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Capital Charge FRB requires a bank to notify its primary federal supervisor promptly if it makes any change to an internal model that would result in a material change in the amount of risk-weighted assets for a portfolio of covered positions or when the bank makes any material change to its modeling assumptions. The bank's primary federal supervisor may rescind its approval, in whole or in part, of the use of any internal model and determine an appropriate regulatory capital requirement for the covered positions to which the model would apply, if it determines that the model no longer complies with the market risk capital rule or fails to reflect accurately the risks of the bank's covered positions. The bank’s primary federal supervisor may require the bank to revise its model assumptions and resubmit the model specifications for review. The bank makes any change to an internal model approved by the FRB under the Risk-Based Capital Guidelines: Market Risk that would result in a material change in the bank's risk-weighted asset amount for a portfolio of covered positions. Minimum Required Regulatory Capital is an expression of the Enterprise's capital requirement relative to FRB’s Capital Requirement for Market Risk. Regulatory capital model is an approach or model developed by the Bank for the purpose of measuring and quantifying estimates of risk, the output of which is used in the calculation of Minimum Required Risk-Based Capital. Model Modification is any change to a risk-based Capital Models which trigger the need for model validation outside of the scheduled review frequency. This also includes the development of new risk-based Capital Models, all of which require initial validation by Model Risk and Validation. All modifications to risk-based capital models/approaches – hereinafter referred to as “model modifications”, regardless of materiality, will be subject to the same internal governance and change management processes and will be tracked and reported. The materiality definition for model modifications must be approved by the US Model Risk Management Committee (USMRMC). The definition and thresholds must be reviewed at least annually by key stakeholders and the US Model Risk Management Committee. Any changes require approval by USMRMC.
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