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L( / 0LDTimes New Roman(0(:A 0 @ .  @n?" dd@  @@`` 0(XV2           2$4K A ,^2$mɨ,}2@-^$$$$$$$$$"$, 46{!+\ 0AA@mg42d2d@:A 0Pppp@  g4KdKd@:A 0$p@ pp<4BdBdl$ 0n<4!d!dl$ 0nʚ;ʚ;<4ddddlT# 0X{9___PPT10 62___PPT9/ 0? ,O =jBasel s Third Quantitative Impact Study: The Results May, 2003Purpose & Process of QIS-3*Understand effect of/recalibrate proposal Compare current capital standard with each of three potential approaches, showing details for each portfolio Covered full proposal--all of credit risk, plus market and operational risk 22 U.S. BHCs, >350 worldwide Most addressed only standardized approach <Process (continued)"Substantial preparation, domestically and abroad Data/spreadsheet clean-up, corrections, and changes Findings used to  tweak recent CP-3 Modification % Change LGD floor for mortgages 1% Revised risk wt curve for credit cards 0% Revised Std approach for Op Risk 3%<nnA Challenge to AllzParticipants generally satisfied with their efforts and results Questions remain about data Not surprising at this stage N)jG10 Results: Effect on Total RWA 1/ Portfolio contribution to total credit risk change, percentage points2k$ $EP+)U.S. Results: Effect on Total RWA (AIRB)*) <Key Issue/Question--Dispersion Contributing factors include:&= bDifferent assessment horizons or PD estimation methods Sensitivity of PDs to different rating grades Selection of stress/non-stress LGDs Interplay of LGD/EAD Interpretation/application of draft proposal Data availability, strength/consistency of each company s internal process Actual differences in risk 21,F;0(Conclusion/IssuesvAll need to gain greater understanding and comfort with the range of results QIS-3 data on best efforts basis & not subject to supervisory review Important implications QIS 3 results for individual banks may have substantial margins for error Committee s calibration process should be ongoing--QIS 4? 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B 4  # A H  0޽h ? ̙33  h(  hl h C Hp   l h C P  H h 0޽h ? ̙33  0 R J  ( 1 R  3    P   C 4~ @   l Recalibrate in terms of Committee goal to keep aggregate regulatory capital standards largely unchanged, worldwide, and to provide a slight/reasonable (my words) incentive to move to more advanced methods. Worldwide, participation was about evenly split between banks in G-10 and non-G-10 countries. G-10: Major European countries, plus U.S., Canada, and Japan. Non G-10 included participation of banks from some 30 countries--Australia, India, Korea, China, Saudi Arabia, South Africa, and of course many others. Relatively few, though, (confirm) from Latin America. As you might expect, great majority of banks from non-G-10 countries expect to adopt the standardized approach, and only __ respondents from the non-G-10 countries provided IRB data. For that matter, could say the same about institutions from G-10 countries, and only __ of their respondents provided information re: IRB. Consequently, the U.S. accounted for [1/3] of the IRB observations from the G-10, which was the focus of QIS (better data.) Unprecedented effort of data collection. Printed out, survey spreadsheets covered nearly 100 pages of internal data that banks considered highly proprietary and highly sensitive. In some respects, might also add  highly questionable , but overall, we believe at least U.S. contribution represented substantial effort and certainly the best data of this kind on which to make judgments about the effects of any proposed standard. 4,H  0޽h ? ̙33 0 x (   R  3    ~  C  @    H  0޽h ? ̙33 0 x$( 8}@`u@ $R $ 3    ~ $ C  @    H $ 0޽h ? ̙33 0 x((  Z (R ( 3    ~ ( C P5 @    H ( 0޽h ? ̙33rX')e+E-!u7EFH250a4N%/P0mgJPtOh+'0d hp    QIS-3 and Update to Basel-2M1JVH00Theresa Houckte42rMicrosoft PowerPointase@i@@`\q+@9c%G:g  0  -- @ !--'@Times New Roman-. 02 Basels Third Quantitative (%,."System-@Times New Roman-. .2 Impact Study: The Results/" %).-@Times New Roman-. 2  May, 2003' .-՜.+,D՜.+,l(    On-screen ShowFRB-BOGi. {  Times New RomanDefault Design6Basels Third Quantitative Impact Study: The ResultsPurpose & Process of QIS-3Process (continued)A Challenge to AllkG10 Results: Effect on Total RWA 1/ Portfolio contribution to total credit risk change, percentage points*U.S. Results: Effect on Total RWA (AIRB)=Key Issue/Question--Dispersion Contributing factors include:Slide 8Conclusion/Issues  Fonts UsedDesign Template Slide Titles X@0L_AdHocReviewCycleID_EmailSubject _AuthorEmail_AuthorEmailDisplayName_ReviewingToolsShownOnceq+Basel II Papers for Posting: External SitetTLowderbaugh@౦Ϸ.govstLowderbaugh, Tom.goowd%_J Theresa HouckTheresa Houck  !"#$%&'()*+,-./012345789:;<=?@ABCDEGHIJKLMPRoot EntrydO)PicturesCurrent UserFSummaryInformation(6PowerPoint Document(JDocumentSummaryInformation8>