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QIS 4 Preliminary Change in Minimum Capital Requirements of 26 Participating Institutions: Basel I To Basel II
Portfolio % Change in Portfolio MRC (1) Median % Change in Port. MRC (2) Share of Basel I MRC Share of Basel II MRC
Wholesale Credit
(24.6%)
(24.5%)
44.3%
38.2%
   Corporate, Bank,    Sovereign
(21.9%)
(29.7%)
33.9%
30.3%
   Small Business
(26.6%)
(27.1%)
4.6%
3.9%
   High Volatility CRE
(33.4%)
(23.2%)
1.8%
1.3%
   Income Producing RE (3)
(41.4%)
(52.5%)
4.0%
2.7%
Retail Credit
(25.6%)
(49.8%)
30.6%
26.0%
   Home Equity (HELOC)
(74.3%)
(78.6%)
6.1%
1.8%
   Residential Mortgage
(61.4%)
(72.7%)
11.1%
4.9%
   Credit Card (QRE)
66.0%
62.8%
6.1%
11.6%
   Other Consumer
(6.5%)
(35.2%)
6.0%
6.4%
   Retail Business    Exposures
(5.8%)
(29.2%)
1.2%
1.3%
Equity
6.6%
(24.4%)
1.3%
1.6%
Other assets
(11.7%)
(3.2%)
10.0%
10.1%
Securitization
(17.9%)
(39.7%)
8.1%
7.6%
Operational Risk    
0.0%
10.5%
   Trading Book
0.0%
0.0%
5.2%
5.9%
Portfolio Total
(12.5%)
(23.8%)
100.0%
100.0%
Change in Effective MRC (4)
(15.5%)
(26.3%)
   

 

(1) MRC is "minimum regulatory capital" and refers specifically to risk-based capital requirements.

(2) % Change in Portfolio MRC is in total dollars: for example, risk-based capital changes for Corporate, Bank, and Sovereign exposures were estimated to decline by 22 percent in aggregate. The median change in this example was 30 percent, meaning 13 of the 26 organizations reported reductions in risk-based capital for this category in excess of 30%.

(3) Income Producing RE primarily consists of multifamily and certain types of commercial real estate loans.

(4) Change in Effective MRC reflects adjustments and shortfalls in reserves as defined in the Basel II framework.


Last Updated 10/20/2005 communications@fdic.gov