Basel II Capital Accord
Notice of Proposed Rulemaking (NPR) and Supporting Board Documents
Board memorandum - Accessible version of charts and tables

Accessible version of tables contained within Board memorandum

Description for Table Table A – Transitional Floors

Table A is titled "Transitional Floors," and shows the transitional floor percent for each of the three transitional floor periods. During the first transitional floor period, the transitional floor percentage will be 95 percent; the second period will have a floor of 90 percent; and the third period will have a floor of 85 percent.

Description for Table B – IRB risk-based capital formulas for wholesale exposures to non-defaulted obligors and segments of non-defaulted retail exposures

Table B is titled "IRB Risk-Based Capital Formulas for Wholesale Exposures to Non-Defaulted Obligors and Segments of Non-Defaulted Retail Exposures" and outlines the supervisory formulas necessary to calculate the capital requirement for non-defaulted retail and wholesale exposures.

Within the Retail section, the formula for the Capital Requirement (K) for Non-Defaulted Exposures reads as follows: K = [LGD × N((N-1(PD) + √R × N-1(0.999))/(√(1-R))) − (ELGD × PD)].

K equals [the Loss Given Default multiplied by N multiplied by ((N raised to the power of −1 multiplied by (the Probability of Default) plus the square root of R multiplied by N to the power of −1 multiplied by (0.999)) divided by the square root of (1 minus R))) minus (the Expected Loss Given Default multiplied by the Probability of Default)].

Also within the Retail section, the formulas for Correlation (R) include residential mortgages, qualifying revolving exposures and other retail exposures. For residential mortgage exposures: R = 0.15. For qualifying revolving exposures: R = 0.04. For other retail exposures: R = 0.03 x e−35×PD.

R equals 0.03 multiplied by e, the base of the natural logarithm, raised to the power of (negative 35 times the Probability of Default).

Within the Wholesale section, the formula for the Capital Requirement (K) for Non-Defaulted Exposures reads as follows: K = [LGD × N((N−1(PD) + √R × N−1(0.999))/(√(1−R))) − (ELGD × PD)] × [(1+(M − 2.5) × b)/(1 − 1.5 × b)].

K for non-defaulted exposures equals [the Loss Given Default multiplied by N, multiplied by ((N raised to the power of −1 multiplied by (the Probability of Default) plus the square root of R multiplied by N raised to the power of −1 multiplied by (0.999)) divided by the square root of (1 minus R))) minus (the Expected Loss Given Default multiplied by the Probability of Default)] multiplied by [(1 plus (M minus 2.5) multiplied by b) divided by (1 minus 1.5 multiplied by b)].

Also within the Wholesale section, the formulas for Correlation (R) include HVCRE exposures and wholesale exposures other than HVCRE exposures. For HVCRE exposures: R = 0.12 + 0.18 × e−50×PD.

R equals 0.12 plus 0.18 multiplied by e, the base of the natural logarithm, raised to the power of (negative 50 times the Probability of Default).

For wholesale exposures other than HVCRE exposures: R = 0.12 + 0.12 × e−50×PD.

R equals 0.12 plus 0.12 multiplied by e, the base of the natural logarithm, raised to the power of (negative 50 times the Probability of Default).

Also within the Wholesale section, there is a formula for Maturity Adjustment (b) which reads as follows: b = [0.11852 − 0.05478 × ln(PD)]2.

b equals [0.11852 minus 0.05478 multiplied by the natural logarithm of the Probability of Default] raised to the power of two.