basel31

name	basel31
description	Look up Basel 3.1 / PRA PS1/26 credit risk rules. Use when you need new SA risk weights (including RE loan-splitting, ECRA/SCRA, corporate sub-categories), IRB parameter floors, output floor mechanics, CCF changes, CRM method changes, slotting updates, or any difference between CRR and Basel 3.1. Effective 1 Jan 2027.

Basel 3.1 — PRA PS1/26 Regulatory Reference

Basel 3.1 as implemented by PRA PS1/26 for UK firms, effective 1 January 2027. The framework shifts emphasis from risk sensitivity to comparability and floors.

Top 10 Changes from CRR

1. Output floor — IRB RWA floored at 72.5% of SA-equivalent (phased in 2027-2030)
2. Supporting factors removed — no SME (0.7619/0.85) or infrastructure (0.75) relief
3. 1.06 scaling factor removed — ~5.7% IRB RWA reduction before output floor
4. Differentiated PD floors — class-specific (0.05%-0.10%) vs CRR uniform 0.03%
5. A-IRB LGD floors introduced — 0%-50% by collateral type (CRR had none)
6. F-IRB supervisory LGD reduced — senior corporate 45% -> 40%, secured reductions
7. A-IRB restricted — no AIRB for large corporates, FIs, banks (F-IRB only)
8. Equity IRB removed — SA only at 250%/400%
9. RE becomes standalone class — loan-splitting (20% secured / counterparty RW residual)
10. New retail categories — transactor 45%, payroll/pension 35%

Quick Navigation

Question	Reference File
What changed overall? (master delta table)	references/what-changed.md
What are the Basel 3.1 SA risk weights?	references/sa-risk-weights.md
What are the new IRB floors and restrictions?	references/irb-changes.md
How does the output floor work?	references/output-floor.md
What are the new CCF values?	references/credit-conversion-factors.md
What changed in CRM (haircuts, methods)?	references/crm-changes.md
What changed in slotting risk weights?	references/slotting-changes.md
What changed in reporting templates?	references/reporting-changes.md

External Regulatory Sources

• PRA PS1/26: https://www.bankofengland.co.uk/prudential-regulation/publication/2026/january/implementation-of-the-basel-3-1-final-rules-policy-statement
• PRA PS1/26 Appendix 1 (full rules): https://www.bankofengland.co.uk/-/media/boe/files/prudential-regulation/policy-statement/2026/january/ps126app1.pdf
• BCBS CRE Standards: https://www.bis.org/basel_framework/standard/CRE.htm
• Source PDFs: docs/assets/ps126app1.pdf (full rules), docs/assets/comparison-of-the-final-rules.pdf (delta summary) — use to verify specific articles against the authoritative text

Project Specification & Comparison Files

File	Topic
docs/framework-comparison/key-differences.md	Comprehensive CRR vs Basel 3.1 comparison
docs/framework-comparison/technical-reference.md	Developer-facing parameter tables, haircuts, config
docs/framework-comparison/impact-analysis.md	Capital impact by portfolio type
docs/framework-comparison/reporting-differences.md	COREP template changes (C -> OF)
docs/framework-comparison/disclosure-differences.md	Pillar 3 template changes (UK -> UKB)
docs/specifications/crr/sa-risk-weights.md	SA risk weights (covers both CRR + Basel 3.1)
docs/specifications/crr/airb-calculation.md	A-IRB with Basel 3.1 LGD floors and PMAs

Key Regulatory Sections

PRA PS1/26 Article	BCBS Section	Topic
Art. 92(5)	—	Output floor formula
Art. 111, Table A1	CRE20.92	SA CCFs (10%, 40% new)
Art. 112, Table A2	CRE20.4	Exposure class priority waterfall
Art. 114-121	CRE20.7-21	Sovereign, institution ECRA/SCRA
Art. 122, 122A-122B	CRE20.42-49	Corporate + SA specialised lending
Art. 124A-124L	CRE20.71-85	Real estate loan-splitting, LTV tables
Art. 127	CRE20.87-90	Defaulted exposures
Art. 133	CRE20.52-57	Equity (250%/400%)
Art. 146(3)	—	Post-model adjustments (PMAs)
Art. 153, 154	CRE31-32	IRB K formula, correlation, LGD floors
Art. 161, 162	CRE32.12-24	F-IRB supervisory LGD
Art. 163(1)	CRE30.55	Differentiated PD floors
Art. 166C-166D	CRE32.25-27	F-IRB/A-IRB CCFs
Art. 191A	CRE22	CRM method decision tree

Basel 3.1 Exposure Class Waterfall (Art. 112, Table A2)

Priority ordering — highest-priority class applies when exposure meets multiple criteria:

1. Securitisation positions
2. CIU units/shares
3. Subordinated debt, equity and own funds instruments
4. Items associated with particularly high risk
5. Exposures in default
6. Eligible covered bonds
7. Real estate exposures (new standalone class)
8. International organisations
9. Multilateral development banks
10. Institutions
11. Central governments / central banks
12. Regional governments / local authorities
13. Public sector entities
14. Retail exposures
15. Specialised lending (new)
16. Corporates
17. Other items

Transitional Schedule

Output Floor Phase-In (Art. 92(5))

Year	Floor %
2027	60.0%
2028	65.0%
2029	70.0%
2030+	72.5%

Equity SA Phase-In (Art. 4.2/4.3)

Year	Standard	Higher-Risk
2027	160%	220%
2028	190%	280%
2029	220%	340%
2030+	250%	400%

IRB transitional (Art. 4.4-4.6): firms with IRB permission use the higher of old IRB methodology and transitional SA schedule. Opt-out available (irrevocable).