Large Bank Examination Workshop February 2026

Basel I • 1988 – instituted a specific capital charge for credit risk – a simple “broad-brush” approach • Amendment to Basel I – 1996 – to incorporate capital charge for market risk  Standardized Measurement Method (SMM)  Internal Models Approach (IMA) • Market risk capital framework  Capital charge for general market risk  Capital charge for specific risk (credit risk)

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Basel I Risk Weights

Risk Weight

Asset Class

0% Cash, gold, OECD Government obligations Claims on OECD banks, U.S. government agencies and GSEs, claims on municipalities 20% Residential mortgages 50% All other claims (corporate bonds, loans, equities, emerging market sovereign debt, real estate, plant and equipment)

100%

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