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Committees at the Bank for International Settlement (BIS)

Basle Capital Accord: The Treatment of the Credit Risk Associated with Certain Off-Balance-Sheet Items

Introduction

Amendment to the Capital Accord

Proposal to Recognize Netting Effects in the Add-ons for Potential Future Exposure

Proposal to Expand the Matrix of Add-on Factors

Annex 1
Amendment to the 1988 Capital Accord for bilateral netting

Annex 2
Simple example of calculating the net gross ratio

Annex 3
Proposed Expanded Matrix

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