On 5 November, the Financial Stability Board (FSB) launched the second-stage of its two-stage quantitative impact study (QIS) on the proposed regulatory framework for securities financing transactions. The first stage (QIS1) consisted of a data request to a group of 17 large financial intermediaries (banks and broker-dealers) from 12 jurisdictions on historical haircut distributions at three specific points in time (pre-crisis, post-crisis and current) in order to help calibrate detailed minimum haircut proposals. The second stage of this exercise (QIS2) is now being launched and comprises a more comprehensive quantitative assessment of the impact on a broader set of firms of the FSB’s detailed haircuts proposals, both the proposed minimum standards for methodologies used by firms in calculating their own haircuts and the numerical haircut floors to be applied to certain securities financing transactions.

The QIS2 instructions and reporting templates to assess the impact of the proposals for each type of entity are now available on the FSB website, and the FSB is inviting interested market participants to voluntarily participate in the exercise. The deadline for submissions is 23 December.