Study - Industry FRTB QIS Analysis
22 October 2015
The International Swaps and Derivatives Association (ISDA), the Global Financial Markets Association
(GFMA) and the International Institute of Finance (IIF) set out in this document their key findings from
the analysis of the results that 28 banks1 submitted to the Basel Committee on Banking Supervision’s
(BCBS) Quantitative Impact Study (QIS) on the Fundamental Review of the Trading Book (FRTB) with
June 2015 reference data (henceforth “QIS analysis”). The objective of this initiative was to investigate
the aggregate impact of the proposed FRTB framework and to provide data-driven feedback to the policymakers
for further consideration.
The Basel QIS submissions for the 28 globally / locally significant banks were combined to generate
comparative metrics for an “Aggregate Bank”. The quantitative analysis was complemented by
qualitative reviews, including a survey of banks’ confidence in their interpretation of the QIS instructions
and of the estimates that they submitted. We believe this supplementary qualitative information provides
useful context for the estimates of an industry-wide impact of the current FRTB proposals.