Comparing Basel proposals for market risk
The European Commission published its CRR3 legislative proposal in October 2021, followed by amendments in May 2022 — aimed at implementing the outstanding components of the Basel capital reforms (Basel 4) in the EU. On 22 October 2021, the EBA also published draft technical standards (RTS) on two crucial elements of the Fundamental Review of the Trading Book (FRTB) Standardised Approach (SA), which EU banks required to complete implementation of the SA.
In the UK, the Prudential Regulation Authority (PRA) published its proposal for the implementation of the remaining Basel reforms (referred to by the PRA as Basel 3.1) on 30 November 2022.
The US Federal Reserve Board (FRB), the Office of the Comptroller of the Currency (OCC) and the Federal Deposit Insurance Corporation (FDIC) jointly published Notice of Proposed Rulemaking (US NPR), referred to as Basel III Endgame, on July 2023.
The analysis below summarises the most significant changes and impacts for firms relating to market risk.
Please reach out to your local KPMG firm contacts if you would like to discuss further.
Basel 4 publications
A comparison of the Basel Committee and European Commission requirements
Basel 4 publications - KPMG
A comparison of the Basel Committee and US Notice of Proposed Rulemaking (US NPR) for Basel III Endgame
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