Internal Ratings-Based Systems for Retail Credit Risk for Regulatory Capital — 2004-10-27 [04-23771]

The OCC, Board, FDIC, and OTS (Agencies) are publishing for industry comment a document that sets forth proposed supervisory guidance for banks, savings associations, and bank holding companies (banking organizations) that would use the internal-ratings-based (IRB) approach to determine their regulatory capital requirements for retail credit exposures. The Agencies described the IRB approach in general terms in an advance notice of proposed rulemaking (ANPR) in August 2003 and expect to issue a notice of proposed rulemaking (NPR) in 2005 that would comprehensively implement the IRB approach and other elements of the International Convergence of Capital Measurement and Capital Standards: A Revised Framework, which was adopted by the Basel Committee on Banking Supervision in June 2004 (Basel II Framework). Under the IRB approach, banking organizations would use internal estimates of certain risk parameters as key inputs in the determination of their regulatory capital requirements.