The Final Stretch: Securitization in the US Under the Proposed Basel III Endgame Rules

On July 27, 2023, the US banking regulators issued a proposal to significantly revise the risk-based capital requirements applicable to large banks and to banks with significant trading activity. The proposal, which is colloquially referred to as “Basel III Endgame” or “Basel IV,” includes important changes to the calculation of credit risk weights for securitization exposures, as well as a new operational risk capital charge on certain fees and commissions. This white paper provides a detailed review of those changes, discusses their possible impacts, and highlights specific provisions that market participants are likely to focus on in their comment letters.