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International Convergence of Capital Measurement and Capital StandardsAbbreviationsI. IntroductionStructure of this documentPart 1: Scope of ApplicationI. IntroductionII. Banking, securities and other financial subsidiariesIII. Significant minority investments in banking, securities and other financial entitiesIV. Insurance entitiesV. Significant investments in commercial entitiesVI. Deduction of investments pursuant to this partPart 2: The First Pillar - Minimum Capital RequirementsI. Calculation of minimum capital requirementsIa. The constituents of capitalII. Credit Risk - The Standardised ApproachIII. Credit Risk - The Internal Ratings-Based ApproachIV. Credit Risk - Securitisation FrameworkV. Operational RiskVI. Market RiskAnnex 1: The 15% of Tier 1 Limit on Innovative InstrumentsAnnex 1a: Definition of Capital Included in the Capital BaseAnnex 2: Standardised Approach – Implementing the Mapping ProcessAnnex 3: Capital Treatment for Failed Trades and Non-DvP TransactionsAnnex 4: Treatment of Counterparty Credit Risk and Cross-Product NettingAnnex 5: Illustrative IRB Risk WeightsAnnex 6: Supervisory Slotting Criteria for Specialised LendingAnnex 7: Illustrative Examples: Calculating the Effect of Credit Risk Mitigation under Supervisory FormulaAnnex 8: Mapping of Business LinesAnnex 9: Detailed Loss Event Type ClassificationAnnex 10: Overview of Methodologies for the Capital Treatment of Transactions Secured by Financial Collateral under the Standardised and IRB ApproachesAnnex 10a: Supervisory Framework for the Use of “Backtesting” in Conjunction with the Internal Models Approach to Market Risk Capital RequirementsAnnex 11: The Simplified Standardised Approach [This approach should not be seen as another approach for determining regulatory capital. Rather, it collects in one place the simplest options for calculating risk-weighted assets.]
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Published date: 29 June 2006

International Convergence of Capital Measurement and Capital Standards

Basel III revisions published in December 2017 affect parts of this publication.

 

Abbreviations
I. Introduction
Structure of this document
Part 1: Scope of Application
I. Introduction
II. Banking, securities and other financial subsidiaries
III. Significant minority investments in banking, securities and other financial entities
IV. Insurance entities
V. Significant investments in commercial entities
VI. Deduction of investments pursuant to this part
Part 2: The First Pillar - Minimum Capital Requirements
I. Calculation of minimum capital requirements
Ia. The constituents of capital
II. Credit Risk - The Standardised Approach
III. Credit Risk - The Internal Ratings-Based Approach
IV. Credit Risk - Securitisation Framework
V. Operational Risk
VI. Market Risk
Annex 1: The 15% of Tier 1 Limit on Innovative Instruments
Annex 1a: Definition of Capital Included in the Capital Base
Annex 2: Standardised Approach – Implementing the Mapping Process
Annex 3: Capital Treatment for Failed Trades and Non-DvP Transactions
Annex 4: Treatment of Counterparty Credit Risk and Cross-Product Netting
Annex 5: Illustrative IRB Risk Weights
Annex 6: Supervisory Slotting Criteria for Specialised Lending
Annex 7: Illustrative Examples: Calculating the Effect of Credit Risk Mitigation under Supervisory Formula
Annex 8: Mapping of Business Lines
Annex 9: Detailed Loss Event Type Classification
Annex 10: Overview of Methodologies for the Capital Treatment of Transactions Secured by Financial Collateral under the Standardised and IRB Approaches
Annex 10a: Supervisory Framework for the Use of “Backtesting” in Conjunction with the Internal Models Approach to Market Risk Capital Requirements
Annex 11: The Simplified Standardised Approach [This approach should not be seen as another approach for determining regulatory capital. Rather, it collects in one place the simplest options for calculating risk-weighted assets.]
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