To All Depository Institutions and Others Concerned in the Second Federal Reserve District:

The U.S. banking agencies have made available 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 currently being evaluated by bank supervisory authorities worldwide.
 
QIS-4 is intended to provide the agencies a better understanding of how the implementation of a more risk-sensitive approach for regulatory capital standards might affect minimum required capital at the industry, institution, and portfolio level. 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 web site of the Federal Financial Institutions Examination Council (see links below).

The agencies are requesting responses for the LDCE by late November 2004 and for the QIS-4 by late January 2005. The information received should help them by mid-year 2005 prepare a joint Notice of Proposed Rulemaking for implementing Basel II in the United States.

Further details are available in the Board’s press release.

Press release 
FFIEC Quantitative Impact Study 4 (QIS4) 
FFIEC Loss Data Collection Exercise (LDCE) 
Circular No. 11620 ››

Contacts:
Darryll Hendricks
Senior Vice President,
Financial Sector Policy and Analysis
Darryll.Hendricks@ny.frb.org

Lance Auer
Assistant Vice President,
Financial Sector Policy and Analysis
Lance.Auer@ny.frb.org

Contact:
Public Affairs
(212) 720-6130
general.info@ny.frb.org