BIS: Results of QIS5

16 June 2006

The Basel Committee published a detailed report on the results of the Fifth Quantitative Impact Study, including data from 382 banks in 32 countries analysed at the Secretariat. The report concludes that retail portfolios drive the reduction in minimum required capital, while operational risk is the main driver for increasing minimum required capital.

The retail residential mortgage portfolio contributes the most to the reduction in minimum required capital. The remaining retail portfolios also show a negative contribution. Their magnitude is much larger for Group 2 banks, whose asset structure is more oriented towards retail activity.

In general, the corporate and SME corporate portfolios contribute less to the change in minimum required capital. However, the limited reduction in minimum required capital may be due to the incomplete coverage of corporate counterparties with external ratings in some countries, therefore assigning them a 100% risk weight as in the current regime.

With regard to the equity exposures, both the percentage change and the relative contribution are in general relatively small.

Operational risk, of course, produces a positive contribution. It is the biggest positive contributor to the increase in minimum required capital.

Results

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