Preliminary Change in Minimum Capital Requirements: Basel I to Basel II
PortfolioAverage Percent Change in Portfolio MRCMeidan Percent Change in Portfolio MRC
Wholesale Credit(24.6%)(24.5%)
Corporate, Bank, Sovereign(21.9%)(29.7%)
Small Business(26.6%)(27.1%)
High Volatility Commercial Real Estate(33.4%)(23.2%)
Income Producing Real Estate (41.4%) (52.5%)
Retail Credit (25.6%) (49.8%)
Home Equity (HELOC) (74.3%) (78.6%)
Residential Mortgage (61.4%) (72.7%)
Credit Card (QRE) 66.0% 62.8%
Other Consumer (6.5%) (35.2%)
Retail Business Exposures (5.8%) (29.2%)
Equity 6.6% (24.4%)
Other Assets (11.7%) (3.2%)
Securitization (17.9%) (39.7%)
Operational Risk
Trading Book 0.0%0.0%
Portfolio Total (12.5%) (23.8%)
Change in Effective MRC (15.5%) (26.3%)

This is the change in the amount of Tier 1 capital and Tier 2 elements other than reserves needed to meet the minimum capital requirement.

MRC = minimum required capital

Operational risk, a new measure reported under Basel II, represented roughly 10.5 percent of the Basel II capital charge. Because the Market Risk Rule amended domestic capital rules in 1996, capital requirements for the trading book remained unchanged at the time QIS-4 was conducted. Since that period, a number of trading book modifications have been made to the Basel II framework following work by the Basel/International Organization of Securities Commissions (IOSCO) group. However, the effects of these changes are unknown pending further domestic analysis and the results of the next impact study.