US FRB NPR Specification

Current status

The NPR released for consultation: Basel III Notice of Proposed Rulemaking

Deadline to respond is 30th Nov 2023
Implementation start date, 1st July 2025

Overview of differences with BCBS

The FRB does not use credit ratings.
- The use of ratings has mostly been replaced by broader credit quality categories.
- For SA DRC Securitizations, the risk weights cannot be calculated using SEC-ERBA, instead SEC-SA is used.
- There are no highly rated covered bonds for CSR non-Sec.
- For SA DRC non-Sec, the risk weights are specified by both bucket and credit quality category.
For CSR Curvature, the shocked credit spreads are floored at 0.
Some of the risk-weights and correlations that are specified by formulas in BCBS are specified as percentages (and rounded) in the NPR.
Equity and Commodity bucket changes.

Change Details

SA SBM

Section	Details
Section III.H(7)(a)(ii)(III)	For CSR Curvature, the shocked credit spreads are floored at 0.
§ __.209 Table 2 (MAR 21.46)	The GIRR Delta correlations have been rounded.
§ __.209 Table 3 (MAR 21.51)	For CSR non-Sec, bucket 16 has been split out from bucket 9.
§ __.209(b)(4)(iv) (MAR 21.70 - 21.71)	The correlation between all buckets is 0; this now includes bucket 25.
§ __.209 Table 9 (MAR 21.82)	For Commodities, electricity has been moved from bucket 3 to bucket 6.
§ __.209 Table 11 (MAR 21.92)	The Vega correlations have been rounded.

SA DRC

Section	Details
§ __.210 (b)(1)(v) (p 805) (MAR 22.12)	Additional LGD classifications.
§ __.210(b)(3)(i) and § __.210 Table 1 (MAR 22.22 and 22.24)	For DRC non-Sec, risk-weights are based on bucket as well as credit quality category.
§ __.210 (c)(3)(iii)(C) and § __.210 (d)(3)(iv)(D) (MAR 22.34)	For DRC Sec non-CTP and DRC Sec CTP, risk-weights are calculated using SEC-SA (§ __.133 / CRE 41) and not SEC-ERBA (CRE 42).

US-NPR parameter set

includes the US-NPR parameter set, inheriting all the parameters from the (default) BCBS parameter set. To use these parameters in queries, set the “Parameter Set” level to “US-NPR” (instead of the default “BCBS”). For details on using the Parameter Sets widget, see Parameter Sets What-If Widget

​US FRB NPR Specification

​Current status

​Overview of differences with BCBS

​Change Details

​SA SBM

​SA DRC

​US-NPR parameter set