§ 217.606. Scaling parameters.
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/us/cfr/t12/s§ 217.606·A research copy — for the controlling text, always check the official state or federal source. Not legal advice.
(a)Scaling specified by the Board—(1) Scaling between the U.S. Federal banking capital rules and NAIC RBC—(i) Scaling capital requirement. When calculating the building block capital requirement for a building block parent in accordance with § 217.607, where the indicated capital framework is NAIC RBC or the U.S. Federal banking capital rules, and where the indicated capital framework of the appropriate downstream building block parent is NAIC RBC or the U.S. Federal banking capital rules, the capital requirement scaling modifier is provided by table 1 to this paragraph (a)(1)(i). Table 1 to Paragraph (a)(1)(i)—Capital Requirement Scaling Modifiers for NAIC RBC and the U.S. Federal Banking Capital Rules Upstream building block parent's indicated capital framework: NAIC RBC U.S. Federal banking capital rules Downstream building block parent's indicated capital framework: U.S. Federal banking capital rules0.01061 NAIC RBC194.3
(ii)Scaling available capital. When calculating the building block available capital for a building block parent in accordance with § 217.608, where the indicated capital framework is NAIC RBC or the U.S. Federal banking capital rules, and where the indicated capital framework of the appropriate downstream building block parent is NAIC RBC or the U.S. Federal banking capital rules, the available capital scaling modifier is provided by table 2 to this paragraph (a)(1)(ii). Table 2 to Paragraph (a)(1)(ii)—Available Capital Scaling Modifiers for NAIC RBC and the U.S. Federal Banking Capital Rules Upstream building block parent's indicated capital framework: NAIC RBC U.S. Federal banking capital rules Downstream building block parent's indicated capital framework: U.S. Federal banking capital rulesRecalculated building block capital requirement * 0.0630. NAIC RBC0Recalculated building block capital requirement * 5.9. Capital framework: NAIC RBC0Recalculated building block capital requirement * 5.9.
(2)Scaling to determine BBA ratio. For purposes of determining the BBA ratio under § 217.603(b)—
(i)A depository institution holding company for which the indicated capital framework is the U.S. Federal banking capital rules scales its building block available capital and building block capital requirement the common capital framework by using the methods described in paragraphs (a)(1) of this section. For purposes of scaling under this paragraph (a)(2)(i), the downstream building block parent's indicated capital framework is the U.S. Federal banking capital rules and the upstream building block parent's indicated capital framework is NAIC RBC; and
(ii)A depository institution holding company for which the indicated capital framework is NAIC RBC does not scale its building block available capital or building block capital requirement.
(b)Scaling not specified by the Board but framework is scalar compatible. Where a scaling modifier to be used in § 217.607 or § 217.608 is not specified in paragraph
(a)of this section, and the building block parent's indicated capital framework (i.e., jurisdictional capital framework) is scalar compatible, a building block parent determines the scaling modifier as follows:
(1)Definitions. For purposes of this section, the following definitions apply:
(i)Jurisdictional intervention point. The jurisdictional intervention point is the capital level, under the laws of the jurisdiction for its domestic insurers, at which the supervisory authority in the jurisdiction may intervene as to a company subject its capital framework by imposing restrictions on distributions and discretionary bonus payments by the company or, if no such intervention may occur in a jurisdiction, then the capital level at which the supervisory authority would first have the authority to take action against a company based on its capital level.
(ii)Jurisdiction adjustment. The jurisdictional adjustment is the risk adjustment set forth in table 3 to this paragraph (b)(1)(ii), based on the country risk classification set by the Organization for Economic Cooperation and Development
(OECD)for the jurisdiction. This adjustment is applied to the jurisdictional intervention point. Table 3 to Paragraph (b)(1)(ii)—Jurisdictional Adjustments by OECD Country Risk Classification OECD CRC Jurisdictional adjustment (percent) 0-1, including jurisdictions with no OECD country risk classification0 220 350 4-6100 7150
(2)Scaling capital requirement. When calculating the building block capital requirement for a building block parent in accordance with § 217.607, where the indicated capital framework of the appropriate downstream building block parent is a scalar-compatible framework for which the Board has not specified a capital requirement scaling modifier, the capital requirement scaling modifier is calculated according to the following formula: Equation 1 to Paragraph (b)(2) Where: Adjustmentscaling from is equal to the jurisdictional adjustment of the downstream building block parent; Requirementscaling from is equal to the jurisdictional intervention point of the downstream building block parent; and Requirementscaling to is equal to the jurisdictional intervention point of the upstream building block parent.
(3)Scaling available capital. When calculating the building block available capital for a building block parent in accordance with § 217.608, where the indicated capital framework of the appropriate downstream building block parent is a scalar-compatible framework for which the Board has not specified an available capital scaling modifier, the available capital scaling modifier is equal to zero.