral, workout costs, additional extensions of credit to facilitate repayment of the exposure, and draw-downs of unused credit lines) occur after the date of default, the economic loss must reflect the net present value of cash flows as of the default date using a discount rate appropriate to the risk of the defaulted exposure." ;
fro-leg-ref:divides fro-cfr-t12-p217:r-1-10-2 ;
fro-leg-ref:hasSequenceNumber 67 ;
fro-ref:hasSourceInstance ;
.
fro-cfr-t12-p217:r-1-10-2-68
rdf:type fro-cfr:CFR_Parapraph ;
fro-cfr:hasParagraphEnumText "Obligor" ;
fro-cfr:hasParagraphText "means the legal entity or natural person contractually obligated on a wholesale exposure, except that a Board-regulated institution may treat the following exposures as having separate obligors:" ;
fro-leg-ref:divides fro-cfr-t12-p217:r-1-10-2 ;
fro-leg-ref:hasSequenceNumber 68 ;
fro-ref:hasSourceInstance ;
.
fro-cfr-t12-p217:r-1-10-2-69
rdf:type fro-cfr:CFR_Parapraph ;
fro-cfr:hasParagraphText "(1) Exposures to the same legal entity or natural person denominated in different currencies;" ;
fro-leg-ref:divides fro-cfr-t12-p217:r-1-10-2 ;
fro-leg-ref:hasSequenceNumber 69 ;
fro-ref:hasSourceInstance ;
.
fro-cfr-t12-p217:r-1-10-2-7
rdf:type fro-cfr:CFR_Parapraph ;
fro-cfr:hasParagraphEnumText "Benchmarking" ;
fro-cfr:hasParagraphText "means the comparison of a Board-regulated institution's internal estimates with relevant internal and external data or with estimates based on other estimation techniques." ;
fro-leg-ref:divides fro-cfr-t12-p217:r-1-10-2 ;
fro-leg-ref:hasSequenceNumber 7 ;
fro-ref:hasSourceInstance ;
.
fro-cfr-t12-p217:r-1-10-2-70
rdf:type fro-cfr:CFR_Parapraph ;
fro-cfr:hasParagraphText "(2)(i) An income-producing real estate exposure for which all or substantially all of the repayment of the exposure is reliant on the cash flows of the real estate serving as collateral for the exposure; the Board-regulated institution, in economic substance, does not have recourse to the borrower beyond the real estate collateral; and no cross-default or cross-acceleration clauses are in place other than clauses obtained solely out of an abundance of caution; and" ;
fro-leg-ref:divides fro-cfr-t12-p217:r-1-10-2 ;
fro-leg-ref:hasSequenceNumber 70 ;
fro-ref:hasSourceInstance ;
.
fro-cfr-t12-p217:r-1-10-2-71
rdf:type fro-cfr:CFR_Parapraph ;
fro-cfr:hasParagraphText "(ii) Other credit exposures to the same legal entity or natural person; and" ;
fro-leg-ref:divides fro-cfr-t12-p217:r-1-10-2 ;
fro-leg-ref:hasSequenceNumber 71 ;
fro-ref:hasSourceInstance ;
.
fro-cfr-t12-p217:r-1-10-2-72
rdf:type fro-cfr:CFR_Parapraph ;
fro-cfr:hasParagraphText "(3)(i) A wholesale exposure authorized under section 364 of the U.S. Bankruptcy Code (11 U.S.C. 364) to a legal entity or natural person who is a debtor-in-possession for purposes of Chapter 11 of the Bankruptcy Code; and" ;
fro-leg-ref:divides fro-cfr-t12-p217:r-1-10-2 ;
fro-leg-ref:hasSequenceNumber 72 ;
fro-ref:hasSourceInstance ;
.
fro-cfr-t12-p217:r-1-10-2-73
rdf:type fro-cfr:CFR_Parapraph ;
fro-cfr:hasParagraphText "(ii) Other credit exposures to the same legal entity or natural person." ;
fro-leg-ref:divides fro-cfr-t12-p217:r-1-10-2 ;
fro-leg-ref:hasSequenceNumber 73 ;
fro-ref:hasSourceInstance ;
.
fro-cfr-t12-p217:r-1-10-2-74
rdf:type fro-cfr:CFR_Parapraph ;
fro-cfr:hasParagraphEnumText "Operational loss" ;
fro-cfr:hasParagraphText "means a loss (excluding insurance or tax effects) resulting from an operational loss event. Operational loss includes all expenses associated with an operational loss event except for opportunity costs, forgone revenue, and costs related to risk management and control enhancements implemented to prevent future operational losses." ;
fro-leg-ref:divides fro-cfr-t12-p217:r-1-10-2 ;
fro-leg-ref:hasSequenceNumber 74 ;
fro-ref:hasSourceInstance ;
.
fro-cfr-t12-p217:r-1-10-2-75
rdf:type fro-cfr:CFR_Parapraph ;
fro-cfr:hasParagraphEnumText "Operational loss event" ;
fro-cfr:hasParagraphText "means an event that results in loss and is associated with any of the following seven operational loss event type categories:" ;
fro-leg-ref:divides fro-cfr-t12-p217:r-1-10-2 ;
fro-leg-ref:hasSequenceNumber 75 ;
fro-ref:hasSourceInstance ;
.
fro-cfr-t12-p217:r-1-10-2-76
rdf:type fro-cfr:CFR_Parapraph ;
fro-cfr:hasParagraphText "(1) Internal fraud, which means the operational loss event type category that comprises operational losses resulting from an act involving at least one internal party of a type intended to defraud, misappropriate property, or circumvent regulations, the law, or company policy excluding diversity- and discrimination-type events." ;
fro-leg-ref:divides fro-cfr-t12-p217:r-1-10-2 ;
fro-leg-ref:hasSequenceNumber 76 ;
fro-ref:hasSourceInstance ;
.
fro-cfr-t12-p217:r-1-10-2-77
rdf:type fro-cfr:CFR_Parapraph ;
fro-cfr:hasParagraphText "(2) External fraud, which means the operational loss event type category that comprises operational losses resulting from an act by a third party of a type intended to defraud, misappropriate property, or circumvent the law. Retail credit card losses arising from non-contractual, third-party-initiated fraud (for example, identity theft) are external fraud operational losses. All other third-party-initiated credit losses are to be treated as credit risk losses." ;
fro-leg-ref:divides fro-cfr-t12-p217:r-1-10-2 ;
fro-leg-ref:hasSequenceNumber 77 ;
fro-ref:hasSourceInstance ;
.
fro-cfr-t12-p217:r-1-10-2-78
rdf:type fro-cfr:CFR_Parapraph ;
fro-cfr:hasParagraphText "(3) Employment practices and workplace safety, which means the operational loss event type category that comprises operational losses resulting from an act inconsistent with employment, health, or safety laws or agreements, payment of personal injury claims, or payment arising from diversity- and discrimination-type events." ;
fro-leg-ref:divides fro-cfr-t12-p217:r-1-10-2 ;
fro-leg-ref:hasSequenceNumber 78 ;
fro-ref:hasSourceInstance ;
.
fro-cfr-t12-p217:r-1-10-2-79
rdf:type fro-cfr:CFR_Parapraph ;
fro-cfr:hasParagraphText "(4) Clients, products, and business practices, which means the operational loss event type category that comprises operational losses resulting from the nature or design of a product or from an unintentional or negligent failure to meet a professional obligation to specific clients (including fiduciary and suitability requirements)." ;
fro-leg-ref:divides fro-cfr-t12-p217:r-1-10-2 ;
fro-leg-ref:hasSequenceNumber 79 ;
fro-ref:hasSourceInstance ;
.
fro-cfr-t12-p217:r-1-10-2-8
rdf:type fro-cfr:CFR_Parapraph ;
fro-cfr:hasParagraphEnumText "Bond option contract" ;
fro-cfr:hasParagraphText "means a bond option, bond future, or any other instrument linked to a bond that gives rise to similar counterparty credit risk." ;
fro-leg-ref:divides fro-cfr-t12-p217:r-1-10-2 ;
fro-leg-ref:hasSequenceNumber 8 ;
fro-ref:hasSourceInstance ;
.
fro-cfr-t12-p217:r-1-10-2-80
rdf:type fro-cfr:CFR_Parapraph ;
fro-cfr:hasParagraphText "(5) Damage to physical assets, which means the operational loss event type category that comprises operational losses resulting from the loss of or damage to physical assets from natural disaster or other events." ;
fro-leg-ref:divides fro-cfr-t12-p217:r-1-10-2 ;
fro-leg-ref:hasSequenceNumber 80 ;
fro-ref:hasSourceInstance ;
.
fro-cfr-t12-p217:r-1-10-2-81
rdf:type fro-cfr:CFR_Parapraph ;
fro-cfr:hasParagraphText "(6) Business disruption and system failures, which means the operational loss event type category that comprises operational losses resulting from disruption of business or system failures." ;
fro-leg-ref:divides fro-cfr-t12-p217:r-1-10-2 ;
fro-leg-ref:hasSequenceNumber 81 ;
fro-ref:hasSourceInstance ;
.
fro-cfr-t12-p217:r-1-10-2-82
rdf:type fro-cfr:CFR_Parapraph ;
fro-cfr:hasParagraphText "(7) Execution, delivery, and process management, which means the operational loss event type category that comprises operational losses resulting from failed transaction processing or process management or losses arising from relations with trade counterparties and vendors." ;
fro-leg-ref:divides fro-cfr-t12-p217:r-1-10-2 ;
fro-leg-ref:hasSequenceNumber 82 ;
fro-ref:hasSourceInstance ;
.
fro-cfr-t12-p217:r-1-10-2-83
rdf:type fro-cfr:CFR_Parapraph ;
fro-cfr:hasParagraphEnumText "Operational risk" ;
fro-cfr:hasParagraphText "means the risk of loss resulting from inadequate or failed internal processes, people, and systems or from external events (including legal risk but excluding strategic and reputational risk)." ;
fro-leg-ref:divides fro-cfr-t12-p217:r-1-10-2 ;
fro-leg-ref:hasSequenceNumber 83 ;
fro-ref:hasSourceInstance ;
.
fro-cfr-t12-p217:r-1-10-2-84
rdf:type fro-cfr:CFR_Parapraph ;
fro-cfr:hasParagraphEnumText "Operational risk exposure" ;
fro-cfr:hasParagraphText "means the 99.9th percentile of the distribution of potential aggregate operational losses, as generated by the Board-regulated institution's operational risk quantification system over a one-year horizon (and not incorporating eligible operational risk offsets or qualifying operational risk mitigants)." ;
fro-leg-ref:divides fro-cfr-t12-p217:r-1-10-2 ;
fro-leg-ref:hasSequenceNumber 84 ;
fro-ref:hasSourceInstance ;
.
fro-cfr-t12-p217:r-1-10-2-85
rdf:type fro-cfr:CFR_Parapraph ;
fro-cfr:hasParagraphEnumText "Other retail exposure" ;
fro-cfr:hasParagraphText "means an exposure (other than a securitization exposure, an equity exposure, a residential mortgage exposure, a pre-sold construction loan, a qualifying revolving exposure, or the residual value portion of a lease exposure) that is managed as part of a segment of exposures with homogeneous risk characteristics, not on an individual-exposure basis, and is either:" ;
fro-leg-ref:divides fro-cfr-t12-p217:r-1-10-2 ;
fro-leg-ref:hasSequenceNumber 85 ;
fro-ref:hasSourceInstance ;
.
fro-cfr-t12-p217:r-1-10-2-86
rdf:type fro-cfr:CFR_Parapraph ;
fro-cfr:hasParagraphText "(1) An exposure to an individual for non-business purposes; or" ;
fro-leg-ref:divides fro-cfr-t12-p217:r-1-10-2 ;
fro-leg-ref:hasSequenceNumber 86 ;
fro-ref:hasSourceInstance ;
.
fro-cfr-t12-p217:r-1-10-2-87
rdf:type fro-cfr:CFR_Parapraph ;
fro-cfr:hasParagraphText "(2) An exposure to an individual or company for business purposes if the Board-regulated institution's consolidated business credit exposure to the individual or company is $1 million or less." ;
fro-leg-ref:divides fro-cfr-t12-p217:r-1-10-2 ;
fro-leg-ref:hasSequenceNumber 87 ;
fro-ref:hasSourceInstance ;
.
fro-cfr-t12-p217:r-1-10-2-88
rdf:type fro-cfr:CFR_Parapraph ;
fro-cfr:hasParagraphEnumText "Probability of default (PD)" ;
fro-cfr:hasParagraphText "means:" ;
fro-leg-ref:divides fro-cfr-t12-p217:r-1-10-2 ;
fro-leg-ref:hasSequenceNumber 88 ;
fro-ref:hasSourceInstance ;
.
fro-cfr-t12-p217:r-1-10-2-89
rdf:type fro-cfr:CFR_Parapraph ;
fro-cfr:hasParagraphText "(1) For a wholesale exposure to a non-defaulted obligor, the Board-regulated institution's empirically based best estimate of the long-run average one-year default rate for the rating grade assigned by the Board-regulated institution to the obligor, capturing the average default experience for obligors in the rating grade over a mix of economic conditions (including economic downturn conditions) sufficient to provide a reasonable estimate of the average one-year default rate over the economic cycle for the rating grade." ;
fro-leg-ref:divides fro-cfr-t12-p217:r-1-10-2 ;
fro-leg-ref:hasSequenceNumber 89 ;
fro-ref:hasSourceInstance ;
.
fro-cfr-t12-p217:r-1-10-2-9
rdf:type fro-cfr:CFR_Parapraph ;
fro-cfr:hasParagraphEnumText "Business environment and internal control factors" ;
fro-cfr:hasParagraphText "means the indicators of a Board-regulated institution's operational risk profile that reflect a current and forward-looking assessment of" ;
fro-cfr:hasParagraphText "the Board-regulated institution's underlying business risk factors and internal control environment." ;
fro-leg-ref:divides fro-cfr-t12-p217:r-1-10-2 ;
fro-leg-ref:hasSequenceNumber 9 ;
fro-ref:hasSourceInstance ;
.
fro-cfr-t12-p217:r-1-10-2-90
rdf:type fro-cfr:CFR_Parapraph ;
fro-cfr:hasParagraphText "(2) For a segment of non-defaulted retail exposures, the Board-regulated institution's empirically based best estimate of the long-run average one-year default rate for the exposures in the segment, capturing the average default experience for exposures in the segment over a mix of economic conditions (including economic downturn conditions) sufficient to provide a reasonable estimate of the average one-year default rate over the economic cycle for the segment." ;
fro-leg-ref:divides fro-cfr-t12-p217:r-1-10-2 ;
fro-leg-ref:hasSequenceNumber 90 ;
fro-ref:hasSourceInstance ;
.
fro-cfr-t12-p217:r-1-10-2-91
rdf:type fro-cfr:CFR_Parapraph ;
fro-cfr:hasParagraphText "(3) For a wholesale exposure to a defaulted obligor or segment of defaulted retail exposures, 100 percent." ;
fro-leg-ref:divides fro-cfr-t12-p217:r-1-10-2 ;
fro-leg-ref:hasSequenceNumber 91 ;
fro-ref:hasSourceInstance ;
.
fro-cfr-t12-p217:r-1-10-2-92
rdf:type fro-cfr:CFR_Parapraph ;
fro-cfr:hasParagraphEnumText "Qualifying cross-product master netting agreement" ;
fro-cfr:hasParagraphText "means a qualifying master netting agreement that provides for termination and close-out netting across multiple types of financial transactions or qualifying master netting agreements in the event of a counterparty's default, provided that the underlying financial transactions are OTC derivative contracts, eligible margin loans, or repo-style transactions. In order to treat an agreement as a qualifying cross-product master netting agreement for purposes of this subpart, a Board-regulated institution must comply with the requirements of § 217.3(c) of this part with respect to that agreement." ;
fro-leg-ref:divides fro-cfr-t12-p217:r-1-10-2 ;
fro-leg-ref:hasSequenceNumber 92 ;
fro-ref:hasSourceInstance ;
.
fro-cfr-t12-p217:r-1-10-2-93
rdf:type fro-cfr:CFR_Parapraph ;
fro-cfr:hasParagraphEnumText "Qualifying revolving exposure (QRE)" ;
fro-cfr:hasParagraphText "homogeneous risk characteristics, not on an individual-exposure basis, and:" ;
fro-cfr:hasParagraphText "means an exposure (other than a securitization exposure or equity exposure) to an individual that is managed as part of a segment of exposures with" ;
fro-leg-ref:divides fro-cfr-t12-p217:r-1-10-2 ;
fro-leg-ref:hasSequenceNumber 93 ;
fro-ref:hasSourceInstance ;
.
fro-cfr-t12-p217:r-1-10-2-94
rdf:type fro-cfr:CFR_Parapraph ;
fro-cfr:hasParagraphText "(1) Is revolving (that is, the amount outstanding fluctuates, determined largely by a borrower's decision to borrow and repay up to a pre-established maximum amount, except for an outstanding amount that the borrower is required to pay in full every month);" ;
fro-leg-ref:divides fro-cfr-t12-p217:r-1-10-2 ;
fro-leg-ref:hasSequenceNumber 94 ;
fro-ref:hasSourceInstance ;
.
fro-cfr-t12-p217:r-1-10-2-95
rdf:type fro-cfr:CFR_Parapraph ;
fro-cfr:hasParagraphText "(2) Is unsecured and unconditionally cancelable by the Board-regulated institution to the fullest extent permitted by Federal law; and" ;
fro-leg-ref:divides fro-cfr-t12-p217:r-1-10-2 ;
fro-leg-ref:hasSequenceNumber 95 ;
fro-ref:hasSourceInstance ;
.
fro-cfr-t12-p217:r-1-10-2-96
rdf:type fro-cfr:CFR_Parapraph ;
fro-cfr:hasParagraphText "(3)(i) Has a maximum contractual exposure amount (drawn plus undrawn) of up to $100,000; or" ;
fro-leg-ref:divides fro-cfr-t12-p217:r-1-10-2 ;
fro-leg-ref:hasSequenceNumber 96 ;
fro-ref:hasSourceInstance ;
.
fro-cfr-t12-p217:r-1-10-2-97
rdf:type fro-cfr:CFR_Parapraph ;
fro-cfr:hasParagraphText "(ii) With respect to a product with an outstanding amount that the borrower is required to pay in full every month, the total outstanding amount does not in practice exceed $100,000." ;
fro-leg-ref:divides fro-cfr-t12-p217:r-1-10-2 ;
fro-leg-ref:hasSequenceNumber 97 ;
fro-ref:hasSourceInstance ;
.
fro-cfr-t12-p217:r-1-10-2-98
rdf:type fro-cfr:CFR_Parapraph ;
fro-cfr:hasParagraphText "(4) A segment of exposures that contains one or more exposures that fails to meet paragraph (3)(ii) of this definition must be treated as a segment of other retail exposures for the 24 month period following the month in which the total outstanding amount of one or more exposures individually exceeds $100,000." ;
fro-leg-ref:divides fro-cfr-t12-p217:r-1-10-2 ;
fro-leg-ref:hasSequenceNumber 98 ;
fro-ref:hasSourceInstance ;
.
fro-cfr-t12-p217:r-1-10-2-99
rdf:type fro-cfr:CFR_Parapraph ;
fro-cfr:hasParagraphEnumText "Retail exposure" ;
fro-cfr:hasParagraphText "means a residential mortgage exposure, a qualifying revolving exposure, or an other retail exposure." ;
fro-leg-ref:divides fro-cfr-t12-p217:r-1-10-2 ;
fro-leg-ref:hasSequenceNumber 99 ;
fro-ref:hasSourceInstance ;
.
fro-cfr-t12-p217:r-1-10-3
rdf:type fro-cfr:CFR_Section ;
fro-leg-ref:divides fro-cfr:CFR_Title-12_Part-217 ;
.
fro-cfr-t12-p217:r-1-10-4-1
rdf:type fro-cfr:CFR_Section ;
fro-cfr:hasSectionCitation "[Reg. Q, 78 FR 62157 and 62285, Oct. 11, 2013, as amended at 78 FR 62288, Oct. 11, 2013]" ;
fro-cfr:hasSectionNumber "§ 217.121" ;
fro-cfr:hasSectionSubject "Qualification process." ;
fro-leg-ref:divides fro-cfr:CFR_Title-12_Part-217 ;
fro-leg-ref:hasSequenceNumber 1 ;
fro-ref:hasSourceInstance ;
.
fro-cfr-t12-p217:r-1-10-4-1-10
rdf:type fro-cfr:CFR_Parapraph ;
fro-cfr:hasParagraphText "(iv) Based on the Board-regulated institution's self-assessment, identify and describe the areas in which the Board-regulated institution proposes to undertake additional work to comply with the qualification requirements in § 217.122 or to improve the consistency of the Board-regulated institution's current practices with the Board's supervisory guidance on the qualification requirements (gap analysis);" ;
fro-leg-ref:divides fro-cfr-t12-p217:r-1-10-4-1 ;
fro-leg-ref:hasSequenceNumber 10 ;
fro-ref:hasSourceInstance ;
.
fro-cfr-t12-p217:r-1-10-4-1-11
rdf:type fro-cfr:CFR_Parapraph ;
fro-cfr:hasParagraphText "(v) Describe what specific actions the Board-regulated institution will take to address the areas identified in the gap analysis required by paragraph (b)(1)(iv) of this section;" ;
fro-leg-ref:divides fro-cfr-t12-p217:r-1-10-4-1 ;
fro-leg-ref:hasSequenceNumber 11 ;
fro-ref:hasSourceInstance ;
.
fro-cfr-t12-p217:r-1-10-4-1-12
rdf:type fro-cfr:CFR_Parapraph ;
fro-cfr:hasParagraphText "(vi) Identify objective, measurable milestones, including delivery dates and a date when the Board-regulated institution's implementation of the methodologies described in this subpart will be fully operational;" ;
fro-leg-ref:divides fro-cfr-t12-p217:r-1-10-4-1 ;
fro-leg-ref:hasSequenceNumber 12 ;
fro-ref:hasSourceInstance ;
.
fro-cfr-t12-p217:r-1-10-4-1-13
rdf:type fro-cfr:CFR_Parapraph ;
fro-cfr:hasParagraphText "(vii) Describe resources that have been budgeted and are available to implement the plan; and" ;
fro-leg-ref:divides fro-cfr-t12-p217:r-1-10-4-1 ;
fro-leg-ref:hasSequenceNumber 13 ;
fro-ref:hasSourceInstance ;
.
fro-cfr-t12-p217:r-1-10-4-1-14
rdf:type fro-cfr:CFR_Parapraph ;
fro-cfr:hasParagraphText "(viii) Receive approval of the Board-regulated institution's board of directors." ;
fro-leg-ref:divides fro-cfr-t12-p217:r-1-10-4-1 ;
fro-leg-ref:hasSequenceNumber 14 ;
fro-ref:hasSourceInstance ;
.
fro-cfr-t12-p217:r-1-10-4-1-15
rdf:type fro-cfr:CFR_Parapraph ;
fro-cfr:hasParagraphText "(2) The Board-regulated institution must submit the implementation plan, together with a copy of the minutes of the board of directors' approval, to the Board at least 60 days before the Board-regulated institution proposes to begin its parallel run, unless the Board waives prior notice." ;
fro-leg-ref:divides fro-cfr-t12-p217:r-1-10-4-1 ;
fro-leg-ref:hasSequenceNumber 15 ;
fro-ref:hasSourceInstance ;
.
fro-cfr-t12-p217:r-1-10-4-1-16
rdf:type fro-cfr:CFR_Parapraph ;
fro-cfr:hasParagraphEnumText "Parallel run." ;
fro-cfr:hasParagraphText "(c)" ;
fro-cfr:hasParagraphText "Before determining its risk-weighted assets under this subpart and following adoption of the implementation plan, the Board-regulated institution must conduct a satisfactory parallel run. A satisfactory parallel run is a period of no less than four consecutive calendar quarters during which the Board-regulated institution complies with the qualification requirements in § 217.122 to the satisfaction of the Board. During the parallel run, the Board-regulated institution must report to the Board on a calendar quarterly basis its risk-based capital ratios determined in accordance with § 217.10(b)(1) through (3) and § 217.10(c)(1) through (3). During this period, the Board-regulated institution's minimum risk-based capital ratios are determined as set forth in subpart D of this part." ;
fro-leg-ref:divides fro-cfr-t12-p217:r-1-10-4-1 ;
fro-leg-ref:hasSequenceNumber 16 ;
fro-ref:hasSourceInstance ;
.
fro-cfr-t12-p217:r-1-10-4-1-17
rdf:type fro-cfr:CFR_Parapraph ;
fro-cfr:hasParagraphEnumText "Approval to calculate risk-based capital requirements under this subpart." ;
fro-cfr:hasParagraphText "(d)" ;
fro-cfr:hasParagraphText "The Board will notify the Board-regulated institution of the date that the Board-regulated institution must begin to use this subpart for purposes of § 217.10 if the Board determines that:" ;
fro-leg-ref:divides fro-cfr-t12-p217:r-1-10-4-1 ;
fro-leg-ref:hasSequenceNumber 17 ;
fro-ref:hasSourceInstance ;
.
fro-cfr-t12-p217:r-1-10-4-1-18
rdf:type fro-cfr:CFR_Parapraph ;
fro-cfr:hasParagraphText "(1) The Board-regulated institution fully complies with all the qualification requirements in § 217.122;" ;
fro-leg-ref:divides fro-cfr-t12-p217:r-1-10-4-1 ;
fro-leg-ref:hasSequenceNumber 18 ;
fro-ref:hasSourceInstance ;
.
fro-cfr-t12-p217:r-1-10-4-1-19
rdf:type fro-cfr:CFR_Parapraph ;
fro-cfr:hasParagraphText "(2) The Board-regulated institution has conducted a satisfactory parallel run under paragraph (c) of this section; and" ;
fro-leg-ref:divides fro-cfr-t12-p217:r-1-10-4-1 ;
fro-leg-ref:hasSequenceNumber 19 ;
fro-ref:hasSourceInstance ;
.
fro-cfr-t12-p217:r-1-10-4-1-2
rdf:type fro-cfr:CFR_Parapraph ;
fro-cfr:hasParagraphEnumText "Timing." ;
fro-cfr:hasParagraphText "(1) A Board-regulated institution that is described in § 217.100(b)(1)(i) and (ii) must adopt a written implementation plan no later" ;
fro-cfr:hasParagraphText "(a)" ;
fro-cfr:hasParagraphText "than six months after the date the Board-regulated institution meets a criterion in that section. The implementation plan must incorporate an explicit start date no later than 36 months after the date the Board-regulated institution meets at least one criterion under § 217.100(b)(1)(i) and (ii). The Board may extend the start date." ;
fro-leg-ref:divides fro-cfr-t12-p217:r-1-10-4-1 ;
fro-leg-ref:hasSequenceNumber 2 ;
fro-ref:hasSourceInstance ;
.
fro-cfr-t12-p217:r-1-10-4-1-20
rdf:type fro-cfr:CFR_Parapraph ;
fro-cfr:hasParagraphText "(3) The Board-regulated institution has an adequate process to ensure ongoing compliance with the qualification requirements in § 217.122." ;
fro-leg-ref:divides fro-cfr-t12-p217:r-1-10-4-1 ;
fro-leg-ref:hasSequenceNumber 20 ;
fro-ref:hasSourceInstance ;
.
fro-cfr-t12-p217:r-1-10-4-1-3
rdf:type fro-cfr:CFR_Parapraph ;
fro-cfr:hasParagraphText "(2) A Board-regulated institution that elects to be subject to this subpart under § 217.101(b)(1)(iii) must adopt a written implementation plan." ;
fro-leg-ref:divides fro-cfr-t12-p217:r-1-10-4-1 ;
fro-leg-ref:hasSequenceNumber 3 ;
fro-ref:hasSourceInstance ;
.
fro-cfr-t12-p217:r-1-10-4-1-4
rdf:type fro-cfr:CFR_Parapraph ;
fro-cfr:hasParagraphEnumText "Implementation plan." ;
fro-cfr:hasParagraphText "(1) The Board-regulated institution's implementation plan must address in detail how the Board-regulated institution complies, or plans to comply, with the qualification requirements in § 217.122. The Board-regulated institution also must maintain a comprehensive and sound planning and governance process to oversee the implementation efforts described in the plan. At a minimum, the plan must:" ;
fro-cfr:hasParagraphText "(b)" ;
fro-leg-ref:divides fro-cfr-t12-p217:r-1-10-4-1 ;
fro-leg-ref:hasSequenceNumber 4 ;
fro-ref:hasSourceInstance ;
.
fro-cfr-t12-p217:r-1-10-4-1-5
rdf:type fro-cfr:CFR_Parapraph ;
fro-cfr:hasParagraphText "(i) Comprehensively address the qualification requirements in § 217.122 for the Board-regulated institution and each consolidated subsidiary (U.S. and foreign-based) of the Board-regulated institution with respect to all portfolios and exposures of the Board-regulated institution and each of its consolidated subsidiaries;" ;
fro-leg-ref:divides fro-cfr-t12-p217:r-1-10-4-1 ;
fro-leg-ref:hasSequenceNumber 5 ;
fro-ref:hasSourceInstance ;
.
fro-cfr-t12-p217:r-1-10-4-1-6
rdf:type fro-cfr:CFR_Parapraph ;
fro-cfr:hasParagraphText "(ii) Justify and support any proposed temporary or permanent exclusion of business lines, portfolios, or exposures from the application of the advanced approaches in this subpart (which business lines, portfolios, and exposures must be, in the aggregate, immaterial to the Board-regulated institution);" ;
fro-leg-ref:divides fro-cfr-t12-p217:r-1-10-4-1 ;
fro-leg-ref:hasSequenceNumber 6 ;
fro-ref:hasSourceInstance ;
.
fro-cfr-t12-p217:r-1-10-4-1-7
rdf:type fro-cfr:CFR_Parapraph ;
fro-cfr:hasParagraphText "(iii) Include the Board-regulated institution's self-assessment of:" ;
fro-leg-ref:divides fro-cfr-t12-p217:r-1-10-4-1 ;
fro-leg-ref:hasSequenceNumber 7 ;
fro-ref:hasSourceInstance ;
.
fro-cfr-t12-p217:r-1-10-4-1-8
rdf:type fro-cfr:CFR_Parapraph ;
fro-cfr:hasParagraphText "(A) The Board-regulated institution's current status in meeting the qualification requirements in § 217.122; and" ;
fro-leg-ref:divides fro-cfr-t12-p217:r-1-10-4-1 ;
fro-leg-ref:hasSequenceNumber 8 ;
fro-ref:hasSourceInstance ;
.
fro-cfr-t12-p217:r-1-10-4-1-9
rdf:type fro-cfr:CFR_Parapraph ;
fro-cfr:hasParagraphText "(B) The consistency of the Board-regulated institution's current practices with the Board's supervisory guidance on the qualification requirements;" ;
fro-leg-ref:divides fro-cfr-t12-p217:r-1-10-4-1 ;
fro-leg-ref:hasSequenceNumber 9 ;
fro-ref:hasSourceInstance ;
.
fro-cfr-t12-p217:r-1-10-4-2
rdf:type fro-cfr:CFR_Section ;
fro-cfr:hasSectionCitation "[Reg. Q, 78 FR 62157 and 62285, Oct. 11, 2013, as amended at 78 FR 62289, Oct. 11, 2013]" ;
fro-cfr:hasSectionNumber "§ 217.122" ;
fro-cfr:hasSectionSubject "Qualification requirements." ;
fro-leg-ref:divides fro-cfr:CFR_Title-12_Part-217 ;
fro-leg-ref:hasSequenceNumber 2 ;
fro-ref:hasSourceInstance ;
.
fro-cfr-t12-p217:r-1-10-4-2-10
rdf:type fro-cfr:CFR_Parapraph ;
fro-cfr:hasParagraphText "(4) The Board-regulated institution's internal risk rating policy for wholesale exposures must describe the Board-regulated institution's rating philosophy (that is, must describe how wholesale obligor rating assignments are affected by the Board-regulated institution's choice of the range of economic, business, and industry conditions that are considered in the obligor rating process)." ;
fro-leg-ref:divides fro-cfr-t12-p217:r-1-10-4-2 ;
fro-leg-ref:hasSequenceNumber 10 ;
fro-ref:hasSourceInstance ;
.
fro-cfr-t12-p217:r-1-10-4-2-11
rdf:type fro-cfr:CFR_Parapraph ;
fro-cfr:hasParagraphText "(5) The Board-regulated institution's internal risk rating system for wholesale exposures must provide for the review and update (as appropriate) of each obligor rating and (if applicable) each loss severity rating whenever the Board-regulated institution receives new material information, but no less frequently than annually. The Board-regulated institution's retail exposure segmentation system must provide for the review and update (as appropriate) of assignments of retail exposures to segments whenever the Board-regulated institution receives new material information, but generally no less frequently than quarterly." ;
fro-leg-ref:divides fro-cfr-t12-p217:r-1-10-4-2 ;
fro-leg-ref:hasSequenceNumber 11 ;
fro-ref:hasSourceInstance ;
.
fro-cfr-t12-p217:r-1-10-4-2-12
rdf:type fro-cfr:CFR_Parapraph ;
fro-cfr:hasParagraphEnumText "Quantification of risk parameters for wholesale and retail exposures." ;
fro-cfr:hasParagraphText "(1) The Board-regulated institution must have a comprehensive risk parameter quantification process that produces accurate, timely, and reliable estimates of the risk parameters for the Board-regulated institution's wholesale and retail exposures." ;
fro-cfr:hasParagraphText "(c)" ;
fro-leg-ref:divides fro-cfr-t12-p217:r-1-10-4-2 ;
fro-leg-ref:hasSequenceNumber 12 ;
fro-ref:hasSourceInstance ;
.
fro-cfr-t12-p217:r-1-10-4-2-13
rdf:type fro-cfr:CFR_Parapraph ;
fro-cfr:hasParagraphText "(2) Data used to estimate the risk parameters must be relevant to the Board-regulated institution's actual wholesale and retail exposures, and of sufficient quality to support the determination of risk-based capital requirements for the exposures." ;
fro-leg-ref:divides fro-cfr-t12-p217:r-1-10-4-2 ;
fro-leg-ref:hasSequenceNumber 13 ;
fro-ref:hasSourceInstance ;
.
fro-cfr-t12-p217:r-1-10-4-2-14
rdf:type fro-cfr:CFR_Parapraph ;
fro-cfr:hasParagraphText "(3) The Board-regulated institution's risk parameter quantification process must produce appropriately conservative risk parameter estimates where the Board-regulated institution has limited relevant data, and any adjustments that are part of the quantification process must not result in a pattern of bias toward lower risk parameter estimates." ;
fro-leg-ref:divides fro-cfr-t12-p217:r-1-10-4-2 ;
fro-leg-ref:hasSequenceNumber 14 ;
fro-ref:hasSourceInstance ;
.
fro-cfr-t12-p217:r-1-10-4-2-15
rdf:type fro-cfr:CFR_Parapraph ;
fro-cfr:hasParagraphText "(4) The Board-regulated institution's risk parameter estimation process should not rely on the possibility of U.S. government financial assistance, except for the financial assistance that the U.S. government has a legally binding commitment to provide." ;
fro-leg-ref:divides fro-cfr-t12-p217:r-1-10-4-2 ;
fro-leg-ref:hasSequenceNumber 15 ;
fro-ref:hasSourceInstance ;
.
fro-cfr-t12-p217:r-1-10-4-2-16
rdf:type fro-cfr:CFR_Parapraph ;
fro-cfr:hasParagraphText "(5) Where the Board-regulated institution's quantifications of LGD directly or indirectly incorporate estimates of the effectiveness of its credit risk management practices in reducing its exposure to troubled obligors prior to default, the Board-regulated institution must support such estimates with empirical analysis showing that the estimates are consistent with its historical experience in dealing with such exposures during economic downturn conditions." ;
fro-leg-ref:divides fro-cfr-t12-p217:r-1-10-4-2 ;
fro-leg-ref:hasSequenceNumber 16 ;
fro-ref:hasSourceInstance ;
.
fro-cfr-t12-p217:r-1-10-4-2-17
rdf:type fro-cfr:CFR_Parapraph ;
fro-cfr:hasParagraphText "(6) PD estimates for wholesale obligors and retail segments must be based on at least five years of default data. LGD estimates for wholesale exposures must be based on at least seven years of loss severity data, and LGD estimates for retail segments must be based on at least five years of loss severity data. EAD estimates for wholesale exposures must be based on at least seven years of exposure amount data, and EAD estimates for retail segments must be based on at least five years of exposure amount data." ;
fro-leg-ref:divides fro-cfr-t12-p217:r-1-10-4-2 ;
fro-leg-ref:hasSequenceNumber 17 ;
fro-ref:hasSourceInstance ;
.
fro-cfr-t12-p217:r-1-10-4-2-18
rdf:type fro-cfr:CFR_Parapraph ;
fro-cfr:hasParagraphText "(7) Default, loss severity, and exposure amount data must include periods of economic downturn conditions, or the Board-regulated institution must adjust its estimates of risk parameters to compensate for the lack of data from periods of economic downturn conditions." ;
fro-leg-ref:divides fro-cfr-t12-p217:r-1-10-4-2 ;
fro-leg-ref:hasSequenceNumber 18 ;
fro-ref:hasSourceInstance ;
.
fro-cfr-t12-p217:r-1-10-4-2-19
rdf:type fro-cfr:CFR_Parapraph ;
fro-cfr:hasParagraphText "(8) The Board-regulated institution's PD, LGD, and EAD estimates must be based on the definition of default in § 217.101." ;
fro-leg-ref:divides fro-cfr-t12-p217:r-1-10-4-2 ;
fro-leg-ref:hasSequenceNumber 19 ;
fro-ref:hasSourceInstance ;
.
fro-cfr-t12-p217:r-1-10-4-2-2
rdf:type fro-cfr:CFR_Parapraph ;
fro-cfr:hasParagraphEnumText "Process and systems requirements." ;
fro-cfr:hasParagraphText "(1) A Board-regulated institution must have a rigorous process for assessing its overall capital adequacy in relation to its risk profile and a comprehensive strategy for maintaining an appropriate level of capital." ;
fro-cfr:hasParagraphText "(a)" ;
fro-leg-ref:divides fro-cfr-t12-p217:r-1-10-4-2 ;
fro-leg-ref:hasSequenceNumber 2 ;
fro-ref:hasSourceInstance ;
.
fro-cfr-t12-p217:r-1-10-4-2-20
rdf:type fro-cfr:CFR_Parapraph ;
fro-cfr:hasParagraphText "(9) The Board-regulated institution must review and update (as appropriate) its risk parameters and its risk parameter quantification process at least annually." ;
fro-leg-ref:divides fro-cfr-t12-p217:r-1-10-4-2 ;
fro-leg-ref:hasSequenceNumber 20 ;
fro-ref:hasSourceInstance ;
.
fro-cfr-t12-p217:r-1-10-4-2-21
rdf:type fro-cfr:CFR_Parapraph ;
fro-cfr:hasParagraphText "(10) The Board-regulated institution must, at least annually, conduct a comprehensive review and analysis of reference data to determine relevance of reference data to the Board-regulated institution's exposures, quality of reference data to support PD, LGD, and EAD estimates, and consistency of reference data to the definition of default in § 217.101." ;
fro-leg-ref:divides fro-cfr-t12-p217:r-1-10-4-2 ;
fro-leg-ref:hasSequenceNumber 21 ;
fro-ref:hasSourceInstance ;
.
fro-cfr-t12-p217:r-1-10-4-2-22
rdf:type fro-cfr:CFR_Parapraph ;
fro-cfr:hasParagraphEnumText "Counterparty credit risk model." ;
fro-cfr:hasParagraphText "(d)" ;
fro-cfr:hasParagraphText "A Board-regulated institution must obtain the prior written approval of the" ;
fro-cfr:hasParagraphText "Board under § 217.132 to use the internal models methodology for counterparty credit risk and the advanced CVA approach for the CVA capital requirement." ;
fro-leg-ref:divides fro-cfr-t12-p217:r-1-10-4-2 ;
fro-leg-ref:hasSequenceNumber 22 ;
fro-ref:hasSourceInstance ;
.
fro-cfr-t12-p217:r-1-10-4-2-23
rdf:type fro-cfr:CFR_Parapraph ;
fro-cfr:hasParagraphEnumText "Double default treatment." ;
fro-cfr:hasParagraphText "(e)" ;
fro-cfr:hasParagraphText "A Board-regulated institution must obtain the prior written approval of the Board under § 217.135 to use the double default treatment." ;
fro-leg-ref:divides fro-cfr-t12-p217:r-1-10-4-2 ;
fro-leg-ref:hasSequenceNumber 23 ;
fro-ref:hasSourceInstance ;
.
fro-cfr-t12-p217:r-1-10-4-2-24
rdf:type fro-cfr:CFR_Parapraph ;
fro-cfr:hasParagraphEnumText "Equity exposures model." ;
fro-cfr:hasParagraphText "(f)" ;
fro-cfr:hasParagraphText "A Board-regulated institution must obtain the prior written approval of the Board under § 217.153 to use the internal models approach for equity exposures." ;
fro-leg-ref:divides fro-cfr-t12-p217:r-1-10-4-2 ;
fro-leg-ref:hasSequenceNumber 24 ;
fro-ref:hasSourceInstance ;
.
fro-cfr-t12-p217:r-1-10-4-2-25
rdf:type fro-cfr:CFR_Parapraph ;
fro-cfr:hasParagraphEnumText "Operational risk." ;
fro-cfr:hasParagraphText "(1) Operational risk management processes. A Board-regulated institution must:" ;
fro-cfr:hasParagraphText "(g)" ;
fro-leg-ref:divides fro-cfr-t12-p217:r-1-10-4-2 ;
fro-leg-ref:hasSequenceNumber 25 ;
fro-ref:hasSourceInstance ;
.
fro-cfr-t12-p217:r-1-10-4-2-26
rdf:type fro-cfr:CFR_Parapraph ;
fro-cfr:hasParagraphText "(i) Have an operational risk management function that:" ;
fro-leg-ref:divides fro-cfr-t12-p217:r-1-10-4-2 ;
fro-leg-ref:hasSequenceNumber 26 ;
fro-ref:hasSourceInstance ;
.
fro-cfr-t12-p217:r-1-10-4-2-27
rdf:type fro-cfr:CFR_Parapraph ;
fro-cfr:hasParagraphText "(A) Is independent of business line management; and" ;
fro-leg-ref:divides fro-cfr-t12-p217:r-1-10-4-2 ;
fro-leg-ref:hasSequenceNumber 27 ;
fro-ref:hasSourceInstance ;
.
fro-cfr-t12-p217:r-1-10-4-2-28
rdf:type fro-cfr:CFR_Parapraph ;
fro-cfr:hasParagraphText "(B) Is responsible for designing, implementing, and overseeing the Board-regulated institution's operational risk data and assessment systems, operational risk quantification systems, and related processes;" ;
fro-leg-ref:divides fro-cfr-t12-p217:r-1-10-4-2 ;
fro-leg-ref:hasSequenceNumber 28 ;
fro-ref:hasSourceInstance ;
.
fro-cfr-t12-p217:r-1-10-4-2-29
rdf:type fro-cfr:CFR_Parapraph ;
fro-cfr:hasParagraphText "(ii) Have and document a process (which must capture business environment and internal control factors affecting the Board-regulated institution's operational risk profile) to identify, measure, monitor, and control operational risk in the Board-regulated institution's products, activities, processes, and systems; and" ;
fro-leg-ref:divides fro-cfr-t12-p217:r-1-10-4-2 ;
fro-leg-ref:hasSequenceNumber 29 ;
fro-ref:hasSourceInstance ;
.
fro-cfr-t12-p217:r-1-10-4-2-3
rdf:type fro-cfr:CFR_Parapraph ;
fro-cfr:hasParagraphText "(2) The systems and processes used by a Board-regulated institution for risk-based capital purposes under this subpart must be consistent with the Board-regulated institution's internal risk management processes and management information reporting systems." ;
fro-leg-ref:divides fro-cfr-t12-p217:r-1-10-4-2 ;
fro-leg-ref:hasSequenceNumber 3 ;
fro-ref:hasSourceInstance ;
.
fro-cfr-t12-p217:r-1-10-4-2-30
rdf:type fro-cfr:CFR_Parapraph ;
fro-cfr:hasParagraphText "(iii) Report operational risk exposures, operational loss events, and other relevant operational risk information to business unit management, senior management, and the board of directors (or a designated committee of the board)." ;
fro-leg-ref:divides fro-cfr-t12-p217:r-1-10-4-2 ;
fro-leg-ref:hasSequenceNumber 30 ;
fro-ref:hasSourceInstance ;
.
fro-cfr-t12-p217:r-1-10-4-2-31
rdf:type fro-cfr:CFR_Parapraph ;
fro-cfr:hasParagraphEnumText "Operational risk data and assessment systems." ;
fro-cfr:hasParagraphText "(2)" ;
fro-cfr:hasParagraphText "A Board-regulated institution must have operational risk data and assessment systems that capture operational risks to which the Board-regulated institution is exposed. The Board-regulated institution's operational risk data and assessment systems must:" ;
fro-leg-ref:divides fro-cfr-t12-p217:r-1-10-4-2 ;
fro-leg-ref:hasSequenceNumber 31 ;
fro-ref:hasSourceInstance ;
.
fro-cfr-t12-p217:r-1-10-4-2-32
rdf:type fro-cfr:CFR_Parapraph ;
fro-cfr:hasParagraphText "(i) Be structured in a manner consistent with the Board-regulated institution's current business activities, risk profile, technological processes, and risk management processes; and" ;
fro-leg-ref:divides fro-cfr-t12-p217:r-1-10-4-2 ;
fro-leg-ref:hasSequenceNumber 32 ;
fro-ref:hasSourceInstance ;
.
fro-cfr-t12-p217:r-1-10-4-2-33
rdf:type fro-cfr:CFR_Parapraph ;
fro-cfr:hasParagraphText "(ii) Include credible, transparent, systematic, and verifiable processes that incorporate the following elements on an ongoing basis:" ;
fro-leg-ref:divides fro-cfr-t12-p217:r-1-10-4-2 ;
fro-leg-ref:hasSequenceNumber 33 ;
fro-ref:hasSourceInstance ;
.
fro-cfr-t12-p217:r-1-10-4-2-34
rdf:type fro-cfr:CFR_Parapraph ;
fro-cfr:hasParagraphEnumText "Internal operational loss event data." ;
fro-cfr:hasParagraphText "(A)" ;
fro-cfr:hasParagraphText "The Board-regulated institution must have a systematic process for capturing and using internal operational loss event data in its operational risk data and assessment systems." ;
fro-leg-ref:divides fro-cfr-t12-p217:r-1-10-4-2 ;
fro-leg-ref:hasSequenceNumber 34 ;
fro-ref:hasSourceInstance ;
.
fro-cfr-t12-p217:r-1-10-4-2-35
rdf:type fro-cfr:CFR_Parapraph ;
fro-cfr:hasParagraphEnumText "1" ;
fro-cfr:hasParagraphText "(" ;
fro-cfr:hasParagraphText ") The Board-regulated institution's operational risk data and assessment systems must include a historical observation period of at least five years for internal operational loss event data (or such shorter period approved by the Board to address transitional situations, such as integrating a new business line)." ;
fro-leg-ref:divides fro-cfr-t12-p217:r-1-10-4-2 ;
fro-leg-ref:hasSequenceNumber 35 ;
fro-ref:hasSourceInstance ;
.
fro-cfr-t12-p217:r-1-10-4-2-36
rdf:type fro-cfr:CFR_Parapraph ;
fro-cfr:hasParagraphEnumText "2" ;
fro-cfr:hasParagraphText "(" ;
fro-cfr:hasParagraphText ") The Board-regulated institution must be able to map its internal operational loss event data into the seven operational loss event type categories." ;
fro-leg-ref:divides fro-cfr-t12-p217:r-1-10-4-2 ;
fro-leg-ref:hasSequenceNumber 36 ;
fro-ref:hasSourceInstance ;
.
fro-cfr-t12-p217:r-1-10-4-2-37
rdf:type fro-cfr:CFR_Parapraph ;
fro-cfr:hasParagraphEnumText "3" ;
fro-cfr:hasParagraphText "(" ;
fro-cfr:hasParagraphText ") The Board-regulated institution may refrain from collecting internal operational loss event data for individual operational losses below established dollar threshold amounts if the Board-regulated institution can demonstrate to the satisfaction of the Board that the thresholds are reasonable, do not exclude important internal operational loss event data, and permit the Board-regulated institution to capture substantially all the dollar value of the Board-regulated institution's operational losses." ;
fro-leg-ref:divides fro-cfr-t12-p217:r-1-10-4-2 ;
fro-leg-ref:hasSequenceNumber 37 ;
fro-ref:hasSourceInstance ;
.
fro-cfr-t12-p217:r-1-10-4-2-38
rdf:type fro-cfr:CFR_Parapraph ;
fro-cfr:hasParagraphEnumText "External operational loss event data." ;
fro-cfr:hasParagraphText "(B)" ;
fro-cfr:hasParagraphText "The Board-regulated institution must have a systematic process for determining its methodologies for incorporating external operational loss event data into its operational risk data and assessment systems." ;
fro-leg-ref:divides fro-cfr-t12-p217:r-1-10-4-2 ;
fro-leg-ref:hasSequenceNumber 38 ;
fro-ref:hasSourceInstance ;
.
fro-cfr-t12-p217:r-1-10-4-2-39
rdf:type fro-cfr:CFR_Parapraph ;
fro-cfr:hasParagraphEnumText "Scenario analysis." ;
fro-cfr:hasParagraphText "(C)" ;
fro-cfr:hasParagraphText "The Board-regulated institution must have a systematic process for determining its methodologies for incorporating scenario analysis into its operational risk data and assessment systems." ;
fro-leg-ref:divides fro-cfr-t12-p217:r-1-10-4-2 ;
fro-leg-ref:hasSequenceNumber 39 ;
fro-ref:hasSourceInstance ;
.
fro-cfr-t12-p217:r-1-10-4-2-4
rdf:type fro-cfr:CFR_Parapraph ;
fro-cfr:hasParagraphText "(3) Each Board-regulated institution must have an appropriate infrastructure with risk measurement and management processes that meet the qualification requirements of this section and are appropriate given the Board-regulated institution's size and level of complexity. Regardless of whether the systems and models that generate the risk parameters necessary for calculating a Board-regulated institution's risk-based capital requirements are located at any affiliate of the Board-regulated institution, the Board-regulated institution itself must ensure that the risk parameters and reference data used to determine its risk-based capital requirements are representative of its own credit risk and operational risk exposures." ;
fro-leg-ref:divides fro-cfr-t12-p217:r-1-10-4-2 ;
fro-leg-ref:hasSequenceNumber 4 ;
fro-ref:hasSourceInstance ;
.
fro-cfr-t12-p217:r-1-10-4-2-40
rdf:type fro-cfr:CFR_Parapraph ;
fro-cfr:hasParagraphEnumText "Business environment and internal control factors." ;
fro-cfr:hasParagraphText "(D)" ;
fro-cfr:hasParagraphText "The Board-regulated institution must incorporate business environment and internal control factors into its operational risk data and assessment systems. The Board-regulated institution must also periodically compare the results of its prior business" ;
fro-cfr:hasParagraphText "environment and internal control factor assessments against its actual operational losses incurred in the intervening period." ;
fro-leg-ref:divides fro-cfr-t12-p217:r-1-10-4-2 ;
fro-leg-ref:hasSequenceNumber 40 ;
fro-ref:hasSourceInstance ;
.
fro-cfr-t12-p217:r-1-10-4-2-41
rdf:type fro-cfr:CFR_Parapraph ;
fro-cfr:hasParagraphEnumText "Operational risk quantification systems." ;
fro-cfr:hasParagraphText "(3)" ;
fro-cfr:hasParagraphText "(i) The Board-regulated institution's operational risk quantification systems:" ;
fro-leg-ref:divides fro-cfr-t12-p217:r-1-10-4-2 ;
fro-leg-ref:hasSequenceNumber 41 ;
fro-ref:hasSourceInstance ;
.
fro-cfr-t12-p217:r-1-10-4-2-42
rdf:type fro-cfr:CFR_Parapraph ;
fro-cfr:hasParagraphText "(A) Must generate estimates of the Board-regulated institution's operational risk exposure using its operational risk data and assessment systems;" ;
fro-leg-ref:divides fro-cfr-t12-p217:r-1-10-4-2 ;
fro-leg-ref:hasSequenceNumber 42 ;
fro-ref:hasSourceInstance ;
.
fro-cfr-t12-p217:r-1-10-4-2-43
rdf:type fro-cfr:CFR_Parapraph ;
fro-cfr:hasParagraphText "(B) Must employ a unit of measure that is appropriate for the Board-regulated institution's range of business activities and the variety of operational loss events to which it is exposed, and that does not combine business activities or operational loss events with demonstrably different risk profiles within the same loss distribution;" ;
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fro-leg-ref:hasSequenceNumber 43 ;
fro-ref:hasSourceInstance ;
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fro-cfr-t12-p217:r-1-10-4-2-44
rdf:type fro-cfr:CFR_Parapraph ;
fro-cfr:hasParagraphText "(C) Must include a credible, transparent, systematic, and verifiable approach for weighting each of the four elements, described in paragraph (g)(2)(ii) of this section, that a Board-regulated institution is required to incorporate into its operational risk data and assessment systems;" ;
fro-leg-ref:divides fro-cfr-t12-p217:r-1-10-4-2 ;
fro-leg-ref:hasSequenceNumber 44 ;
fro-ref:hasSourceInstance ;
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fro-cfr-t12-p217:r-1-10-4-2-45
rdf:type fro-cfr:CFR_Parapraph ;
fro-cfr:hasParagraphText "(D) May use internal estimates of dependence among operational losses across and within units of measure if the Board-regulated institution can demonstrate to the satisfaction of the Board that its process for estimating dependence is sound, robust to a variety of scenarios, and implemented with integrity, and allows for uncertainty surrounding the estimates. If the Board-regulated institution has not made such a demonstration, it must sum operational risk exposure estimates across units of measure to calculate its total operational risk exposure; and" ;
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fro-leg-ref:hasSequenceNumber 45 ;
fro-ref:hasSourceInstance ;
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fro-cfr-t12-p217:r-1-10-4-2-46
rdf:type fro-cfr:CFR_Parapraph ;
fro-cfr:hasParagraphText "(E) Must be reviewed and updated (as appropriate) whenever the Board-regulated institution becomes aware of information that may have a material effect on the Board-regulated institution's estimate of operational risk exposure, but the review and update must occur no less frequently than annually." ;
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fro-leg-ref:hasSequenceNumber 46 ;
fro-ref:hasSourceInstance ;
.
fro-cfr-t12-p217:r-1-10-4-2-47
rdf:type fro-cfr:CFR_Parapraph ;
fro-cfr:hasParagraphText "(ii) With the prior written approval of the Board, a state member bank may generate an estimate of its operational risk exposure using an alternative approach to that specified in paragraph (g)(3)(i) of this section. A state member bank proposing to use such an alternative operational risk quantification system must submit a proposal to the Board. In determining whether to approve a state member bank's proposal to use an alternative operational risk quantification system, the Board will consider the following principles:" ;
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fro-leg-ref:hasSequenceNumber 47 ;
fro-ref:hasSourceInstance ;
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fro-cfr-t12-p217:r-1-10-4-2-48
rdf:type fro-cfr:CFR_Parapraph ;
fro-cfr:hasParagraphText "(A) Use of the alternative operational risk quantification system will be allowed only on an exception basis, considering the size, complexity, and risk profile of the state member bank;" ;
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fro-leg-ref:hasSequenceNumber 48 ;
fro-ref:hasSourceInstance ;
.
fro-cfr-t12-p217:r-1-10-4-2-49
rdf:type fro-cfr:CFR_Parapraph ;
fro-cfr:hasParagraphText "(B) The state member bank must demonstrate that its estimate of its operational risk exposure generated under the alternative operational risk quantification system is appropriate and can be supported empirically; and" ;
fro-leg-ref:divides fro-cfr-t12-p217:r-1-10-4-2 ;
fro-leg-ref:hasSequenceNumber 49 ;
fro-ref:hasSourceInstance ;
.
fro-cfr-t12-p217:r-1-10-4-2-5
rdf:type fro-cfr:CFR_Parapraph ;
fro-cfr:hasParagraphEnumText "Risk rating and segmentation systems for wholesale and retail exposures." ;
fro-cfr:hasParagraphText "(1) A Board-regulated institution must have an internal risk rating and segmentation system that accurately and reliably differentiates among degrees of credit risk for the Board-regulated institution's wholesale and retail exposures." ;
fro-cfr:hasParagraphText "(b)" ;
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fro-leg-ref:hasSequenceNumber 5 ;
fro-ref:hasSourceInstance ;
.
fro-cfr-t12-p217:r-1-10-4-2-50
rdf:type fro-cfr:CFR_Parapraph ;
fro-cfr:hasParagraphText "(C) A state member bank must not use an allocation of operational risk capital requirements that includes entities other than depository institutions or the benefits of diversification across entities." ;
fro-leg-ref:divides fro-cfr-t12-p217:r-1-10-4-2 ;
fro-leg-ref:hasSequenceNumber 50 ;
fro-ref:hasSourceInstance ;
.
fro-cfr-t12-p217:r-1-10-4-2-51
rdf:type fro-cfr:CFR_Parapraph ;
fro-cfr:hasParagraphEnumText "Data management and maintenance." ;
fro-cfr:hasParagraphText "(1) A Board-regulated institution must have data management and maintenance systems that adequately support all aspects of its advanced systems and the timely and accurate reporting of risk-based capital requirements." ;
fro-cfr:hasParagraphText "(h)" ;
fro-leg-ref:divides fro-cfr-t12-p217:r-1-10-4-2 ;
fro-leg-ref:hasSequenceNumber 51 ;
fro-ref:hasSourceInstance ;
.
fro-cfr-t12-p217:r-1-10-4-2-52
rdf:type fro-cfr:CFR_Parapraph ;
fro-cfr:hasParagraphText "(2) A Board-regulated institution must retain data using an electronic format that allows timely retrieval of data for analysis, validation, reporting, and disclosure purposes." ;
fro-leg-ref:divides fro-cfr-t12-p217:r-1-10-4-2 ;
fro-leg-ref:hasSequenceNumber 52 ;
fro-ref:hasSourceInstance ;
.
fro-cfr-t12-p217:r-1-10-4-2-53
rdf:type fro-cfr:CFR_Parapraph ;
fro-cfr:hasParagraphText "(3) A Board-regulated institution must retain sufficient data elements related to key risk drivers to permit adequate monitoring, validation, and refinement of its advanced systems." ;
fro-leg-ref:divides fro-cfr-t12-p217:r-1-10-4-2 ;
fro-leg-ref:hasSequenceNumber 53 ;
fro-ref:hasSourceInstance ;
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fro-cfr-t12-p217:r-1-10-4-2-54
rdf:type fro-cfr:CFR_Parapraph ;
fro-cfr:hasParagraphEnumText "Control, oversight, and validation mechanisms." ;
fro-cfr:hasParagraphText "(1) The Board-regulated institution's senior management must ensure that all components of the Board-regulated institution's advanced systems function effectively and comply with the qualification requirements in this section." ;
fro-cfr:hasParagraphText "(i)" ;
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fro-leg-ref:hasSequenceNumber 54 ;
fro-ref:hasSourceInstance ;
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fro-cfr-t12-p217:r-1-10-4-2-55
rdf:type fro-cfr:CFR_Parapraph ;
fro-cfr:hasParagraphText "(2) The Board-regulated institution's board of directors (or a designated committee of the board) must at least annually review the effectiveness of, and approve, the Board-regulated institution's advanced systems." ;
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fro-leg-ref:hasSequenceNumber 55 ;
fro-ref:hasSourceInstance ;
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fro-cfr-t12-p217:r-1-10-4-2-56
rdf:type fro-cfr:CFR_Parapraph ;
fro-cfr:hasParagraphText "(3) A Board-regulated institution must have an effective system of controls and oversight that:" ;
fro-leg-ref:divides fro-cfr-t12-p217:r-1-10-4-2 ;
fro-leg-ref:hasSequenceNumber 56 ;
fro-ref:hasSourceInstance ;
.
fro-cfr-t12-p217:r-1-10-4-2-57
rdf:type fro-cfr:CFR_Parapraph ;
fro-cfr:hasParagraphText "(i) Ensures ongoing compliance with the qualification requirements in this section;" ;
fro-leg-ref:divides fro-cfr-t12-p217:r-1-10-4-2 ;
fro-leg-ref:hasSequenceNumber 57 ;
fro-ref:hasSourceInstance ;
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fro-cfr-t12-p217:r-1-10-4-2-58
rdf:type fro-cfr:CFR_Parapraph ;
fro-cfr:hasParagraphText "(ii) Maintains the integrity, reliability, and accuracy of the Board-regulated institution's advanced systems; and" ;
fro-leg-ref:divides fro-cfr-t12-p217:r-1-10-4-2 ;
fro-leg-ref:hasSequenceNumber 58 ;
fro-ref:hasSourceInstance ;
.
fro-cfr-t12-p217:r-1-10-4-2-59
rdf:type fro-cfr:CFR_Parapraph ;
fro-cfr:hasParagraphText "(iii) Includes adequate governance and project management processes." ;
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fro-leg-ref:hasSequenceNumber 59 ;
fro-ref:hasSourceInstance ;
.
fro-cfr-t12-p217:r-1-10-4-2-6
rdf:type fro-cfr:CFR_Parapraph ;
fro-cfr:hasParagraphText "(2) For wholesale exposures:" ;
fro-leg-ref:divides fro-cfr-t12-p217:r-1-10-4-2 ;
fro-leg-ref:hasSequenceNumber 6 ;
fro-ref:hasSourceInstance ;
.
fro-cfr-t12-p217:r-1-10-4-2-60
rdf:type fro-cfr:CFR_Parapraph ;
fro-cfr:hasParagraphText "(4) The Board-regulated institution must validate, on an ongoing basis, its advanced systems. The Board-regulated institution's validation process must be independent of the advanced systems' development, implementation, and operation, or the validation process must be subjected to an independent review of its adequacy and effectiveness. Validation must include:" ;
fro-leg-ref:divides fro-cfr-t12-p217:r-1-10-4-2 ;
fro-leg-ref:hasSequenceNumber 60 ;
fro-ref:hasSourceInstance ;
.
fro-cfr-t12-p217:r-1-10-4-2-61
rdf:type fro-cfr:CFR_Parapraph ;
fro-cfr:hasParagraphText "(i) An evaluation of the conceptual soundness of (including developmental evidence supporting) the advanced systems;" ;
fro-leg-ref:divides fro-cfr-t12-p217:r-1-10-4-2 ;
fro-leg-ref:hasSequenceNumber 61 ;
fro-ref:hasSourceInstance ;
.
fro-cfr-t12-p217:r-1-10-4-2-62
rdf:type fro-cfr:CFR_Parapraph ;
fro-cfr:hasParagraphText "(ii) An ongoing monitoring process that includes verification of processes and benchmarking; and" ;
fro-leg-ref:divides fro-cfr-t12-p217:r-1-10-4-2 ;
fro-leg-ref:hasSequenceNumber 62 ;
fro-ref:hasSourceInstance ;
.
fro-cfr-t12-p217:r-1-10-4-2-63
rdf:type fro-cfr:CFR_Parapraph ;
fro-cfr:hasParagraphText "(iii) An outcomes analysis process that includes backtesting." ;
fro-leg-ref:divides fro-cfr-t12-p217:r-1-10-4-2 ;
fro-leg-ref:hasSequenceNumber 63 ;
fro-ref:hasSourceInstance ;
.
fro-cfr-t12-p217:r-1-10-4-2-64
rdf:type fro-cfr:CFR_Parapraph ;
fro-cfr:hasParagraphText "(5) The Board-regulated institution must have an internal audit function independent of business-line management that at least annually assesses the effectiveness of the controls supporting the Board-regulated institution's advanced systems and reports its findings to the Board-regulated institution's board of directors (or a committee thereof)." ;
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fro-leg-ref:hasSequenceNumber 64 ;
fro-ref:hasSourceInstance ;
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fro-cfr-t12-p217:r-1-10-4-2-65
rdf:type fro-cfr:CFR_Parapraph ;
fro-cfr:hasParagraphText "(6) The Board-regulated institution must periodically stress test its advanced systems. The stress testing must include a consideration of how economic cycles, especially downturns, affect risk-based capital requirements (including migration across rating grades and segments and the credit risk mitigation benefits of double default treatment)." ;
fro-leg-ref:divides fro-cfr-t12-p217:r-1-10-4-2 ;
fro-leg-ref:hasSequenceNumber 65 ;
fro-ref:hasSourceInstance ;
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fro-cfr-t12-p217:r-1-10-4-2-66
rdf:type fro-cfr:CFR_Parapraph ;
fro-cfr:hasParagraphEnumText "Documentation." ;
fro-cfr:hasParagraphText "(j)" ;
fro-cfr:hasParagraphText "The Board-regulated institution must adequately document all material aspects of its advanced systems." ;
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fro-leg-ref:hasSequenceNumber 66 ;
fro-ref:hasSourceInstance ;
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fro-cfr-t12-p217:r-1-10-4-2-7
rdf:type fro-cfr:CFR_Parapraph ;
fro-cfr:hasParagraphText "(i) A Board-regulated institution must have an internal risk rating system that accurately and reliably assigns each obligor to a single rating grade (reflecting the obligor's likelihood of default). A Board-regulated institution may elect, however, not to assign to a rating grade an obligor to whom the Board-regulated institution extends credit based solely on the financial strength of a guarantor, provided that all of the Board-regulated institution's exposures to the obligor are fully covered by eligible guarantees, the Board-regulated institution applies the PD substitution approach in § 217.134(c)(1) to all exposures to that obligor, and the Board-regulated institution immediately assigns the obligor to a rating grade if a guarantee can no longer be recognized under this part. The Board-regulated institution's wholesale obligor rating system must have at least seven discrete rating grades for non-defaulted obligors and at least one rating grade for defaulted obligors." ;
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fro-cfr-t12-p217:r-1-10-4-2-8
rdf:type fro-cfr:CFR_Parapraph ;
fro-cfr:hasParagraphText "(ii) Unless the Board-regulated institution has chosen to directly assign LGD estimates to each wholesale exposure, the Board-regulated institution must have an internal risk rating system that accurately and reliably assigns each wholesale exposure to a loss severity rating grade (reflecting the Board-regulated institution's estimate of the LGD of the exposure). A Board-regulated institution employing loss severity rating grades must have a sufficiently granular loss severity grading system to avoid grouping together exposures with widely ranging LGDs." ;
fro-leg-ref:divides fro-cfr-t12-p217:r-1-10-4-2 ;
fro-leg-ref:hasSequenceNumber 8 ;
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fro-cfr-t12-p217:r-1-10-4-2-9
rdf:type fro-cfr:CFR_Parapraph ;
fro-cfr:hasParagraphText "(3) For retail exposures, a Board-regulated institution must have an internal system that groups retail exposures into the appropriate retail exposure subcategory, groups the retail exposures in each retail exposure subcategory into separate segments with homogeneous risk characteristics, and assigns accurate and reliable PD and LGD estimates for each segment on a consistent basis. The Board-regulated institution's system must identify and group in separate segments by subcategories exposures identified in § 217.131(c)(2)(ii) and (iii)." ;
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fro-leg-ref:hasSequenceNumber 9 ;
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fro-cfr-t12-p217:r-1-10-4-3
rdf:type fro-cfr:CFR_Section ;
fro-cfr:hasSectionNumber "§ 217.123" ;
fro-cfr:hasSectionSubject "Ongoing qualification." ;
fro-leg-ref:divides fro-cfr:CFR_Title-12_Part-217 ;
fro-leg-ref:hasSequenceNumber 3 ;
fro-ref:hasSourceInstance ;
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fro-cfr-t12-p217:r-1-10-4-3-2
rdf:type fro-cfr:CFR_Parapraph ;
fro-cfr:hasParagraphEnumText "Changes to advanced systems." ;
fro-cfr:hasParagraphText "(a)" ;
fro-cfr:hasParagraphText "A Board-regulated institution must meet all the qualification requirements in § 217.122 on an ongoing basis. A Board-regulated institution must notify the Board when the Board-regulated institution makes any change to an advanced system that would result in a material change in the Board-regulated institution's advanced approaches total risk-weighted asset amount for an exposure type or when the Board-regulated institution makes any significant change to its modeling assumptions." ;
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fro-ref:hasSourceInstance ;
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fro-cfr-t12-p217:r-1-10-4-3-3
rdf:type fro-cfr:CFR_Parapraph ;
fro-cfr:hasParagraphEnumText "Failure to comply with qualification requirements." ;
fro-cfr:hasParagraphText "(1) If the Board determines that a Board-regulated institution that uses this subpart and that has conducted a satisfactory parallel run fails to comply with the qualification requirements in § 217.122, the Board will notify the Board-regulated institution in writing of the Board-regulated institution's failure to comply." ;
fro-cfr:hasParagraphText "(b)" ;
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fro-cfr-t12-p217:r-1-10-4-3-4
rdf:type fro-cfr:CFR_Parapraph ;
fro-cfr:hasParagraphText "(2) The Board-regulated institution must establish and submit a plan satisfactory to the Board to return to compliance with the qualification requirements." ;
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fro-cfr-t12-p217:r-1-10-4-3-5
rdf:type fro-cfr:CFR_Parapraph ;
fro-cfr:hasParagraphText "(3) In addition, if the Board determines that the Board-regulated institution's advanced approaches total risk-weighted assets are not commensurate with the Board-regulated institution's credit, market, operational, or other risks, the Board may require such a Board-regulated institution to calculate its advanced approaches total risk-weighted assets with any modifications provided by the Board." ;
fro-leg-ref:divides fro-cfr-t12-p217:r-1-10-4-3 ;
fro-leg-ref:hasSequenceNumber 5 ;
fro-ref:hasSourceInstance ;
.
fro-cfr-t12-p217:r-1-10-4-4
rdf:type fro-cfr:CFR_Section ;
fro-cfr:hasSectionNumber "§ 217.124" ;
fro-cfr:hasSectionSubject "Merger and acquisition transitional arrangements." ;
fro-leg-ref:divides fro-cfr:CFR_Title-12_Part-217 ;
fro-leg-ref:hasSequenceNumber 4 ;
fro-ref:hasSourceInstance ;
.
fro-cfr-t12-p217:r-1-10-4-4-2
rdf:type fro-cfr:CFR_Parapraph ;
fro-cfr:hasParagraphEnumText "Mergers and acquisitions of companies without advanced systems." ;
fro-cfr:hasParagraphText "(a)" ;
fro-cfr:hasParagraphText "If a Board-regulated institution merges with or acquires a company that does not calculate its risk-based capital requirements using advanced systems, the Board-regulated institution may use subpart D of this part to determine the risk-weighted asset amounts for the merged or acquired company's exposures for up to 24 months after the calendar quarter during which the merger or acquisition consummates. The Board may extend this transition period for up to an additional 12" ;
fro-cfr:hasParagraphText "months. Within 90 days of consummating the merger or acquisition, the Board-regulated institution must submit to the Board an implementation plan for using its advanced systems for the acquired company. During the period in which subpart D of this part applies to the merged or acquired company, any ALLL, net of allocated transfer risk reserves established pursuant to 12 U.S.C. 3904, associated with the merged or acquired company's exposures may be included in the acquiring Board-regulated institution's tier 2 capital up to 1.25 percent of the acquired company's risk-weighted assets. All general allowances of the merged or acquired company must be excluded from the Board-regulated institution's eligible credit reserves. In addition, the risk-weighted assets of the merged or acquired company are not included in the Board-regulated institution's credit-risk-weighted assets but are included in total risk-weighted assets. If a Board-regulated institution relies on this paragraph (a), the Board-regulated institution must disclose publicly the amounts of risk-weighted assets and qualifying capital calculated under this subpart for the acquiring Board-regulated institution and under subpart D of this part for the acquired company." ;
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