Framework Comparison¶

Art. 128 Re-introduction

Priority 4 (high-risk items) was omitted from UK CRR by SI 2021/1078 effective 1 January 2022. Basel 3.1 re-introduces Art. 128 with paragraphs 1 and 3 retained (paragraph 2 left blank). The 150% risk weight for particularly high risk exposures applies from 1 January 2027.

Covered Bond LGD — Article Restructured, Value Unchanged

CRR Art. 161(1)(d) already assigns 11.25% LGD for covered bonds eligible under Art. 129(4) or (5) — this is not a Basel 3.1 introduction. Basel 3.1 restructures the provision into a new Art. 161(1B) paragraph but retains the identical 11.25% value. The CRR text uses permissive language ("may be assigned"); the B31 text may formalise this as mandatory. See CRR F-IRB spec for the full Art. 161(1)(a)–(g) breakdown.

Purchased Receivables — Trigger Recast + Value Changes (Art. 161(1)(e)/(f)/(g))

Alongside the value changes (senior 45% → 40%, dilution 75% → 100%, subordinated 100% unchanged), PS1/26 re-keys the triggering condition of each sub-paragraph. Under CRR the condition is phrased as the institution's inability to estimate PDs; under PS1/26 it is re-anchored to the specific PD-determination method in Art. 160(2) / 160(6):

Regulatory substance is preserved because Art. 160(2)'s chapeau carries forward the original CRR "not able to estimate PDs or PD estimates do not meet Section 6" text as the gate for using 160(2)(a)/(b). The drafting is now cascaded through Art. 160 rather than repeated in Art. 161. PS1/26 Art. 161(2)(a) also adds a new explicit A-IRB → F-IRB LGD mapping (160(2)(a) → 161(1)(e), 160(2)(b) → 161(1)(f), 160(6) first sentence → 161(1)(g)) that was absent in CRR. See the B31 F-IRB spec for the verbatim PS1/26 text.

B31 Art. 230 — Subordinated LGDS Distinction Removed

CRR Art. 230 Table 5 has separate senior/subordinated LGDS columns (receivables 35%/65%, RE 35%/65%, other 40%/70%). PRA PS1/26 Art. 230(2) removes the subordinated distinction — only a single LGDS per collateral type remains. Under Basel 3.1, the subordination effect is captured solely through LGDU (75%, Art. 161(1)(b)).

Threshold precision: GBP 79 billion is exact under PS1/26

The PS1/26 Glossary fixes the LFSE threshold at GBP 79 billion of total assets, not as a conversion from EUR 70 billion. EUR 70 billion survives only as the CRR-era equivalent cited in the Glossary's Note ("corresponds to Article 142(1)(4) of CRR"). Lead with GBP 79bn for Basel 3.1 paths and EUR 70bn for CRR paths; do not treat either as an FX-derived approximation of the other.

Impact of Deleting F-IRB Fixed Maturities

Under CRR, F-IRB repo-style transactions received a fixed M = 0.5 years (below the general 1-year floor), significantly reducing their maturity adjustment. Under Basel 3.1, these exposures must be calculated from cash flows or contractual terms, subject to the 1-year general floor — roughly doubling the effective M for short-dated repos.

Art. 122(4) — New Due Diligence Requirement

Basel 3.1 adds Art. 122(4): where an ECAI credit assessment is available, the institution must conduct due diligence to ensure the external rating appropriately reflects the risk. If due diligence reveals higher risk than implied by the CQS, the institution must assign at least one CQS step higher. This is a class-specific application of the umbrella Art. 110A due diligence obligation below, and it mirrors the parallel provisions for institutions (Art. 120(4)) and covered bonds (Art. 129(4A)). See the B31 SA spec for the full trigger/effect table.

Art. 122(7)–(8) — Output-Floor Election and PRA Notification (IRB firms)

Art. 122(8) is a separate election for IRB firms computing the S-TREA leg of the output floor (Art. 92(2A)). For unrated non-SME corporates in Art. 112(1)(g), the firm chooses between:

• (a) flat 100% (mirrors Art. 122(5)) — no notification; or
• (b) the Art. 122(6)(a)/(b) 65%/135% IG/non-IG split — requires the underlying Art. 122(6) PRA permission and notification to the PRA on both adoption and cessation (Art. 122(8)(b) final sentence).

Art. 122(7) retains the permission-holder's obligation to maintain "sound, effective and comprehensive strategies, processes, systems and risk management practices". The notification obligation is symmetric — dropping back to (a) is equally a notifiable event. The election is portfolio-wide within the output-floor corporate population: cherry-picking branch (b) for IG obligors while using branch (a) for non-IG obligors is not permitted. CRR has no equivalent because CRR has no output floor. See the B31 SA spec and the output floor spec for full treatment.

How to attach a Table 6A short-term ECAI assessment

Short-term corporate ECAI assessments are issue-specific. Add a row to the ratings table with is_short_term=True, scope_type='facility' (or loan /contingent), and scope_id pointing at the target exposure. The HierarchyResolver overrides the counterparty long-term CQS for that exposure and the SA engine routes via Table 6A. SME corporates are excluded — the dedicated 85% SME RW takes precedence. See B31 SA Risk Weights spec for details.

Art. 120(2A) — ECRA Trade Finance ≤ 6m Exception (New in Basel 3.1)

Basel 3.1 extends the Table 4 short-term window from 3 months to 6 months for rated institution exposures that arose from the movement of goods. A 5-month documentary credit against a CQS 3 counterparty therefore picks up Table 4's 20% rather than Table 3's 50% — a 30pp saving versus the standard long-term weight. Both limbs must hold: original maturity ≤ 6 months and genuine trade-goods purpose. The carve-out mirrors the SCRA equivalent at Art. 121(4) for unrated institutions; together they close a CRR gap where cross-border trade finance missed the ≤ 3m preferential window.

No direct CRR analogue. CRR Art. 120(2) provides only a single short-term preferential window keyed to residual maturity ≤ 3 months — no original-maturity variant and no 6-month trade-goods extension. The new Art. 120(2A) aligns the PRA framework with BCBS CRE20.20.

Interaction with Art. 120(2B) Table 4A. The "Subject to paragraph 3" opener in Art. 120(2A) means the Table 4A interaction rules below apply; Art. 120(2A) can also interact with the Art. 120(4) due-diligence step-up. See B31 SA Risk Weights — Art. 120(2A) for worked examples, full implementation fields, and the side-by-side comparison with SCRA Art. 121(4).

Table 4A — Short-Term ECAI Assessment (Art. 120(2B))

The "Basel 3.1 (≤3m)" column above shows Table 4 weights — a long-term ECAI rating applied to a short-term exposure. Basel 3.1 also introduces Table 4A for institutions with a specific short-term credit assessment: CQS 1 = 20%, CQS 2 = 50%, CQS 3 = 100%, Others = 150%. Art. 120(3) governs the interaction: where no short-term assessment exists, Table 4 applies; where a short-term assessment yields a more favourable or equal RW, Table 4A applies for that exposure only.

The calculator wires this via a rating-row flag rather than a facility flag: set is_short_term=True plus scope_type / scope_id on the ratings row pointing at the target exposure, and the HierarchyResolver routes the SA engine to Table 4A. See B31 SA Risk Weights spec.

Art. 120(4) — Rated Institution Due Diligence CQS Step-Up

Basel 3.1 adds Art. 120(4): where an ECAI credit assessment drives the ECRA lookup above, the firm must conduct due diligence to ensure the external rating appropriately reflects risk. If due diligence reveals higher risk than implied by the CQS, the firm must assign at least one CQS step higher than the ECAI-implied weight. Sample uplifts against Table 3: CQS 1 → CQS 2 (20% → 30%), CQS 2 → CQS 3 (30% → 50%), CQS 3 → CQS 4 (50% → 100%), CQS 5 → CQS 6 (100% → 150%). CQS 4 → CQS 5 yields no numerical change (both 100%). CQS 6 is already at the cap.

Art. 120(4) is a class-specific instance of the framework-wide Art. 110A due diligence obligation below, and it mirrors the parallel provisions for corporates (Art. 122(4)) and covered bonds (Art. 129(4A)). CRR has no equivalent provision — under CRR Art. 120 the ECAI weights are applied without any article-level DD step-up mechanism. See the B31 SA spec for the full trigger/effect table, short-term applicability notes, and implementation status (routed through the Art. 110A due_diligence_override_rw pathway).

Disclosure Barring Ladder (Art. 121(1)(a), (1)(b))

The SCRA grade is not a single "disclosed → Grade A, undisclosed → Grade C" flip; final PS1/26 creates a two-step barring ladder driven by which piece of prudential disclosure is missing:

• Buffers not disclosed (requirements disclosed) → Art. 121(1)(a) bars Grade A; institution receives Grade B at best (75%).
• Minimum requirements not disclosed → Art. 121(1)(b) forces Grade C (150%).

The (1)(a) test looks at requirements and buffers together; the (1)(b) test looks at requirements alone. An institution-specific Pillar 2 add-on kept confidential by the home supervisor is excluded from both tests.

Near-final → final reversal. PS9/24 drafted (1)(a) as "shall not be classified as Grade B or lower" (a Grade B floor); final PS1/26 inverted it to "may not be classified as Grade A" (a Grade A ceiling) — opposite outcomes for buffers-undisclosed institutions. Firms migrating from PS9/24-era implementations must re-verify. See B31 SA spec — Disclosure Barring Rules for the full barring table, Art. 121(1A)/(1B) disclosure-scope definitions, and implementation status.

SCRA Short-Term Trade Finance Exception (Art. 121(4)) — New in Basel 3.1

Basel 3.1 introduces a dedicated preferential window for self-liquidating trade-finance exposures to unrated institutions. An exposure with original maturity ≤ 6 months that arose from the movement of goods receives Table 5A weights (Grade A / A enhanced 20%, Grade B 50%, Grade C 150%), overriding the normal 3-month threshold in Art. 121(3).

No direct CRR analogue. Under CRR Art. 121, unrated institution exposures are assigned a risk weight derived from the institution's central-government rating (Art. 121 Table 5) and the general short-term preferential treatment is gated on residual maturity ≤ 3 months (Art. 120(2) Table 4 for rated, Art. 121(3) 20% for unrated) — there is no separate 6-month self-liquidating trade carve-out. The new Art. 121(4) aligns the PRA framework with BCBS CRE20.20, preserving the capital treatment historically given to cross-border documentary credits and similar short-dated trade instruments.

Interaction with Art. 121(6). The two articles operate independently. A 9-month foreign-currency self-liquidating trade exposure falls outside the Art. 121(4) window (> 6 months) but is carved out of the Art. 121(6) floor (< 1 year trade carve-out in (b)), so it receives the standard > 3m SCRA grade weight (e.g. Grade A 40%) — neither preferential nor floored. See B31 SA Risk Weights — Art. 121(4) for the full eligibility conditions and worked interaction with Art. 121(6).

Art. 138(1)(g) & Art. 139(6) — Implicit Government Support Higher-of Rule (New in Basel 3.1)

Two new anti-arbitrage provisions govern the use of ECAI assessments that incorporate implicit government support when risk-weighting exposures to rated institutions:

• Art. 138(1)(g) prohibits using a credit assessment that incorporates assumptions of implicit government support, unless the rated institution is owned by or set up and sponsored by central governments, regional governments, or local authorities (the government-owned / government- sponsored exemption).
• Art. 139(6) is a residual "higher-of" floor: where no "clean" issue- specific rating exists but an implicit-support issue-specific rating does, the firm must assign the higher of (i) the baseline RW derived from Art. 138 with the implicit-support assessments suppressed and (ii) the RW from the issue-specific rating disregarding Art. 138(1)(g).

Both rules apply only where the obligor is an institution (Art. 139(6)(a)) and only affect the ECRA (rated) path. They do not change the Art. 138 multi-rating resolution beyond the institution-obligor carve-out. Typical target: private banks whose BBB+/A− ratings rely on anticipated sovereign bailout uplift ("too big to fail"); the higher-of comparison forces recognition of the unsupported creditworthiness.

No CRR equivalent. Neither the Art. 138(1)(g) prohibition nor the Art. 139(6) higher-of rule exists in CRR — CRR Art. 138 has only sub-points (a)–(f), and CRR Art. 139 has only paragraphs (1)–(4). CRR firms apply implicit-support ratings directly with no suppression.

Implementation status. Not yet implemented — the schema lacks both an issue-specific vs general-issuer distinction and an implicit-support flag. Firms must pre-adjust external_cqs offline or use the Art. 110A due_diligence_override_rw pathway as a workaround. See B31 SA Risk Weights — Art. 138(1)(g), Art. 139(6) for the full trigger, worked example, exemption scope, and distinction from Art. 121(6).

Framework Scope and Mixed RE Split (Art. 124) — New in Basel 3.1

Basel 3.1 Art. 124 is the top-level scoping article for the RE framework — paragraphs (1)–(3) route each exposure to Art. 124F–124I (regulatory RE), Art. 124J (other RE), or Art. 124K (ADC). Paragraph (4) is new: a single exposure secured by both residential and commercial property must be split in proportion to the value of each property, with each part routed to its own risk-weight article. The default for mixed exposures is Art. 124J on both parts — the preferential Art. 124F–124I treatment applies only if both parts separately qualify under the Art. 124A six-criterion gate (all-or-nothing, no partial preference).

CRR had no explicit mixed-RE paragraph; mixed-use collateral was handled via the residential-vs-commercial classification of the predominant security interest. See B31 SA Risk Weights — Art. 124 for the routing decision tree, worked example, and current input-schema gap (D3.59).

Underwriting Standards (Art. 124B) — New in Basel 3.1

Basel 3.1 Art. 124B is a new, one-paragraph governance obligation:

"An institution shall have an underwriting policy for originating real estate exposures which shall, at a minimum, require the institution to assess the ability of the borrower to repay." — PS1/26 Art. 124B (p. 52).

The obligation applies to all RE exposures (regulatory RE, other RE, ADC). It sits upstream of the calculator — there is no risk-weight impact or input field. A breach does not reclassify the exposure under Art. 124J; compliance is enforced supervisorily (potentially a Pillar 2A capital add-on under SS31/15 ICAAP).

CRR had no equivalent single-article underwriting-standards provision — affordability assessment for RE origination was delivered through CRD Art. 79 (credit-risk management) and PRA supervisory statements (SS20/15 Residential Mortgage Risk Weights, SS11/13 IRB approaches). Art. 124B embeds the BCBS CRE20.81 minimum origination standard directly in the PRA CRR rulebook, harmonising the minimum across SA and IRB at the measurement- framework level. See Art. 124B specification.

Material Dependency Classification (Art. 124E) — New in Basel 3.1

Basel 3.1 introduces Art. 124E, a formal test for routing RE exposures between loan-splitting (non-dependent) and whole-loan (income-producing) treatment. CRR has no equivalent — the distinction between Art. 125 (general) and Art. 126 (income-producing) was not gated by a structured classification rule.

Residential RE is materially dependent by default. The five exceptions for non-dependent classification are: (a) primary residence, (b) natural person with ≤3 non-primary qualifying properties (three-property limit), (c) SPE with natural person guarantor meeting the same limit, (d) social housing, (e) cooperative for primary residence use. Each housing unit counts as a separate property even under a single charge (Art. 124E(4)).

Commercial RE is materially dependent unless the borrower uses each property predominantly for its own business purpose, excluding rental income (Art. 124E(6)).

Reassessment obligations (Art. 124E(5) and (7)) — CRR had no analogue:

• Residential RE (Art. 124E(5)) — institutions shall reassess material dependency whenever a new residential-RE-secured loan is issued to the obligor, including replacement loans. Reassessment at other times is permitted only if new information is gathered and applied consistently across the portfolio; selective reassessment to reduce own-funds requirements is prohibited.
• Commercial RE (Art. 124E(7)) — institutions shall reassess at least annually whether the exposure remains materially dependent.

The mandatory residential trigger is obligor-level, not property-level: a new RRE loan to the same borrower at a different address re-opens the three-property count in Art. 124E(2) for every existing RRE exposure to that borrower.

See Art. 124E specification and specifically the residential reassessment triggers and commercial annual reassessment subsections.

Valuation Requirements (Art. 124D) — New in Basel 3.1

Art. 124D consolidates the valuation rules that were previously spread across CRR Art. 125, 126, 208(3), and 229. New elements with no direct CRR analogue: (a) explicit >10% market-decline revaluation trigger with a clock-reset option (Art. 124D(7)); (b) GBP 2.6m or 5% of own funds large-exposure threshold triggering a 3-year revaluation cycle regardless of property type (Art. 124D(5)(c)); (c) 5-year floor for all regulatory RE (Art. 124D(5)(d)); (d) a formally defined self-build exposure concept (Art. 1.2, PS1/26 Appendix 1 p. 27 — residential ≤ 4 units, borrower's primary residence) that qualifies as regulatory RE before construction completes via Art. 124A(1)(a)(iii), with property value floored at the higher of pre-construction land value and 0.8 × latest qualifying valuation (Art. 124D(9)–(10)); and (e) grandfathering for pre-2027 exposures (Art. 124D(11)) where the most recent legacy valuation counts as a qualifying valuation subject to the three-circumstance test. The Art. 124D(5) cadence applies equally to residential and commercial — a change from CRR Art. 208(3)'s 1-year CRE / 3-year RRE split. See Art. 124D specification for the paragraph-by-paragraph breakdown.

Counterparty scope of the CRR 35%/75% column

The CRR column above shows the regime treatment under Art. 125 — it is not contingent on the borrower being an individual. Art. 125 applies to any exposure secured by residential property that meets the Art. 125(2) qualifying conditions (value/repayment not materially dependent on borrower credit quality or property cash flows; Art. 208 / 229 valuation). In the calculator this routes through RETAIL_MORTGAGE for retail individuals and through RESIDENTIAL_MORTGAGE (via the SA real-estate loan-splitter) for non-retail counterparties; both paths apply the same Art. 125 35% / residual-counterparty-RW split.

Junior Charge Multiplier (Art. 124G(2))

Where prior-ranking charges exist that the institution does not hold (i.e. a junior lien), the Table 6B risk weight is multiplied by 1.25× when LTV > 50%. At LTV ≤ 50% the 30% weight applies without uplift. The multiplied weight is not capped at the Table 6B ceiling — it may exceed 105% (e.g. 105% × 1.25 = 131.25% at LTV > 100% with a junior charge). Example: junior charge at 75% LTV → 50% × 1.25 = 62.5% whole-loan. CRR has no equivalent junior-charge multiplier for residential RE. See B31 SA spec for full details.

Art. 124H(3) — Large Corporate CRE (Non-Natural-Person, Non-SME)

For counterparties that are not natural persons and not SMEs (e.g. large corporates, institutions), Basel 3.1 does not apply loan-splitting. Instead, Art. 124H(3) assigns a whole-loan risk weight to the entirety of the exposure:

RW = max(60%, min(counterparty_rw, income_producing_rw))

where income_producing_rw is the Art. 124I rate for the same LTV band (100% if LTV ≤ 80%, 110% if LTV > 80%). This ensures the risk weight is at least 60% but does not exceed the lower of the counterparty's unsecured weight and the income-producing table rate.

CRR has no equivalent entity-type distinction — all CRE uses the same Art. 126 split regardless of counterparty type.

The calculator routes automatically: when cp_is_natural_person = False and is_sme = False (or both absent), the Art. 124H(3) path applies. No separate input flag is required.

See: B31 specification

Art. 124K(2) Qualifying Conditions — Residential ADC Only

The 100% concession requires both: (a) prudent underwriting standards including property valuation; and (b) at least one of: (i) legally binding pre-sale/pre-lease contracts with substantial forfeitable deposits covering a significant portion of total contracts, or (ii) the borrower has substantial equity at risk. Commercial ADC always receives 150% — no qualifying reduction exists.

Transactor Eligibility — Behavioural Gate (Art. 123(3)(a), PRA Glossary)

The 45% transactor weight is not a self-declared category. Per the PRA Glossary (PS1/26 Appendix 1, p. 9), a transactor exposure is one where, over the previous 12-month period, the obligor has either (1) repaid the revolving balance in full at each scheduled repayment date (credit cards, charge cards, and similar), or (2) not drawn down the overdraft at all. Art. 154(4) adds that revolving accounts with less than 12 months of repayment history must be flagged non-transactor. The 12-month assessment is an upstream responsibility of the reporting institution; the is_qrre_transactor flag is accepted without revalidation. See the Basel 3.1 SA spec for the verbatim Glossary text and both behavioural limbs.

Art. 132 UK Law Status

CRR Art. 132 was omitted from UK retained law by SI 2021/1078 (effective 1 Jan 2022) and moved to the PRA Rulebook (CRR Firms). The 1,250% fallback originates from CRR2 (Regulation 2019/876). PRA PS1/26 Art. 132(2) reinstates the same 1,250% fallback.

The 1,250% fallback applies only where neither look-through nor mandate-based approaches are feasible. CIU equity exposures excluded under Art. 132B(2) (e.g., sovereign entities, legislative programme holdings) instead receive Art. 133 equity treatment (250% standard / 400% higher-risk under Basel 3.1).

Provision Threshold Denominator

The 20% threshold denominator differs between frameworks:

• CRR Art. 127(1): "the unsecured part of the exposure value if those specific credit risk adjustments and deductions were not applied" — the pre-provision unsecured exposure value
• PRA PS1/26 Art. 127(1): "the outstanding amount of the item or facility" — the gross outstanding amount (the full facility)

The PRA denominator is typically larger, making it easier to reach the 20% threshold. See Defaulted Exposures Specification for details.

A-IRB defaulted EL uses BEEL (Art. 158(5))

On the IRB side, Art. 158(5) replaces the standard PD × LGD × EAD EL formula with BEEL × EAD only for A-IRB defaulted exposures — F-IRB defaulted exposures retain 1 × LGD × EAD. BEEL (Best Estimate of Expected Loss) is the A-IRB firm's own estimate of post-default economic loss under the Art. 181(1)(h)(ii) standards (downturn conditions; symmetric use of recovery realisations; governance and validation). Pre-revocation CRR used the symbol ELBE; PS1/26 renames to BEEL with no substantive change. Sovereign/central-bank exposures are excluded from A-IRB by Art. 147A(1)(a), so BEEL never applies to those classes. See Defaulted Exposures — BEEL.

Art. 129(4A) — New Due Diligence Requirement

Basel 3.1 adds Art. 129(4A): institutions must assess whether external ratings adequately reflect creditworthiness of eligible covered bonds. If due diligence reveals higher risk characteristics than implied by the CQS, the institution must assign at least one CQS step higher than the ECAI-implied weight. Sample uplifts against Table 7: CQS 1 → CQS 2 (10% → 20%), CQS 3 → CQS 4 (20% → 50%), CQS 5 → CQS 6 (50% → 100%). CQS 2 → CQS 3 and CQS 4 → CQS 5 yield no numerical change (Table 7 assigns identical weights to those adjacent steps) but the reassignment remains mandatory.

Art. 129(4A) is a class-specific application of the umbrella Art. 110A due diligence obligation below, and it mirrors the parallel provisions for institutions (Art. 120(4)) and corporates (Art. 122(4)). CRR has no equivalent provision. See the B31 SA spec for the full trigger/effect table, plateau explanation, and implementation status.

Art. 166(9) Trade LC Exception Removed

CRR Art. 166(9) is blanked by PRA PS1/26. The 20% short-term trade LC carve-out no longer applies under Basel 3.1 — these exposures receive the standard SA CCF for their risk type via the Table A1 mapping. The is_short_term_trade_lc flag has no effect under Basel 3.1.

CRR vs PRA PS1/26 — Format Change, Non-HVCRE Values Preserved

Under CRR, the short-maturity concession was expressed as separate maturity bands in Table 1 (≥ 2.5yr vs < 2.5yr). PRA PS1/26 consolidates these into a single Table A with A/B/C/D subgrade columns. For non-HVCRE types, the values are identical — CRR "≥ 2.5yr" = Table A column B/D; CRR "< 2.5yr" = Table A column A/C. The column A/C concession is explicitly optional ("may") under both frameworks. The HVCRE row in Table A is a PRA PS1/26 introduction — UK CRR has no HVCRE table.

80% Corporate Counterparty Cap is the Most Material Gating Condition

The (iv)(1) corporate sub-type requires the off-taker itself to attract a SA risk weight of 80% or lower. In practice this means investment-grade corporates (CQS 1–3 → 20%/50%/75%) or Art. 122(6) IG corporates (65%). A BB-rated or unrated corporate off-taker (100% RW) disqualifies the 80% PF weight. This is the single most common reason high-quality PF status is denied. See full canonical conditions and the Art. 122B(6) availability-based definition in the B31 SA risk-weights spec.

Structural changes beyond the table

PS1/26 Art. 232 also: (i) adds paragraph A1 gating the article to firms that have elected the Other Funded Credit Protection Method under Art. 191A(1); (ii) narrows paragraph 2(b) from "IRB Approach but not subject to own estimates of LGD" to "Foundation IRB Approach" (A-IRB firms now model life insurance through their own LGD per Art. 169A/169B); (iii) extends the currency-mismatch cross-reference to Art. 233(3) and (4); and (iv) adds an explicit paragraph 5 requiring maturity-mismatch adjustment under Art. 237-239 (the obligation was implicit in CRR). Output RWs (20% / 35% / 70% / 150%) are unchanged.

Full treatment in the B31 CRM spec Life Insurance Method (Art. 232).