> ## Documentation Index
> Fetch the complete documentation index at: https://docs.activeviam.com/llms.txt
> Use this file to discover all available pages before exploring further.

# US FRB support

export const productName = "Atoti FRTB";

# US FRB NPR Specification

## Current status

The NPR released for consultation: [Basel III Notice of Proposed Rulemaking](https://www.federalregister.gov/documents/2023/09/18/2023-19200/regulatory-capital-rule-large-banking-organizations-and-banking-organizations-with-significant)

* 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  * The use of ratings has mostly been replaced by broader credit quality categories.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 <br />([MAR 21.46](https://www.bis.org/basel_framework/chapter/MAR/21.htm?inforce=20230101\&published=20200327#paragraph_MAR_21_20230101_21_46))           | The GIRR Delta correlations have been rounded.                         |
| § \_\_.209 Table 3 <br />([MAR 21.51](https://www.bis.org/basel_framework/chapter/MAR/21.htm?inforce=20230101\&published=20200327#paragraph_MAR_21_20230101_21_51))           | For CSR non-Sec, bucket 16 has been split out from bucket 9.           |
| § \_\_.209(b)(4)(iv) <br />([MAR 21.70](https://www.bis.org/basel_framework/chapter/MAR/21.htm?inforce=20230101\&published=20200327#paragraph_MAR_21_20230101_21_70) - 21.71) | The correlation between all buckets is 0; this now includes bucket 25. |
| § \_\_.209 Table 9 <br />([MAR 21.82](https://www.bis.org/basel_framework/chapter/MAR/21.htm?inforce=20230101\&published=20200327#paragraph_MAR_21_20230101_21_82))           | For Commodities, electricity has been moved from bucket 3 to bucket 6. |
| § \_\_.209 Table 11 <br />([MAR 21.92](https://www.bis.org/basel_framework/chapter/MAR/21.htm?inforce=20230101\&published=20200327#paragraph_MAR_21_20230101_21_92))          | The Vega correlations have been rounded.                               |

### SA DRC

| Section                                                                                                                                                            | Details                                                                                                                                                                                                                                                                                                                      |
| ------------------------------------------------------------------------------------------------------------------------------------------------------------------ | ---------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------- |
| § \_\_.210 (b)(1)(v) (p 805) <br />([MAR 22.12](https://www.bis.org/basel_framework/chapter/MAR/22.htm#paragraph_MAR_22_20230101_22_12))                           | Additional LGD classifications.                                                                                                                                                                                                                                                                                              |
| § \_\_.210(b)(3)(i) and § \_\_.210 Table 1 <br />([MAR 22.22](https://www.bis.org/basel_framework/chapter/MAR/22.htm#paragraph_MAR_22_20230101_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) <br />([MAR 22.34](https://www.bis.org/basel_framework/chapter/MAR/22.htm#paragraph_MAR_22_20230101_22_34)) | For DRC Sec non-CTP and DRC Sec CTP, risk-weights are calculated using SEC-SA (§ \_\_.133 / [CRE 41](https://www.bis.org/basel_framework/chapter/CRE/41.htm?inforce=20191215\&published=20191215)) and not SEC-ERBA ([CRE 42](https://www.bis.org/basel_framework/chapter/CRE/42.htm?inforce=20230101\&published=20230101)). |

## US-NPR parameter set

{productName} includes the [US-NPR parameter set](../../configuration/parameterset), 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](../../what-if/what-if-parameters-widget)