Study - Industry FRTB QIS Analysis

22 October 2015

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Study - Industry FRTB QIS Analysis

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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.

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