Basel III Endgame

What you need to know

September 2023
 Contents
The big picture 01

What is in the proposal 06

Next steps 17

EY US campaign leads — contact information 18

What you need know

• Basel III Endgame (B3E) will fundamentally alter how • Greater risk sensitivity and granularity will require
banks with $100b or more of assets approach risk- banks, particularly Category III and Category IV, to
based regulatory capital and capital management enhance their risk data and technology capabilities
and controls to the levels they apply to their reported
• The introduction of the expanded risk-based approach
financial data
(ERBA) will likely increase risk-weighted assets (RWA)
for banks in this group, particularly when coupled with • Timelines for B3E are tight and applying proper
the impacts to the stress capital buffer (SCB), and governance and project management will be key to
encourage banks to focus on capital allocation efficient implementation and a strong BAU capital
and efficiency production process at go-live
The big picture

The big picture

The Notice for Proposed Rulemaking (the NPR or the proposal), issued jointly by the Federal Reserve, the Office of the Comptroller
of the Currency (OCC) and the Federal Deposit Insurance Corporation (FDIC) (collectively the Regulators or the Agencies) for the
Fundamental Review of the Trading Book (FRTB) and Basel III Finalization, collectively Basel III Endgame (B3E), was published July 27,
2023. The proposed adoption of the Basel Committee on Banking Supervision (BCBS) standards is largely aligned with international
specifications and foreign peers, but there were some unexpected amendments for the US, and banks will need to adapt quickly to meet
these requirements. This briefing first summarizes the major components and the implications for impacted firms, followed by a deeper
discussion by risk component.

Figure 1: Compliance and transition timeline

End of comment Develop requirements Pre-go-live reviews

period and implement and internal approvals
Expected go-live
We are here July 1, 2025

Q3 2023 Q4 2023 Q1 2024 Q2 2024 Q3–Q4 2024 Q1–Q2 2025

June 30, June 30, June 30,

2026 2027 2028

ERBA calculation phase-in 80% 85% 90% 100%

June 30, June 30, June 30,

2026 2027 2028

AOCI adjustment phase-in 75% 50% 25% 0%

Timing and scope

The US NPR for B3E will significantly alter the regulatory capital regime for US banks. The NPR proposes a July 1, 2025, compliance
date for banking organizations in Categories I–IV, including US intermediate holding companies (IHCs) of foreign banking organizations
(FBOs), to develop the capabilities to produce the new expanded risk-based approach (ERBA) ratio. This leaves banks approximately two
years to interpret and translate the new rule, assess its impact, identify and address data and technology needs, test the results prior
to go-live, and adjust their business profiles and strategies. Data governance will be critical in meeting these timelines and ensuring
reporting accuracy. Banks will need to consider the completeness, timeliness, adaptability, clarity and usefulness of the data as they
develop their new calculation and reporting capabilities.
The proposal also includes a three-year transition period for ERBA risk-weighted assets (RWA) and for Category III and Category IV banks
to comply with the elimination of the accumulated other comprehensive income (AOCI) opt-out election.

Category Category I Category II Category III Category IV

$250b or more in total assets

$700b or more of total assets or $75b or more in non-bank
U.S. global systematically
Banking organization criteria or $75b or more in cross- assets, weighted short-term $100b or more in total assets
important banks (G-SIBs)
jurisdictional activity wholesale funding or off-
balance sheet exposure
Source: “Part 252—Enhanced Prudential Standards (Regulation YY),” Code of Federal Regulations, www.ecfr.gov/current/title-12/chapter-II/subchapter-A/part-252, September 8, 2023.

Revised capital ratios and potential capital impacts

In a departure from the existing US regulatory capital regime, the Agencies have extended the application of two risk-based capital
ratio approaches for assessing capital adequacy to banks with $100b or more in assets. Previously this only applied to Category I and
Category II banking organizations. Consistent with the Collins Amendment, banks will be subject to the more punitive of these two
ratios. Stress testing and buffer requirements, including the stress capital buffer (SCB), will also consider ratios calculated under ERBA.
The proposal retains the current US standardized approach ratio (US SA), with some modifications, while the ERBA RWA calculations
are largely aligned to the BCBS standardized capital ratio. Additionally, the AOCI filter was removed for all Category III and Category IV
banks, requiring them to capture the mark-to-market (MTM) impacts of their available-for-sale (AFS) securities in their capital ratios.
The regulators also made technical adjustments to the G-SIB surcharge that could result in an approximate 13 basis point increase in the
average method two surcharge.

Basel III Endgame September 2023 | 1

The big picture

Figure 2: Capital ratios

Regulatory capital (e.g., common equity tier 1)

Eligible capital Regulatory capital Regulatory capital G-SIB surcharge

instruments adjustments deductions (if applicable)

Risk-weighted assets Countercyclical buffer

Current Basel III Basel III Endgame NPR

US SA Advanced US SA ERBA
Stress capital buffer
(SCB)
Generalized credit risk US A-IRB Generalized credit risk BCBS SA credit risk
Credit risk

Simple/Collateral Simple/New CHA

RWA

CHA/IMM/VaR Simple/CHA
haircut approach and HC floors

SA-CCR/CEM SA-CCR/IMM SA-CCR SA-CCR

Common equity tier 1

Market risk

Market risk rule Market risk rule FRTB SA or IMA FRTB SA or IMA regulatory minimum
RWA

Simple/advanced CVA BA-CVA or SA-CVA (4.5%)

AMA SMA
Operational
risk RWA

Terms: G-SIB = global systematically important bank, SA-CCR = standardized approach for counterparty credit risk, CEM = current exposure method, A-IRB = advanced
Altered by NPR internal ratings-based approach, CHA = collateral haircut approach, IMM = internal model method, VaR = value at risk, BA-CVA = basic approach credit valuation adjust-
ment CVA, SA-CVA = standardized approach CVA, IMA = internal models approach, BCBS = Basel Committee on Banking Supervision, HC floors = haircut floors, AMA =
advanced measurement approach, SMA = standardized measurement approach, ERBA = expanded risk-based approach

Credit, securitization and counterparty The standardized approach for counterparty credit risk (SA-
The proposal prohibits the use of internal models for computing CCR) calculation was updated with technical amendments and is
credit RWA, eliminating the advanced approach ratio in favor proposed to apply to Category III and Category IV banks as well.
of the ERBA. The ERBA adopts much of the categorization and The NPR also updated the securitization framework based on the
granularity for risk weighting specified by the BCBS but also securitization standardized approach (SEC-SA) from the BCBS
increases the risk weights relative to those prescribed by the BCBS framework, adopting the higher supervisory calibration parameter
in certain categories, including exposures to banks, residential real and the lower risk-weight floors but not adopting the potential
estate and retail exposures. The NPR would modify the treatments benefits from the simple, transparent and comparable (STC)
for off-balance sheet exposures, in line with the BCBS, with the framework.
impact relative to US SA depending on each bank’s individual Finally, the proposal adopted the minimum haircut floors for repo-
exposures. The Agencies also removed a 100% risk weight bucket style transactions in addition to modifying the collateral haircut
for equities, potentially increasing RWA. approach (CHA), in line with the BCBS. The new CHA formula
rewards well-diversified netting sets and could reduce overall RWA
The proposed ERBA treatment for corporates could benefit banks for securities financing transactions. Overall, the haircut floors will
with high-credit-quality counterparties that have publicly listed increase RWA for transactions in which they are applied if banks
securities, relative to the US SA. No changes are proposed to do not use haircuts that exceed the minimums, though the US
risk-weight treatment for exposures to sovereign, supranational Agencies included an additional exemption for the haircut floors
multilateral development banks (MDBs) and public sector entities not contemplated by BCBS that will likely reduce the scope of
(PSEs). Similarly, no revisions are proposed for other assets, transactions for the floors.
pre-sold construction, statutory multifamily and high-volatility
commercial real estate (HVCRE) exposures.

Basel III Endgame September 2023 | 2

The big picture

Market risk and CVA RWA

As expected, the Agencies proposed adopting both the standardized Potential impacts to other requirements
and modeled approaches for FRTB. The NPR largely follows the
While primarily focused on the risk-based capital rules, the NPR will
BCBS framework for the modeled approach, retaining the profit and
also impact other US prudential requirements. For example, the NPR
loss (P&L) attribution test (PLAT), backtesting requirements, and
removed the use of modeled approaches for calculating exposure
stoplight thresholds to limit cliff effects. Consistent with the BCBS
under the single counterparty credit limits (SCCL), requiring the
framework, the NPR also introduces a standardized approach for
use of standardized exposure measures only. Moreover, higher RWA
market risk, which is intended to be a risk-sensitive and credible
under the ERBA would result in new or higher total loss-absorbing
fallback to the modelled approach for market risk RWA. RWA is
capacity (TLAC) and long-term debt (LTD) requirements.
expected to rise overall, particularly for firms that migrate from
the current market risk rule framework to the FRTB standardized What does this mean for banks?
approach; however, the modeled approach will likely also yield B3E implementation activities will need to be performed against a
higher RWA due to components such as non-modelable risk factors. backdrop of heightened regulatory scrutiny, increasing the pressure
Desk organization and structure will also be important and require on banks to establish strong program management to meet tight
a balance between efficient RWA results and the model’s ability to deadlines. Banks will want to quickly understand the impacts of the
satisfy the PLAT and backtesting requirements. provisions in the proposal on their businesses and exposures, and
The Agencies also adopted the BCBS credit valuation approach leverage this information as they respond, both individually and
(CVA) framework, proposing the basic approach (BA-CVA) and through industry groups, to questions in the proposal during the
standardized approach (SA-CVA) calculations. Unlike the EU comment period that runs through November 30, 2023. Firms that
requirements, the US NPR confirms that CVA capital must be better understand their gaps relative to the new requirements will
calculated for all counterparties with CVA-covered positions (all also be able to more quickly mobilize resources to address those
derivatives except cleared transactions) with no exemptions, needs, including through their planning and budget cycles for 2024
resulting in the inclusion of corporates, pension funds and certain and 2025.
other counterparties. • Capital management and business strategy will need to
Operational risk RWA adjust: ERBA could represent the binding constraint for many
banks and introduces a new set of capital considerations that
The US Agencies have proposed implementing the standardized
banks need to manage. This has implications in capital strategy,
measurement approach (SMA) as part of the new capital ratio.
capital allocation and risk-return evaluation. The increase in
The US SMA will largely follow the BCBS framework with some
binding levels of RWA will require banks to recalibrate their
exceptions. Most banks currently calculating operational risk RWA
existing return on capital hurdles. Metrics that are calibrated
under the advanced measurement approach (AMA) will likely
to the current standardized and or advanced approaches
see reduced RWA from the SMA. However, its inclusion in ERBA
for both the enterprise and individual businesses will yield
alongside a non-modeled credit risk RWA will likely result in an
different results for return on risk-based regulatory capital for
overall increase in RWA and capital relative to US SA.
ERBA. Management needs to assess the impact of changes to
Regulatory reporting and Pillar 3 disclosures allocated capital, measure and monitor more granular portfolio
The NPR retains the qualitative aspects of the Pillar 3 disclosure characteristics based on the underlying business and risk
framework with modifications to account for the changes in the risk- drivers of ERBA, and adjust business mix and portfolio strategy
weighting approach. Most quantitative disclosures are proposed to based on refreshed views of risk-adjusted return on regulatory
be removed from Pillar 3 and instead added to regulatory reporting capital. For example, the introduction of a separate operational
forms. Impacts on the regulatory reporting forms for regulatory risk RWA component under ERBA may lead to a different
capital will be clarified in the future when the revised forms are allocation of capital and return on capital expectations. A
proposed. high-volume business that has experienced higher historical
operational risk losses would be more negatively impacted
G-SIB surcharge than a similar high-volume business that had lower historical
Updates have also been proposed to the G-SIB score methodology, operational risk losses. This also extends to evaluations of
including the use of averages instead of point-in-time measurements marginal cost of capital when assessing new business volumes
for systemic indicators; 10 basis-point increments for a surcharge and transactions. For example, banks may need to further fine-
amount instead of the current 50 basis points; and changes, tune their risk-based pricing for residential mortgages based on
additions and clarifications to the existing systemic indicators. more granular loan-to-value (LTV) information. These impacts
may lead banks to revisit how they structure their businesses
and emphasize certain aspects of their business models over
others going forward.

Basel III Endgame September 2023 | 3

The big picture

• Clear governance and planning will improve efficiency and reduce the potential for issues: Banks should leverage their existing
regulatory capital governance in structuring the approach to implement B3E. Banks should take the opportunity to strengthen
governance to oversee a significant level of change and new BAU processes. This includes identifying the committee responsible for
approving key decisions, reviewing progress, understanding the RWA impacts and signing off for go-live. The program will require inputs
from stakeholders across the bank, including finance, risk, legal, lines of business, treasury and regulatory reporting; it is important to
establish accountability at the onset. Determining ownership early will also allow the bank to respond nimbly to the new requirements,
particularly with respect to resourcing, 2024 and 2025 budgeting, and planning the future IT book of work. Developing guidelines
for identifying what constitutes an interpretation, assumption, implementation choice or other program decision, with accompanying
escalation criteria, will remove confusion and reduce the potential for rework. The regulatory expectations for review and challenge,
particularly by senior managers and committees, will increase the time needed to implement. Banks should take a holistic approach to
planning their control structure, identifying key points in their processes and establishing strong controls that are designed to address
their inherent risks. Incorporating time to develop documentation will help to facilitate the robustness of the process and controls
while also reducing the potential impact from key-person risk. Documentation that describes the rule, the bank’s interpretation of the
rule, and the approach to implementing it with the accompanying data, technology, process and control roadmaps, will facilitate better
capital production execution and reduce the potential for lost institutional knowledge.
• Data and definitions are the focus: Banks will benefit from analyzing the rules up front to define the target state process and related
data requirements to allow sufficient time for implementation. Data requirements will likely include existing data elements that are
currently captured and maintained, as well as new data elements that need to be captured. Banks with strong data management
practices will be better positioned to identify, source and control the required data elements to support implementation. Incremental
data attributes will need identification and sourcing from golden sources and to be managed through the data supply chain in a
controlled manner. Data elements for the rule will likely take one of four forms:

Bucket 1 Bucket 2 Bucket 3 Bucket 4

Existing data elements that Existing data elements that New data elements that are New data elements that can
are used in the current RWA are captured and maintained not currently captured or not be derived from a combination
calculations and can be but not sourced into the RWA captured at the needed level of existing and/or new data
leveraged for the new RWA calculations currently, such as of granularity. Examples may elements. Examples may
treatments. Examples may real estate LTVs and credit card include exemption criteria for include the credit classification
include current sovereign borrower payment history. the haircut floors, classification criteria for banks, the
and PSE risk weightings, the criteria for specialized lending, investment-grade criteria
delinquency input for SEC-SA and some of the potential for corporates, the Kg data
calculation, etc. milestone events associated element for the SEC-SA,
with the operational risk loss and the credit deterioration
history requirements. triggers to qualify for
unconditionally cancelable loan
treatment.

• Proper governance both for implementation and ongoing maintenance in BAU will require the data to be in an accessible,
transparent and auditable form. Reviews of the calculations, both internal and by the Regulators, will require bank respondents to
extract data at various points in the calculation lifecycle.
• Technology investments will be necessary given the significant changes: The effort to implement the new Basel framework will vary
by the size and complexity of each institution. Category III and IV banks will require front-to-back investments in their technology
infrastructure to support upstream exposure classification and downstream regulatory reporting and attestations. For these banks,
the control environment will need to be significantly strengthened to demonstrate auditability and transparency in line with regulatory
expectations. Larger banks will benefit from leveraging these requirements to serve as a catalyst for modernizing their capital
infrastructure and integrating more seamlessly with related stress testing and other finance capabilities.

Basel III Endgame September 2023 | 4

The big picture

Regulatory capital transformation: B3E as a catalyst for

change
While banks are preparing their effort models, budgets and
business cases for implementing the B3E requirements, banks
should recognize B3E as a significant opportunity to further
modernize capital infrastructure. Banks may look to modernize
their capital infrastructure for the following reasons:
• Prior generation technology: Most banks are still relying
on legacy infrastructure put in place over eight years
ago. Banks may find it increasingly difficult to develop
incremental capabilities on top of outdated infrastructure
and accumulated technical debt to support increasing
regulatory and business demands.
• Increased regulatory scrutiny: Regulatory reviews since
2020 have focused on governance, oversight, production
and controls concerning the accuracy of regulatory
capital calculations. Time and resource demands to
support enhanced governance will further exacerbate
resource and technology needs.
• Lack of agility to respond to ad hoc requests: Fragmented
infrastructure may allow for greater customization for
individual businesses, but it may also hamper the ability
to quickly and accurately aggregate data.
• Inefficiency and high operational costs: Firms that
have a high reliance on end-user computing tools and
other manual processes across the capital management
lifecycle, which increases cycle times and increases
operational costs. A robust technology solution with a
high level of automation and straight-through processing
can help banks better streamline the process and achieve
significant cost reduction in the long run.
Banks newly scoped into these rules (i.e., > $100b in assets)
will have the benefit of leveraging prior lessons learned from
other institutions into their technology roadmap.

Basel III Endgame September 2023 | 5

What is in the proposal?

What is in the proposal?

Further discussion of the proposal by risk components The Agencies provided a three-year transition period from the
July 1, 2025 compliance date to allow banks time to adjust for the
The changes for both RWAs and the broader capital adequacy
impacts stemming from the anticipated final rule. In-scope banks will
framework represent a significant adjustment to the US regulatory
multiply their ERBA RWA by 80% from July 1, 2025, through June
capital regime. Banks with total assets of $100b or more will need
30, 2026. The transition will rise in increments of 5% each year
to produce their regulatory capital ratios based on the B3E RWA
until full implementation on July 1, 2028. The transition for RWA
calculations under ERBA, in addition to their US SA (standardized
was specific to ERBA, implying that the impact of FRTB on the US
approach) RWA. While the primary focus of the proposal is the ERBA
SA ratio will be in effect from July 1, 2025, onward. Additionally,
RWA calculation and associated regulatory capital ratios, other
Category III and Category IV banks will multiply their AOCI
components of the US capital adequacy framework will be impacted,
adjustment amount by the appropriate transition percentage over
including the supplementary leverage ratio, stress capital buffer and
the three-year period. The transition percentage of 25% on July 1,
G-SIB surcharge.
2025 and increase by 25% increments each year until the phase-in
ends on July 1, 2028.

Figure 3: Proposal components

1 Revised capital ratios 6 Revisions to operational risk

Replacement of modeled New standardized measurement
approaches ratio with ERBA approach
Revised
Ops risk
capital 7 FRTB internal models approach
2 Credit risk weighting framework revisions ratios (IMA) Shift from value at risk
Greater granularity for risk weights and Credit risk (VaR) to expected shortfall, new
FRTB - IMA
capital adequacy bucketing (New SA) charge for non-modellable risk
factors
3 Revisions to the securitization
framework Implementation of SEC-SA 8 FRTB standardized approach (SA)
Securitization FRTB – SA
approach with revised risk-weight floors Significant overhaul making it more
and updated Kg to reflect B3E changes risk sensitive

4 Securities financing transactions (SFT) and SFT CVA

9 Revisions to CVA risk
eligible margin loans
framework Revised framework
Revised collateral haircut approach and
Pillar 3 for CVA risk and alignment with
minimum haircut floors SA-CCR disclosure market risk SA framework
5 Standardized approach for counterparty credit risk
(SA-CCR) replacing current exposure method (CEM)
10 Regulatory reporting requirements
Revised Pillar 3 disclosures and upcoming
updates to regulatory reporting forms

1. Revised capital ratios SA market risk RWA, and then subtracting their adjusted allowance
for credit losses not included in tier 2 capital and allocated transfer
The Regulators have maintained the common equity tier 1 (CET1)
risk reserves. They will compare ERBA against the ERBA floor and
capital, tier 1 capital and total capital ratios framework and have
take the more punitive of the two. The bank’s minimum required
not altered the minimum capital levels associated with each of these
capital will then be determined by the higher of the existing US SA
ratios. The current advanced approach for RWA that applies to
RWA calculation and the ERBA calculation, in compliance with the
Category I and Category II firms is being removed in favor of ERBA,
Collins Amendment.
a new RWA methodology based on the BCBS’s Basel III standardized
approach. This RWA stack will include credit RWA, equity RWA The NPR would also revise the SCB calculation based on the higher
(historically included in credit), market RWA (SA or internal models of SA or ERBA RWAs as of the final quarter. of the previous capital
approach (IMA)), operational RWA and CVA RWA, less adjusted plan cycle. Categories I–III banks would also project the binding
allowance for credit losses not included in tier 2 capital and allocated ratios as part of their company-run stress tests and capital planning
transfer risk reserves. The proposal instituted the capital output activities. Category IV firms would project the ratios under the
floors as part of ERBA to cap the benefit from use of internal models baseline conditions.
for market risk. Banks will calculate the ERBA floor by multiplying The proposal standardizes the definition of capital across Categories
72.5% against their aggregate credit, equity, operational, CVA and

Basel III Endgame September 2023 | 6

What is in the proposal?

I–IV, replacing some of the simplifications permitted for Categories Categories III and IV banks would also be required to make
III and IV banks. Categories III and IV banks will now be required deductions for nonsignificant investments in the capital of
to reflect all AOCI components in CET1, except gains and losses unconsolidated financial institutions exceeding 10% of CET1 (less
on cash-flow hedges where the hedged item is not recognized deductions and adjustments) and significant investments in the
at fair value on the bank’s balance sheet. Categories III and IV capital unconsolidated financial institutions not in the form of
banks will need to adopt investment portfolio strategies more in common stock. The deduction for covered debt instruments and
line with larger peers as they manage AFS and held-to-maturity minority interest limitation would also be extended to Categories III
(HTM) allocations, identifying and managing complementing and and IV banks. The impact of these changes will vary by bank and will
overlapping factors between capital, liquidity and accounting likely only impact those with more complicated balance sheets.
management, particularly where there are conflicts. The Agencies The Agencies also took steps to harmonize tier 2 capital allowance
noted an observed shift from AFS to HTM for banks that could inclusions with the elimination of the advanced approach. Banks will
not elect the AOCI opt-out. Categories III and IV banks will also deduct the adjusted allowance for credit losses (AACL) included in
be required to comply with the individual 10% thresholds and tier 2 capital from total capital and add AACL up to 1.25% of total
15% aggregate threshold for mortgage servicing assets (MSAs), credit RWA to total capital under ERBA.
temporary deferred tax assets (DTAs) that cannot be realized
through net operating loss carrybacks, and significant investments 2. Credit risk weighting framework revisions
in the capital of unconsolidated financial institutions. The Agencies As widely anticipated, the modeled components of advanced
estimated that these two changes would equate to a 4.6% increase approaches credit RWA have been eliminated from the US risk-based
in CET1 requirements and a 3.8% increase in leverage requirements capital framework. In adopting ERBA, the Regulators are proposing
for Category III banks and 2.6% and 2.5% for Category IV banks. a version of the BCBS standardized approach credit RWA regime to
Category III US intermediate holding companies (IHCs) of foreign replace the current US advanced approaches while retaining the US
banking organizations (FBOs) would see increases of 13.2% and SA. Their stated objective in introducing the ERBA is to improve risk
9.7%. sensitivity by applying a more granular framework to determine risk
weights.

Summary of key revisions to credit risk RWA

• Real estate exposures: more granular methodology based
on LTV and dependency on cash flows (CFs) generated
from property
• Corporates: introduction of new classification categories
for project finance and risk weight of 65% for investment-
grade corporates; for investment-grade corporates with
publicly traded securities outstanding, necessitating
additional data and creating a dichotomy in treatment
between public and private companies
• Banks: new subcategories for risk-weighting bank
counterparties based on their assessment as investment
grade and whether they meet or exceed published
minimum capital requirements and buffers
• Equities: removes 100% risk weight treatment applicable
to nonsignificant equity exposures
• Off-balance sheet exposures: unconditionally cancellable
commitments (e.g., credit cards) receive 10% credit
conversion factor (CCF) instead of the current 0%
• Other changes: new requirements for regulatory retail,
transactors, defaulted borrowers and minor revisions
to credit conversion factors (CCF) for off-balance sheet
exposures

New categorization and treatment will require firms to build on current state data and systems to adapt to the changes; source new
data elements from internal or vendor systems (e.g., LTV ratios), and update data quality control, BAU processes, reporting procedures,
etc., for changed data elements and to meet B3E requirements.

Basel III Endgame September 2023 | 7

What is in the proposal?

Real estate • Requires banks to source flags that identify the factors
considered during underwriting.
Calculating RWA for real estate exposures under ERBA follows the
BCBS framework, with some modifications. Overall, low LTV loans • Retained the high volatility commercial real estate (HVCRE)
could receive lower risk weights relative to the US SA, but it will category and associated 150% risk weight from the US SA
depend on the source of repayment, as described below: • Introduced the acquisition, development and construction
• Adopted the LTV approach for both residential and commercial (ADC) category with a 100% risk weight
real estate; however, increased residential real estate risk- • Adopted lower risk weights relative to US SA for regulatory CRE
weight calibrations by 20% at each level with an LTV of 80% or less
• Prohibited the inclusion of private mortgage insurance (PMI) • Requires loans to meet certain criteria concerning the
when calculating LTV, requiring banks to source LTVs that status of the property, lien priority, and underwriting and
exclude its impact valuation standards to qualify as regulatory real estate or
• Assigned risk weights in ERBA of 40% to 90% for residential real they will fall into one of the higher risk weight categories.
estate exposures that do not depend on the cash flows of the
property, and 50% to 125% for those that depend on the cash
flows of the property vs. a 50% risk weight under US SA for
residential mortgages

Residential real estate risk weights (RW)

50% < LTV 60% < LTV 80% < LTV 90% < LTV
LTC 50% LTV > 100%
60% 80% 90% 100%

Residential, not materially

20% 25% 30% 40% 50% 70%
dependent on CFs

Residential, materially dependent

30% 35% 45% 60% 75% 105%
on CFs

Commercial real estate risk weights

LTC 60% 50% LTV < 80% LTV > 80%

MIN (60%, RW of
CRE, not materially dependent on CFs RW of counterparty
counterparty)

CRE, materially dependent on CFs 70% 90% 110%

Corporates Banks
General corporate exposures will be assigned a 100% risk weight in The NPR adopts the BCBS approach for banks, likely increasing RWA
ERBA, equivalent to the risk weight under the US SA. The NPR also for bank exposures relative to the US SA.
proposed adopting the investment-grade corporate designation, • Banks would be assigned to one of three buckets, based on
assigning a 65% risk weight to corporate entities of higher credit their current capital levels and risk weighted between 40% and
quality and with publicly traded securities or parents with publicly 150%.
traded securities. The new investment grade category could result
in lower risk weights for creditworthy public firms relative to their • Assigning bank exposures to the buckets will require current
privately held peers. capital requirements relative to minimums and buffers by
jurisdiction.
A risk weight of 100% was also proposed for exposures for the
acquisition or financing of physical commodities or equipment and • Reduced risk-weight treatment for exposures with original
project finance in the operational phase. Project finance exposures maturities of three months or less was excluded from the NPR.
that have not reached the operational phase would receive a 130%
risk weight.

Basel III Endgame September 2023 | 8

What is in the proposal?

Equities
Adopting the BCBS approach for equities will likely increase RWA
relative to US SA. The current approach for US SA was not adjusted.
• The proposal eliminates the 100% risk assignment for non-
significant equity exposures (NSEE) below the 10% total capital
threshold and the effective portion of hedge pairs; many of
these exposures will likely be assigned to higher-risk-weight
buckets.
• Risk weight for publicly traded equity is 250% in ERBA and
300% in US SA, consistent with the BCBS.
Regulatory retail and off-balance sheet exposures
The proposal introduces the regulatory retail category for exposures
such as student loans, auto loans and credit cards to individuals or
small businesses, consistent with the BCBS, though the risk weights
were increased by 10%.
• Exposures that qualify would receive an 85% risk weight under
ERBA, in contrast to a 100% risk weight in US SA, while failing
to meet the necessary criteria results in an ERBA risk weight of
110%.
• Customers that fully pay their credit card each month for the
past 12 months would receive a 55% risk weight.
• Commitments that receive a 20% or 50% credit CCF, based on
their maturities under US SA, will likely receive a 40% CCF in
ERBA.
4. Securities financing transactions (SFTs) and eligible
• Unconditionally cancelable revolving exposures receive a 10%
margin loans
CCF under ERBA vs. a 0% CCF under US SA.
The Agencies proposed revising the existing CHA, consistent with
RWAs for credit cards could be higher in ERBA than that of US SA
the comprehensive approach, and implementing the minimum
despite the lower risk weights because banks will be required to
haircut floors in line with the BCBS standards.
capture 10% of the undrawn amount. They will want to carefully
manage the size of the credit limits they extend, even to more • The new CHA includes a diversification parameter that benefits
creditworthy customers, as they try to balance the more punitive netting sets containing many securities each with a market
treatment to the ERBA treatment for undrawn amounts with value of 10% or more of the highest market value security in the
attracting creditworthy customers profitably. netting set.
• Haircuts for the new CHA were also modified to align with BCBS
3. Revisions to the securitization framework haircuts, rising overall and requiring an issuer to have publicly
The proposal would also adopt the BCBS’ SEC-SA for calculating traded securities to qualify as financial collateral
ERBA RWA, which is substantively similar to the current simplified • A diversification benefit from the CHA could reduce the
supervisory formula approach (SSFA). SEC-SA includes adjusted exposure amount and RWA for securities financing businesses,
input parameters and risk-weight floors that may increase or improving their return on capital performance and increasing
decrease RWA, depending on the risk profile and nature of the the capacity to do business.
position. The NPR would also remove certain products from the
The minimum haircut floors will apply to certain uncleared
securitization framework, such as nth-to-default credit derivatives.
transactions with unregulated financial institutions:
Certain types of securitization exposures also have specialized
treatment, such as securitizations backed by non-performing loans • Collateral upgrade trades, determined by the prescribed
(NPLs) or credit-enhancing interest-only strips (CEIOs). Additionally, regulatory haircuts
the input for the capital charge of the underlying exposures (Kg) will • Trades in which the bank lends cash and receives collateral that
be set using ERBA, which may pose a potential challenge to sourcing is not securities other than non-defaulted sovereigns
the granular data required (e.g., underlying residential mortgage
exposures by LTV) to apply ERBA risk-weighting methodologies. The proposal also expanded on the exemptions from the haircut
floors beyond what the BCBS specified to include trades that the
bank needs to meet current or anticipated demands and not to
provide financing to an unregulated financial institution.

Basel III Endgame September 2023 | 9

What is in the proposal?

Overall, the haircut floors could potentially increase RWA for

transactions in which they are applied if banks do not assign haircuts
that exceed the minimums. Banks that apply the new exemption to
their trades to dampen this impact should be diligent in developing
and documenting the framework that they use to identify trades
needed to meet their own demands. They may consider raising their
haircuts rather than incurring the punitive RWA treatment for falling
below the floors, potentially reducing revenue and market liquidity
for certain types of trades and market participants.
The haircut floors will require additional data flagging additionally,
exempted transactions contained in a netting set with in-scope
transactions can be considered uncollateralized if the netting set
value falls below the floor and indicators to identify core market
participants or agreements with certain reinvestment provisions,
such as upgrade trades or cash reinvestment, which may impact
existing tech build and sourcing. The inclusion of the haircut floors is
consistent with BCBS rules, though regulators in other jurisdictions
have not instituted them.
5. Standardized approach for counterparty credit risk
(SA-CCR)
The NPR requires all large banks with assets of $100b or more to
use SA-CCR for US SA, ERBA and supplementary leverage ratio
(SLR) calculations as well as reporting on the Systemic Risk Report
(FR Y-15). Additionally, all large banks will be required to comply
with SCCL limits daily using SA-CCR exposure calculations.
In addition to the expanded applicability of SA-CCR, the NPR
includes technical revisions and clarifications related to collateral
held by a qualifying central counterparty (QCCP), collateral held in
bankruptcy-remote manner, supervisory delta for collateralized debt
obligation (CDO) tranches and options contracts, and decomposition
of indices. Some of the collateral haircut amounts will also be
greater for margined netting sets of derivatives due to the changes
the NPR proposes to the haircut schedule.
6. Revisions to operational risk
The NPR introduces the SMA to replace the current AMA.
Additionally, non-AMA banks above $100b are subject to
operational risk capital requirements. The SMA calculation uses a
combination of financial statement components (typically a three-
year average) and 10-year internal loss history:
• Business indicator component (BIC): This is a financial
statement proxy of operational risk exposure, along with
bank-specific operational loss data. This will require banks to
design their ledgers and reporting systems to ensure they are
appropriately classifying their revenues, expenses and trading
P&L in a manner consistent with the SMA requirements.
• Loss component: The internal loss multiplier (ILM) is used to
enhance the SMA’s risk sensitivity and provide an incentive
for banks to improve operational risk management. Key loss
data NPR differences compared to AMA include the use of net
loss (inclusive of recoveries) vs. gross loss and timing losses in
capital calculation. Although the treatment proposed by the
BCBS permits the ILM floor to go below one, the Agencies have
set the floor at one. Banks will be required to have a robust
internal loss data program, inclusive of an independent review
of comprehensiveness and accuracy of loss data to support
SMA and disclosure requirements.
Basel
Basel
III Endgame
III Endgame August 2023 | 10
September
What is in the proposal?

FRTB market risk • A more risk-sensitive standardized approach

The FRTB represents an overhaul of the current US Basel 2.5 market • An enhanced model approval process
risk regulatory capital framework. This revised market risk capital • An updated IMA that better captures tail risk and integrates the
framework encompasses four key features: risk of market illiquidity
• A redefined boundary between the trading book and banking
book

The US NPR FRTB standards include modifications to

the BCBS proposed framework, the majority of which are
expected to reduce the level of implementation effort and or
lessen the capital impact relative to BCBS FRTB:
• More flexible desk-level model approval options,
potentially reducing the required data collection timeline
for initial application and desk changes after go-live
• Removal of IMA default risk charge (DRC), consistent with
the removal of modeling in the credit risk framework,
replaced by SA DRC for model-eligible desks; although
this could increase RWA for certain portfolios, it will also
eliminate the need to expand model coverage and desk
restructuring to avoid certain instruments hard to model
in DRC (e.g., local currency sovereigns)
• Generally preferential treatment for US government-
sponsored enterprises (GSEs) in SA (e.g., lower loss given
default (LGD), exclusion from residual risk add-on), but
with one clarification that could increase the impact from
previous estimates
• Other changes to SA that were expected to have
significant capital impact or operational costs (e.g.,
reduce maturity mismatch impact for equities in DRC;
remove spread options and GSE mortgage-backed
securities (MBS) from residual risk add-on (RRAO); allow
flooring of credit spreads at zero for curvature; combine
power and gas into one bucket for increased hedge
recognition)
• Clarifications or changes to “covered positions” definition
(e.g., explicit threshold and reduced frequency for net
short credit/equity exposure analysis; retain term “repo-
style transaction election” in current US rules; removal of
internal risk transfer requirement for equities)
• More flexibility or relaxed standards for certain
components of IMA (e.g., de minimis securitizations and
correlation trading portfolio (CTP) may be in model-
eligible desks; new issuances may use prorated risk factor
eligibility test (RFET); more flexibility for proxy usage
in non-modellable risk factors (NMRF) capital charge;
eliminates certain data principle requirements)

Basel III Endgame September 2023 | 11

What is in the proposal?

Trading/banking boundary and trading desks • Internal risk transfer (IRT): The proposed rule does not include
requirements for equity IRTs that restrict the recognition of risk
The US NPR establishes a stringent set of requirements for the
mitigation benefits for equity IRTs between trading book and
trading book and banking book boundary, and in doing so, remains
banking book.
mostly consistent with the BCBS international standards’ intention
to establish a consistent implementation across the industry. The • Re-designation: Maintains requirements for capital add-ons
changes to the framework include increased guidance for specific for re-designation, where an organization reclassifies an
types of instruments/risks, stricter governance requirements, and instrument initially designated as trading book or banking book;
clearer guidance for internal trades. however, it introduces a requirement to notify regulators of
material re-designation within 30 days (rather than requiring
Although the US NPR is very similar to the BCBS guidance, there are
prior approval) and allows for no capital add-on for re-
key US-specific differences:
designations outside of the bank’s control, subject to regulatory
• Inclusions/exclusions approval.
• Clarifies inclusion of trading assets and liabilities as defined • IMA ineligible positions on IMA desks: Allows the inclusion
by existing regulatory reports of de minimis securitization, correlation trading and equity
• No explicit exclusion of retail and small or medium-sized investment in funds with no look-through on desks using IMA,
enterprise (SME) credit provided a separate SA capital add-on is calculated.

• Preserves current choice to include term “repo-style • De minimis fallback: Preserves current de minimis framework
transactions,” with some additional criteria (i.e., marked as a fallback when banking organizations are unable to perform
to market and clarification on scope of risks to be captured the capital charge calculation using either SA or IMA.
and capitalization approach), rather than requiring trading- • Internal reporting: Did not include requirements for weekly
related repos to be included desk-level risk management reporting of profit and loss
• Explicit exclusion of debt security where fair value option is (P&L), VaR, expected shortfall (ES), backtesting and p-value;
selected however, it includes a requirement for daily monitoring of such
information at the desk level. Additionally, the NPR did not
• Net short credit/equity exposure: Introduced notional based
include explicit requirements for certain reports, such as daily
threshold ($20m) for quarterly identification and inclusion in
limit reports on exposures, breaches and actions or on intraday
market risk capital measurement.
limits and utilization, but the NPR does require policies and
procedures related to the monitoring of such exposures.

Basel III Endgame September 2023 | 12

What is in the proposal?

7. FRTB internal models approach (IMA) • RFET: Standards remain largely consistent with a change for
new issuances and potentially some additional leniency:
The IMA framework has been redesigned under FRTB to create a
more coherent and comprehensive risk capture that takes better • Now may prorate to meet standards if less than one year of
account of “tail risks” and market illiquidity risk; establish a more trading history.
granular and standardized model approval process whereby internal • Replaces language to “extract” the value of the risk factor
models are approved for use at the trading desk level; and impose with “inform,” though still open to interpretation on
constraints on the capital-reducing effects of hedging and portfolio requirements, particularly extent to which one price can be
diversification due to uncertainty. The redesigned internal models mapped to multiple risk factors.
approach replaces VaR and stressed VaR with a single stressed
expected shortfall measure, eliminating a perceived double count; • DRC: IMA DRC is replaced by SA DRC for model-eligible desks.
creates a new framework for identifying capitalizing material risks • ES: Two important clarifications that could reduce compute and
that do not have enough observable prices to be included in the simplify operations:
model, NMRF, and eliminates the incremental risk charge and
• Introduces an option of direct method to calculate ES
comprehensive risk measure, replacing them with standardized
without defining reduced set, although standards for
measures of default risk.
approval to include proxied risk factor in full set remain
The following aspects of the US NPR provide supervisors and banks uncertain.
more flexibility in the model approval process and certain modeling
• With approval, NMRF can be included in ES (in addition to a
choices than the BCBS framework:
separate NMRF charge).
• Initial model approval: There is more flexibility for initial model
approval and approval after go-live for additional desks or
modified desks, such as:
• No explicit requirement for an initial IMA desk’s materiality
to exceed 10% of market RWA
• Three additional options included for trading desks’ initial
submission, if unable to meet the 250-business-days
requirement in backtesting and PLAT
• PLAT and backtesting: Overall these requirements are in line
with BCBS, but there were a few changes to improve the use of
IMA for desks, such as:
• Recovery from Red to Amber (instead of Green) is
sufficient to move back to IMA for approved IMA desks.
• Prorates exceptions count on available data points in traffic
light approach (if it is shorter than one year).
• Allows discounting of backtesting exceptions if the bank
can show they are related to NMRF and the scaled capital
requirement for NMRF exceeds the difference between VaR
and the appropriate P&L.
• Hypothetical P&L (HPL) and Risk-Theoretical P&L (RTPL)
definitions: There is limited clarification on certain key
interpretive items in the definition of HPL and RTPL, with some
potential divergences from more detailed EU and UK guidance:
• Language about consistent treatment of time effects
between HPL and RTPL is retained, implying banks have
a choice, but the definition of HPL excludes time effects,
creating a potential conflict.
• Valuation adjustments that are updated daily must be
included in HPL, potentially not granting the flexibility to
align with VaR and RTPL provided in the EU and UK.
• There is no explicit guidance on the treatment of residual
operational noise or the use of end-of-day valuation
processes, potentially leaving room for interpretation on
usage of front office flash vs. finance-approved HPL.

Basel III Endgame September 2023 | 13

What is in the proposal?

• Equity investment in funds: The US NPR is generally consistent While the US NPR generally aligns with the BCBS on the structure of
with BCBS guidance on performing look-through, but with the the SA, there are changes that reflect tailoring for US markets and
following clarifications: key points of industry advocacy.
• Must identify underlying exposure on only a quarterly Key deviations in the NPR from BCBS guidance include:
basis. • Frequency: Requires weekly calculation as opposed to monthly.
• Allows use of (1) look-through approach, (2) hypothetical • US sovereigns and GSEs: Provides more favorable treatment
portfolio approach, or (3) subject to prior approval, an for US sovereigns and GSEs in DRC and RRAO compared to
alternative approach defined by the bank (consistent with BCBS, but with one clarification for the sensitivities-based
UK consultation), potentially allowing banks to avoid look- method (SBM) that could increase previous capital estimates:
through.
• DRC: exclusion of US sovereigns, lower LGD for GSEs, and
• NMRF: Is consistent with BCBS guidance but more flexible than maturity matching between to-be-announced securities
the European Banking Authority Regulatory Technical Standard, and pools in DRC
with specific clarifications:
• RRAO: exclusion of GSE MBS from RRAO
• Allow usage of proxy and or backfilled data to calculate
SES. • SBM: clarified treatment of Fannie, Freddie and UMBS as
separate issuers with standard intrabucket correlation for
• Must select stress period relevant to NMRF. the same issuer (35%)
• Data principles: The NPR has simplified language, with fewer • Equities maturity mismatch: Allows equity cash to use maturity
details on controls and a few changes: matching against derivatives it hedges in DRC.
• Offers less restrictive guidance on proxy usage, particularly • Commodities buckets: Combines power with natural gas and
for the stress period. creates a separate bucket for carbon trading.
• Removes requirement to reconcile front-office and back- • Spread options: Excludes spread options with only two
office prices with ES market data but kept requirement to underliers from RRAO, benefiting constant maturity swaps,
reconcile real price observations and ES market data. yield curve options and others.
• Removes requirement for biweekly recalibration of • Risk factor definitions and sensitivities: Modifies risk measure
regression parameters. definitions to simplify or provide more flexibility, including more
8. FRTB standardized approach (SA) flexibility for vega (e.g., sticky delta/strike, implied vs. ATM),
no vega requirement for callable/puttable bonds, flooring of
As part of the overhaul of market RWA, the US NPR introduces
negative credit spreads for curvature, and election to include
a new standardized approach (SA) covering general market risk,
linear products in curvature at desk level (not firmwide as in
specific market risk and default risk. The calculation consists of
other jurisdictions).
three components: the sensitivity-based method, the default risk
charge and the residual risk add-on.

Basel III Endgame September 2023 | 14

What is in the proposal?

• Buckets and risk weights: Includes minor changes and • CVA model, review and governance: There are no material
clarifications to bucketing and risk weights (e.g., introduces changes on the modeling methodologies and the review and
liquid market criteria for equities, confirms use of internal governance process, but a few minor changes, including:
ratings for credit spread risk (CSR) bucketing, introduces • Market data (current and historical) may be “validated”
speculative and sub-speculative-grade terminology for CSR and independently from the lines of business rather than
DRC, and adds higher risk weights for sovereigns and MDBs for “acquired” in BCBS.
CSR).
• In cases where banks use fundamental credit analysis to
• Indices, equity investments in funds and multi-underliers: proxy the credit spread of an illiquid counterparty, explicit
Largely adopts the BCBS guidance, but with the following regulatory preapproval is required.
clarifications:
• There are no specific requirements on a credible track
• The choice of look-through must be consistent for record of using exposure models and netting uncertainty.
all exposures to the same index, potentially causing
complexity for decomposition of structured vs. vanilla • There are more prescriptive ongoing validation and audit
products referencing the same index. frequency requirements (at least annually).

• Underlier data for equity investments in funds may be • Internal CVA hedges for BA-CVA: CVA desk is required to
updated on a quarterly frequency. recognize internal CVA hedges under the BA-CVA approach.

• Allows look-through of indices in CTP portfolio for SBM

calculation, enabling significantly better single-name
hedging recognition.

9. Revisions to CVA risk framework

The revised CVA risk framework aims to achieve enhanced risk
sensitivity, improved hedge recognition, and better consistency
with accounting CVA and the FRTB market risk framework. This new
requirement will replace the current Basel III counterparty exposure
at default (EAD) and the VaR-based framework with two alternative
approaches to calculating CVA risks:
• Standardized Approach (SA-CVA): a sensitivity-based
calculation similar to the FRTB SA for capitalizing market risk,
requiring supervisory approval.
• Basic Approach (BA-CVA): an exposure-based calculation, in
which EAD is calculated in the same way as the bank calculates
its minimum capital requirements for counterparty credit risk,
similar to the current simple CVA approach in US Basel III.
The CVA framework in the NPR is very similar to the BCBS guidance,
but it includes the following changes:
• Covered transactions: All derivatives that are directly facing a
CCP (including those against non-QCCP) and SFTs are excluded;
banks may choose to exclude credit derivatives recognized as
credit risk mitigants for credit RWA.
• Buckets and risk weights: Consistent with FRTB SA, this
framework proposes minor changes to bucketing:
• Introduces liquid market criteria for equities to determine
advanced economies.
• Confirms use of internal ratings and introduces speculative
and sub-speculative-grade buckets for CSR bucketing.
• Combines power and natural gas into one bucket and
makes carbon trading its own bucket.
• Increases risk weights for sovereigns and MDBs.

Basel III Endgame September 2023 | 15

What is in the proposal?

10. Regulatory reporting requirements

The Regulators will separately propose updates to several regulatory
capital-related reporting forms, such as the Regulatory Capital
Reporting for Institutions Subject to the Advanced Capital Adequacy
Framework (FFIEC 101), the Market Risk Regulatory Report for
Institutions Subject to the Market Risk Capital Rule (FFIEC 102)
and the Consolidated Financial Statements for Holding Companies
(FR Y–9C). The Capital Assessment and Stress Testing forms (FR
Y-14A/Q) will similarly be updated to reflect the changes in the
final rule. For the updated Systemic Risk Report (FR Y-15), which
is the source of inputs to the G-SIB framework, the updates in the
G-SIB NPR would be reflected to amend the reporting form and
instructions.
Under the current capital rule, only Category I and Category II
banking institutions are subject to enhanced public disclosures
for the advanced approach. The NPR would require Category III
and Category IV banking institutions to meet the same disclosure
requirements under ERBA, which is aligned to the existing
standardized approach Pillar 3 disclosures required of banks over
$50b. However, most of the existing quantitative disclosures would
be removed from the proposed disclosures and instead are expected
to be included in regulatory reporting forms. Regulatory reporting
engines will need to be ready in anticipation, though the specific
changes have not been finalized. Additional qualitative disclosures
are introduced to capture the new components of ERBA, such as
CVA and operational risk, and the existing disclosures are enhanced
to include a broader discussion of the bank’s risk management
objectives, including the interaction between the business model
and the overall risk profile, the risk governance structure, qualitative
information on stress testing, and strategies and processes to
manage, hedge and mitigate risks.

Basel
Basel
III Endgame
III Endgame August 2023 | 16
September
Next steps

Next steps

B3E will require collaboration across the whole institution to • Identify elements of the requirements that may require analysis
implement the requirements correctly, efficiently and in a manner and interpretation
that does not result in the bank holding unnecessarily higher capital. • Assess the capital impact associated with the changes and
Some banks have already moved forward with components of their develop a perspective to articulate during the comment period
B3E program and will use the NPR to adjust what they have built for engagement with other industry participants and regulators
already. These firms will want to quickly identify which elements of
the proposal depart from what they have expected so far and adjust • Formalize workstreams with clear objectives, owners and
their planning and development to account for these differences in milestones
order to keep their program moving forward. • Draft a target operating model that accounts for both gaps
Other banks are at the start of their journey and focused on the to reach minimum compliance and enhanced capabilities to
initial steps. These banks should quickly mobilize to identify the support business needs
necessary stakeholder teams and their roles in implementing the • Identify the budget impact and include B3E needs in business,
new requirements and be grounded in the bank’s existing activities finance, risk, reporting, accounting, technology and other
and exposures. It is important to select and empower an executive functional area forecasts
that can provide a vision for the program and establish its structure
B3E represents a sea change for the US banking industry and
and culture. These steps are also critical in capturing the B3E
navigating these changes will require each bank to understand
program in the bank’s budgeting process and informing internal IT
its own starting point, current capabilities and objectives relative
teams of future resource needs. Firms at this stage of their program
to its businesses and strategy. The initial steps outlined above
will want to quickly consider the following near-term steps:
can guide firms starting down this path, but building a strong
• Identify the appropriate steering committee, working groups regulatory capital program with the necessary governance,
and members leveraging BAU governance and develop charters oversight, technology, data, processes and controls through the
• Establish or expand program management, including B3E implementation will require a committed effort from across
communication and status reporting protocols, project initiation the institution to execute on the remaining steps needed for the
documents, project plans, resource plans and other key program.
artifacts
• Perform a gap assessment of the bank’s current capabilities
to the rule requirements and existing data, an accessibility
analysis, and identify ways to address these, particularly for the
upcoming data collection exercises

Basel III Endgame September 2023 | 17

EY Basel III Endgame leads

Ernst & Young LLP Basel III Endgame leads — contact information

Greg T Diiorio David Garfinkel

Principal Principal
+1 212 773 0694 +1 212 773 2635
[email protected] [email protected]

Adam Girling Greg Gonzalez

Principal Partner
+1 212 773 9514 +1 212 773 8638
[email protected] [email protected]

Susan Raffel Jef Robles

Partner Principal
+1 212 773 8840 +1 212 773 4930
[email protected] [email protected]

Marc Saidenberg Karthik R Iyer

Principal Managing Director
+1 212 773 9361 +1 201 551 6039
[email protected] [email protected]

Vipul Karundia Richard Tuosto

Managing Director Managing Director
+1 212 773 3985 +1 201 551 4389
[email protected] [email protected]

Greg M. Vardi Monica Cho

Managing Director Senior Manager
+1 212 773 5276 +1 212 773 5330
[email protected] [email protected]

Basel III Endgame September 2023 | 18

EY Basel III Endgame leads

Ernst & Young LLP Basel III Endgame leads — contact information

Sandeep Garnaik Shannon Kelly

Senior Manager Senior Manager
+1 212 773 8236 +1 212 773 4307
[email protected] [email protected]

Dhawal Kothe Seha Islam

Senior Manager Senior Manager
+1 704 331 1935 +1 212 466 9186
[email protected] [email protected]

Anil K Pai Rob Weniger-Araujo

Senior Manager Senior Manager
+1 415 984 7819 +1 212 773 6959
[email protected] [email protected]

Basel III Endgame September 2023 | 19

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