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Chapter 1 – Basel basics
Executive Summary 7
Basel I overview 8
Basel II overview Timing 9
Scope of application 10
Capital components 13
Types of Banks 14
IRB Transition Period 16
Chapter 2 – Basel II minimum capital charges – First Pillar
[Sovereign exposures 18
Bank exposures 21
Corporate exposures 24
Retail exposures 27
Real estate exposures 30
Covered bonds 33
Specialised lending 34
Chapter 2 – Basel II capital charges (cont’d)
Off-balance sheet items 35
Equity 37
Non-performing loans 39
Credit risk mitigation (CRM) 45
Securitisation exposures
Standardised banks
-Ratings based approach 51
-Most senior exposures; second loss positions or better 52
-Liquidity facilities 53
-Overlapping exposures 55
IRB banks
-Ratings based approach 57
-Internal assessments approach 58
-Supervisory formula approach 61
-Liquidity facilities 63
-Top-down approach 64
Chapter 2 – Basel II capital charges (cont’d)
Early amortisation structures 66
Trading book 71
Chapter 3 – Basel II operational risk charges 84
Basic indicator approach
Standardised approach
Advanced measurement approach
Chapter 4 – Supervisory Review – Second Pillar
Four key principals of supervisory review 87
Supervisory review process for securitisation 89
Chapter 5 – Market discipline – Third Pillar
Qualitative disclosure 92
Quantitative disclosure 93
Chapter 6 – Some observations
Open issues 95
Impact on financial markets 96
Impact on banks 97
Impact on securitisation markets 98
Impact on ABCP conduits 99
Contact Details 100
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