Page 20 - CCFA Journal - 12th Issue

Regulations 金融监管 加中金融

Sensi Sensitivity Based Method (SBM) Differences:

- Treatment of Currency Pairs: The US NPR specifies that currency pairs with the Russian Ruble (RUB) will be subject to
higher standard risk weights, a detail not explicitly mentioned in Basel.
- Vega Sensitivities: There are differences in the use of normal or lognormal volatility assumptions for calculating vega
sensitivities, with the US NPR allowing greater flexibility.
- Index Treatment: The US NPR provides more detailed guidance on the treatment of indices, including the option to opt
out of the look-through approach for well-diversified indices.
- Credit Spread Risk Weights: There are variations in credit spread risk weights, including speculative grade and sub-
speculative grade risk weights.
- Treatment of Electricity: The US NPR combines electricity with gaseous combustibles under a different risk bucket,
resulting in lower risk weights compared to Basel's treatment.
- Flooring of Credit Spreads: The US NPR allows banking organizations to floor credit spreads at zero, even when applying
downward shocks, while Basel does not permit such practice.

 货币对的处理：美国 NPR 规定，与俄罗斯卢布 (RUB) 的货币对将受到更高的标准风险权重的影响，巴塞尔协议
中并未明确提及这一细节。
 Vega 敏感性：在计算 Vega 敏感性时使用正态或对数正态波动率假设存在差异，美国 NPR 允许更大的灵活性。
 指数处理：美国 NPR 就指数处理提供了更详细的指导，包括选择退出多元化指数的透视方法。
 信用利差 （Credit Spread）风险权重：信用利差风险权重存在差异，包括投机级和次投机级风险权重。
 电力处理：美国 NPR 将电力与气态可燃物放在不同的风险类别下，与巴塞尔的处理相比，风险权重较低。
 信用利差（Credit Spread）下限：美国 NPR 允许银行机构将信用利差下限为零，即使在施加向下做压力测试时
也是如此，而巴塞尔不允许这种做法。

Default Risk Charge (DRC) Differences:

- The US NPR excludes U.S. Sovereign and MDBs.
- It revises the bucket structure to include Non-U.S. Sovereign and PSE/GSE debt positions and defaulted positions with
modified corresponding risk weights.
- Defaulted positions can be excluded in other FRTB-SA Capital Components.
- The US NPR introduces additional LGD parameters for GSE Debt, guaranteed or not guaranteed by GSEs.

 美国 NPR 不包括美国主权国家和多边开发银行。
 它修改了存储桶结构以包括非美国。 主权和 PSE/GSE 债务头寸和违约头寸，并修改了相应的风险权重。
 违约头寸可以排除在其他 FRTB-SA 资本组成部分中。
 美国 NPR 为 GSE 债务引入了额外的 LGD 参数，由 GSE 担保或不担保。

Residual Risk Add On (RRAO) Differences:

- The US NPR explicitly mentions exclusions from RRAO calculations, such as market risk covered positions that can be
delivered into derivative contracts they hedge.
- It provides more flexibility in aligning the maturity of an instrument with that of a derivative contract and allows for full
offsetting between them.
- The US NPR introduces different treatment for electricity and gaseous combustibles.

 美国 NPR 明确提到了 RRAO 计算中的排除项，例如可以交付到它们对冲的衍生品合约中的市场风险覆盖头寸。
 它在调整工具的期限与衍生品合约的期限方面提供了更大的灵活性，并允许它们之间完全抵消。
 美国 NPR 对电力和气态可燃物引入了不同的处理方法。

Conclusion

These differences highlight the distinct approach taken by the US NPR in certain areas compared to the Basel framework. As the
industry adapts to these changes, it will be essential to understand and implement the nuances of the US NPR to ensure
compliance and navigate the evolving regulatory landscape effectively. Regulators will continue to gather industry feedback
during the rulemaking process, shaping the final form of these reforms.
这些差异凸显了美国 NPR 在某些领域与巴塞尔框架相比采取的独特方法。 随着行业适应这些变化，了解和实施美国 NPR
的细微差别至关重要，以确保合规性并有效应对不断变化的监管环境。 监管机构将在规则制定过程中继续收集行业反馈，
形成这些改革的最终形式。

References

1. Basel III Endgame NPR https://www.federalreserve.gov/aboutthefed/boardmeetings/frn-basel-iii-20230727.pdf
2. Deloitte Basel III Endgame www2.deloitte.com/content/dam/Deloitte/us/Documents/Advisory/us-advisory-deloitte-basel-iii-endgame-august-2023.pdf?nc=42
3. FRTB Introductory Guide https://www.sifma.org/resources/news/the-fundamental-review-of-the-trading-book-frtb-an-introductory-guide/

CCFA JOURNAL OF FINANCE November 2023
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