Basilea

Basel Committee
on Banking Supervision

Instructions for workbooks
for further impact studies/
field testing

3 December 2004

Table of Contents
1.

Main changes to the workbook since QIS 3 ....................................................................5

2.General............................................................................................................................6
2.1

Estimates ...............................................................................................................6

2.2

Units .......................................................................................................................6

2.3

Consolidatedbasis.................................................................................................6

2.4

Consistent portfolio ................................................................................................6

2.5

Reference date.......................................................................................................6

2.6

Structure of worksheets .........................................................................................72.7

Approaches ............................................................................................................7
General ..................................................................................................................7
Partial use of the Standardised approach ..............................................................8

2.8

Assignment of exposuresto portfolios ...................................................................8
General ..................................................................................................................8
Guarantees and credit derivatives .........................................................................9
Securitisation exposures......................................................................................10

3.

Input worksheet .............................................................................................................11
3.1

Purpose................................................................................................................11

3.2

General information (panel A)..............................................................................11

3.3

Capital held and provisioning data (panel B) .......................................................11
Capital held (panel B1).........................................................................................11
Other supervisory deductions (panel B2).............................................................12
Provisioning data (panel B3)................................................................................12

3.4

Current accord, trading book and partial use risk-weighted assets (panel C)......13
Trading book requirements (panel C1) ................................................................13
Partial use of Standardised approach (panel C2) ................................................13
Total risk-weighted assets(panel C3)..................................................................13

3.5

Exposure data ......................................................................................................14
General remarks ..................................................................................................14
On-balance sheet exposures (panel D)...............................................................14
Off-balance sheet exposures (panel E)................................................................14
Counterparty Exposures under repo and OTC derivatives (panel F)...................15

4.

Checks and Results worksheets ...................................................................................15

5.

Parameters and Summary worksheets...