Documentation Index
Fetch the complete documentation index at: https://docs.activeviam.com/llms.txt
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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- The use of ratings has mostly been replaced by broader credit quality categories.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). |