Quantitative Impact Survey of New Basel Capital Accord

The Basel Committee on Banking Supervision today launched a comprehensive field test for banks of its proposals for revising the 1988 Capital Accord. The field test referred to as the third quantitative impact survey, or QIS 3, represents a significant step in the Basel Committee's efforts to develop an improved capital adequacy framework. The QIS 3 is focused on the proposed minimum capital requirements under pillar one of the New Basel Capital Accord. It is being undertaken with the goals of ensuring the efficacy of the Basel Committee's proposals and gathering information helpful to assessing whether further modifications are necessary prior to the release of a formal package for consultation in spring of 2003. The Committee also intends to release in the coming weeks a working paper on securitisation, which will describe the rationale behind the proposed capital framework for these exposures.

The documents released today by the Basel Committee include an Overview Paper (PDF, 15 pages, 72 kb), which accompanies the quantitative impact survey. It is intended to provide some insight into the Committee's perspective to revise the Capital Accord, including major elements of the proposals that will be tested by the banking industry during the QIS 3.

There are three parts to the quantitative impact survey itself. There is a questionnaire in the form of an electronic workbook. There also is a set of corresponding instructions that specify how to complete the questionnaire in order to ensure that banks do so in a consistent manner. Additionally, the Basel Committee has released the QIS 3 technical guidance that sets out the proposed minimum capital requirements in detail. It comprises all aspects of the pillar one proposals of the New Accord.

The QIS 3 materials, including the Overview Paper, are available from the BIS website at http://www.bis.org. As indicated, banking organisations participating in the QIS 3 are asked to submit completed questionnaires to their national supervisors by 20 December 2002.