The proposed New Basel Capital Accord (the New Accord, or Basel II) has significantly changed and evolved since the Basel Committee on Banking Supervision¡¯s (the Committee) publication of the second consultative document (2nd CP) in January 2001. The revisions to the proposed New Accord are contained in the technical guidance document, which was released in October 2002 to support a final data-gathering exercise, called the third quantitative impact study (QIS 3). This report analyzes and provides Fitch Ratings¡¯ views on the key changes between January 2001 and October 2002 to the approaches for assigning regulatory capital to cover credit risk in the proposed New Accord. The report explores the changes to the internal ratings-based (IRB) approaches, the revised standardized approach, and the credit risk mitigation framework.

(Fitch will comment separately on the revised approaches for securitization and on the framework for operational risk in upcoming Fitch Research.)