For immediate release

The Basle Committee on Banking Supervision has modified the Amendment to the Capital Accord to incorporate market risk that it issued in January l996 and that was subsequently adopted by the Federal Reserve Board for state member banks and bank holding companies. The modified Amendment is effective January l, l998. The modification has the effect of removing the so-called floor which would have applied to banks using internal models to assess specific risk as part of their overall modeling of market risk. Banks will benefit from the removal of the floor since its retention would have burdened them with dual calculations. The text of the Basle Committee document is attached. It is also available on the BIS Website at http://www.bis.org. Basle Committee document (316 KB PDF)

1997 Banking and consumer regulatory policy