Basel II survey documents finalized

Federal Reserve Bulletin, Wntr, 2005

The U.S. banking agencies have made available on November 3, 2004, survey materials for the fourth Quantitative Impact Study (QIS-4) and a related Loss Data Collection Exercise (LDCE) in preparation for the U.S. implementation of the Basel II Capital Framework.

The Basel Committee on Banking Supervision proposed new international capital standards for banking organizations in June 2004, and the proposal is being evaluated by bank supervisory authorities worldwide. QIS-4 is intended to provide the agencies with a better understanding of ways that the implementation of a more risk-sensitive approach for regulatory capital standards might affect minimum required capital at the industry, institution, and portfolio levels. The LDCE is intended to provide insight, based on detailed loss event data, into the implications of the proposed Basel II standards regarding the Advanced Measurement Approaches for evaluating operational risk.

Materials for the U.S. survey are available on the Federal Financial Institutions Examination Council's web site at www.ffiec.gov/qis4 and www.ffiec.gov/ ldce. Interested parties may review and use these materials to gain a better understanding of the possible implications of such new capital standards for their own institutions.

Approximately thirty U.S. banking organizations have indicated an interest in participating in the U.S. version of QIS-4, though fewer are expected to participate in the LDCE. The agencies requested responses for the LDCE by late November 2004 and for the QIS-4 by late January 2005. The information received should help them prepare, by midyear 2005, a joint Notice of Proposed Rulemaking for implementing Basel II in the United States.