Basel 3.1 Reporting Delta Calculator

Compute the RWA and CET1 delta between your current Basel 2.5/3 framework and Basel 3.1 rules — SA-CR revised risk weights, IRB output-floor constraint at 72.5%, and per-asset-class impact breakdown. Configure a synthetic credit book by portfolio preset and see exactly where the floor bites and by how much. UK PRA PS1/26 go-live: January 1, 2027. Chains into SIM-03 for full scenario modelling. Client-side. Zero PII.

AP2 Export Chains: SIM-03 UK PRA Jan 1, 2027 Basel 3.1 · Output Floor 72.5% JS Parallel Zero PII

🔒 All portfolio data is synthetic — no real loan book or customer data is used. Inputs generate a parameterised synthetic credit portfolio computed entirely in your browser. No data is transmitted.

⚠ Educational/simulation only. Risk-weight calculations are based on the Basel Committee on Banking Supervision's final Basel III framework (December 2017), UK PRA Policy Statement PS1/26 (January 2026), and CRR3 Regulation (EU) 2024/1623. The output floor at 72.5% is as specified in BCBS d424. SA-CR risk weights follow revised Basel 3.1 tables. IRB inputs are indicative. All numbers are for planning and pre-validation purposes — not for regulatory reporting. Verify with your Pillar 1 capital team.

Portfolio configuration

Portfolio preset

Total credit exposure (£ billions) EAD (Exposure at Default) across all credit asset classes

Tier 1 capital (% of total exposure)

4.5%

Current CET1 capital as % of total exposure

IRB coverage (% of portfolio on IRB)

65%

Fraction of book on Internal Ratings-Based (vs Standardised)

Average IRB risk density (IRB RWA / EAD)

22%

Average IRB RW density before output floor. Typical range: 15–45%.

RWA & capital metrics — current vs Basel 3.1

Asset-class RWA breakdown (SA-CR revised Basel 3.1 weights)

Asset class	EAD (£bn)	Current RW	SA-CR 3.1 RW	Current RWA (£bn)	SA-CR 3.1 RWA (£bn)	Floor delta (£bn)	Floor binding?

RWA uplift by asset class (Basel 3.1 vs current)

Implementation timeline & transitional arrangements

Chain to SIM-03 — Basel RWA scenario modeller

→ Open in SIM-03 Export the artifact below, then carry it into SIM-03 to run SA-CR / F-IRB / A-IRB scenario comparisons with full percentile distributions