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April 17, 2026 Content Type White paper

Calculating risk-weighted assets under the market risk framework

April 17, 2026 Content Type White paper

A Comparative Analysis of the 2023 and 2026 US Basel III Endgame Proposals

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Executive Summary

 

On March 19, 2026, the Federal Reserve Board (FRB), the Office of the Comptroller of the Currency (OCC) and the Federal Deposit Insurance Corporation (FDIC) released a recalibrated joint Notice of Proposed Rulemaking (NPR) that rescinds and replaces the July 2023 Basel III Endgame proposal.

The 2026 NPR introduces the expanded risk-based approach (ERBA), which substantially revises the calculation of risk-weighted assets under the market risk framework for Category (Cat) I and II banking organizations, aligning more closely with the Basel Committee's Fundamental Review of the Trading Book (FRTB) while introducing several material US-specific departures.

This white paper provides a granular, regulation-text-based comparison of the market risk and credit valuation adjustment (CVA) risk provisions in the 2023 NPR (September 18 version) and the 2026 NPR (March 19, 2026).

The 2026 recalibration has a narrower scope and more nuanced treatment than the 2023 proposal. While the 2023 NPR encompassed Cat I–IV banks, the 2026 proposal targets only Cat I and II banks. The ‘dual stack’ framework with the standardized approach (SA) and ERBA for risk-weighted asset (RWA) calculation gives way to ERBA for Cat I and II banks. The new NPR retains the threshold of $5 billion or 10% of total assets for the four-quarter (4Q) average of trading assets and liabilities, but indexes it to Consumer Price Inflation-Weights (CPI-W) for periodic inflation adjustment.

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New NPR, reshaping market risk capital

 

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