The U.S. banking agencies are conducting the Quantitative Impact Study 4 (QIS-4) to better understand the likely effect of proposed international capital standards on the minimum regulatory capital requirements of large U.S. banking organizations and to help guide the agencies in adopting and implementing such standards in the United States. These standards were proposed by the Basel Committee on Banking Supervision in June 2004 and are available on the Committee's web site at www.bis.org. Participation in the study is voluntary, and completed responses are due to the agencies in January, 2005.

The Committee's proposal offers banking organizations several alternative methods for calculating regulatory capital requirements: a "standardized" approach and two versions of an internal ratings based (IRB) method, one referred to as the "foundation" approach and the other the "advanced" approach. In the United States, the agencies are considering adopting only the advanced approach and are evaluating only that approach in QIS-4. To do so, however, the participants are asked to measure their exposures and related capital requirements under both the advanced IRB method and current rules in order to identify differences in the requirements for the same or similar risks.

Survey Materials

Survey participants should have the following QIS-4 materials, all of which are available on this web site:

• Introduction to QIS-4 Survey Package (PDF)
• Workbook

An Excel workbook containing numerous worksheets that each survey participant is requested to complete in order to quantify the level of credit risk in its various wholesale and retail portfolios. One worksheet also requests information on the participant's perceived level of operational risk.
Workbook - Final 01/25/2005 (8MB XLS)
Copy & Paste Macro - Final 01/14/2005 (XLS)
Summary of workbook changes - updated 01/25/2005 (PDF)
• Instructions for completing the worksheets and Corrections - updated 12/27/2004 (PDF)
• A questionnaire that participants should complete to describe the procedures used in preparing the quantitative measures.
  Questionnaire (PDF)
  Questionnaire (MS WORD)
• Supervisory Formula Approach (SFA)
  SFA Calculator Instructions (PDF)
  SFA Calculator (4MB XLS)

Frequently Asked Questions (FAQs) - updated 1/24/2005
Note: These questions and answers are intended for QIS-4 purposes only.

Major Topics of FAQs:
• Wholesale Portfolios
• Retail Portfolios
• Credit Risk Mitigation
• Securitization Exposures
• Equity Exposures
• Operational Risk
• Other

Reference Materials

• BIS Working Groups' background note on LGD quantification (December 6, 2004) and U.S. agencies cover note (December 22, 2004)
• Proposed guidance for Internal Ratings-Based Systems for Retail Credit Risk for Regulatory Capital (October 27, 2004)
• Corrected Formula page 62755 (January 12, 2004)
• Interagency press release on the announcement of International Convergence of Capital Measurement and Capital Standards: A Revised Framework.(June 26, 2004)
• Draft supervisory guidance on internal ratings-based systems for corporate credits and draft supervisory expectations for operational risk management. (August 4, 2003)

Confidentiality Treatment of Responses

All of the information submitted by participating institutions is being prepared on a "best efforts" basis and is being collected as part of the supervisory activities of the banking agencies. Survey results are considered to be information that is "commercial and financial" in nature and will be treated as confidential by the agencies.

Contacts

General questions regarding this survey or web site may be directed to:

James Houpt

202-452-3358

james.houpt@frb.gov

Questions from QIS participants related to completion of specific elements of the survey materials may also be sent to any of the following individuals:

Contact	Phone Number	Email
James Houpt	202-452-3358	james.houpt@frb.gov
Roger Tufts	202-874-4925	roger.tufts@occ.treas.gov
Andrea Plante	202-898-7449	aplante@fdic.gov
Fred Phillips-Patrick	202-906-7295	fred.patrick@ots.treas.gov

Participants may also contact local staff of their primary supervisory agency.