On June 18, ISDA, the Institute of International Finance and the Securities Industry and Financial Markets Association submitted a joint response to the 2026 US Basel III notice of proposed rulemaking (NPR). The response focuses on the Fundamental Review of the Trading Book (FRTB), the revised credit valuation adjustment (CVA) framework, the securities financing transactions requirements and elements of the standardized approach for counterparty credit risk (SA-CCR).
The associations welcome the introduction of an extended SA-CCR methodology that recognizes the risk-reducing benefits of cross-product netting between derivatives and securities financing transactions. However, they recommend that the formula should be recalibrated to more appropriately capture exposures for typical portfolios of short-dated securities financing transactions hedged with derivatives.
Based on an industry quantitative impact study with input from eight US global systemically important banks, the proposed FRTB framework under the new expanded risk-based approach would result in a 30% to 89% increase versus the current US standardized approach for market risk, depending on the extent to which banks maintain current model approvals.
In the response, the associations welcome a number of recalibrations that were made relative to the 2023 NPR that reduce the overall capital impact. They propose additional targeted adjustments to ensure the rules are appropriately risk sensitive and avoid adverse consequences for US capital markets and the broader economy.
Click on the attached PDF to read the full response.
Documents (1) for ISDA, SIFMA, IIF Respond to 2026 US Basel III Proposal
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