Basel
ii in the United States of America
From the
Basel ii
Compliance Professionals Association (BCPA),
the largest association of Basel ii Professionals in the
world
Final Rule, USA
Risk-Based Capital Standards:
Advanced Capital Adequacy Framework
Structure of Final Rule
The
agencies are implementing a regulatory framework for the
advanced
approaches in which each agency has an advanced
approaches appendix that incorporates
(i)
definitions of tier 1 and tier 2 capital and associated
adjustments to the risk-based capital ratio numerators,
(ii)
the qualification requirements for using the advanced
approaches, and
(iii) the details of the advanced
approaches.
The
agencies also are
incorporating their respective market risk rules, by
cross-reference.
In
this final rule, as in the proposed rule, the agencies
are not restating the
elements of tier 1 and tier 2 capital, which largely
remain the same as under the general risk-based capital
rules.
Adjustments to the risk-based capital ratio numerators
specific to
banks applying the final rule are in part II of the rule
and explained in greater detail in
section IV of this preamble.
The
final rule has eight parts.
Part I identifies criteria
for determining which banks
are subject to the rule, provides key definitions, and
sets forth the minimum risk based capital ratios.
Part II describes the
adjustments to the numerator of the regulatory capital
ratios for banks using the advanced approaches.
Part III describes the
qualification process and provides qualification
requirements for obtaining supervisory
approval for use of the advanced approaches.
This part incorporates critical elements of
supervisory oversight of capital adequacy (Pillar 2).
Parts
IV through VII address the calculation of
risk-weighted assets.
Part
IV
provides the risk-weighted assets calculation
methodologies for wholesale and retail
exposures; on-balance sheet assets that do not meet the
regulatory definition of a
wholesale, retail, securitization, or equity exposure;
and certain immaterial portfolios of credit exposures.
This part also describes the risk-based capital
treatment for over-the-counter (OTC) derivative contracts, repo-style
transactions, and eligible margin loans.
In
addition, this part describes the methodologies for
reflecting credit risk mitigation in riskweighted assets
for wholesale and retail exposures.
Furthermore, this part sets forth the
risk-based capital requirements for failed and unsettled
securities, commodities, and
foreign exchange transactions.
Part V
identifies operating criteria for recognizing risk
transference in the
securitization context and outlines the approaches for
calculating risk-weighted assets for securitization
exposures.
Part VI describes the
approaches for calculating risk-weighted assets for
equity exposures.
Part VII describes the
calculation of risk-weighted assets for operational
risk.
Finally, Part VIII provides
public disclosure requirements for banks
employing the advanced approaches (Pillar 3).
The
structure of the preamble generally follows the
structure of the regulatory text.
Definitions, however, are discussed in the portions of
the preamble where they are most
relevant.
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