Basel II Capital Accord - Notice of proposed rulemaking (NPR)

Text of Common Appendix (All Agencies)

The text of the agencies' common appendix appears below:

[Appendix __ to Part __] � Capital Adequacy Guidelines for [Bank]s:¹ Internal-Ratings-Based and Advanced Measurement Approaches

Part I General Provisions

Part III Qualification

Section 31: Mechanics for Calculating Total Wholesale and Retail Risk-Weighted Assets
Section 32: Counterparty Credit Risk
Section 33: Guarantees and Credit Derivatives: PD Substitution and LGD Adjustment Treatments
Section 34: Guarantees and Credit Derivatives: Double Default Treatment
Section 35: Risk-Based Capital Requirement for Unsettled Transactions

Section 41: Operational Criteria for Recognizing the Transfer of Risk
Section 42: Risk-Based Capital Requirement for Securitization Exposures
Section 43: Ratings-Based Approach (RBA)
Section 44: Internal Assessment Approach (IAA)
Section 45: Supervisory Formula Approach (SFA)
Section 46: Recognition of Credit Risk Mitigants for Securitization Exposures
Section 47: Risk-Based Capital Requirement for Early Amortization Provisions

Section 61: Qualification Requirements for Incorporation of Operational Risk Mitigants
Section 62: Mechanics of Risk-Weighted Asset Calculation

Part VIII Disclosure

For simplicity, and unless otherwise noted, this NPR uses the term [bank] to include banks, savings associations, and bank holding companies. [AGENCY] refers to the primary Federal supervisor of the bank applying the rule. Return to text