The exposure at default for each netting set is the effective EPE multiplied by 1.41. A bank with approval is subject to a capital floor, which keeps its capital requirement from falling below 72.5% of the requirement calculated with standardized approaches such as SA-CCR2.

In the Japanese notice, the term that corresponds to "internal model method" refers to internal models for market risk. For this reason, the approach appears in the notice as "期待エクスポージャー方式" (expected exposure method), not "内部モデル方式" (internal model method)3.

Notes

  1. Financial Services Agency, "銀行法第十四条の二の規定に基づき、銀行がその保有する資産等に照らし自己資本の充実の状況が適当であるかどうかを判断するための基準" (Standards for determining whether a bank's capital adequacy is appropriate in light of the assets it holds, under Article 14-2 of the Banking Act, our translation; FSA Notice No. 19 of 2006, consolidated version updated on August 24, 2026), Article 79-3, paragraphs 1 and 2 (page 206) (in Japanese). If the counterparty has specific characteristics, a value more conservative than 1.4 is used. ↩

  2. The same Notice, Article 13, paragraphs 1 and 3 (pages 62–63). ↩

  3. The same Notice, table of contents (Chapter 9, Section 2, "内部モデル方式" (internal model method)) and Article 79-3 (page 206). Financial Services Agency, "バーゼル規制の概要" (Overview of the Basel framework) (August 2026), "リスク計測手法" (Risk measurement methods), page 14, uses the name "期待エクスポージャー方式（IMM）" (expected exposure method (IMM)) (in Japanese). ↩