Regulatory Compliance Matrix
Live citation-to-code matrix
The tables below are hand-maintained article-status summaries. For the live mapping from each regulatory article to its implementing function(s) — auto-generated from @cites(...) decorators with click-to-expand source snippets — see the Citation Coverage Matrix. The Citation Tracking page documents the annotation conventions.
CRR (Basel 3.0) — Current UK Rules
| CRR Article |
Topic |
Status |
| Art. 111 |
Credit conversion factors (CCF) |
Done |
| Art. 112–134 |
SA risk weights by exposure class |
Done |
| Art. 120–121 |
Institution risk weights (ECAI-based, sovereign-derived) |
Done |
| Art. 127 |
Defaulted exposure SA (provision-coverage 100%/150%) |
Done |
| Art. 132–132B |
CIU treatment (fallback, look-through, mandate-based) |
Done |
| Art. 133 |
Equity SA (flat 100%) |
Done |
| Art. 143–154 |
IRB approach (F-IRB and A-IRB) |
Done |
| Art. 153(5) |
Specialised lending slotting |
Done |
| Art. 153(1)(ii) |
Defaulted exposure F-IRB (K=0) |
Done |
| Art. 154(1)(i) |
Defaulted exposure A-IRB (K=max(0, LGD−BEEL)) |
Done |
| Art. 155 |
Equity IRB Simple (290%/190%/370%) |
Done |
| Art. 158 |
Expected loss by exposure type (omitted from UK CRR by SI 2021/1078; PRA Rulebook) |
Done |
| Art. 159 |
EL vs provisions comparison (retained in UK CRR) |
Done |
| Art. 161–163 |
F-IRB supervisory LGD |
Done |
| Art. 166 |
Off-balance sheet EAD and CCF application |
Done |
| Art. 192–241 |
Credit risk mitigation framework |
Done |
| Art. 207–224 |
Collateral eligibility and haircuts |
Done |
| Art. 213–217 |
Guarantee and credit derivative substitution |
Done |
| Art. 224 |
Supervisory haircut table |
Done |
| Art. 230 |
Overcollateralisation ratios (Foundation Collateral Method) |
Done |
| Art. 238 |
Measurement of credit-protection maturity (5-year cap, termination-option handling) |
Done |
| Art. 239(2)/(3) |
Maturity mismatch adjustment formula (CVAM for funded, GA for unfunded) |
Done |
| Art. 501 |
SME supporting factor (tiered: 0.7619/0.85) |
Done |
| Art. 501a |
Infrastructure supporting factor (0.75) |
Done |
Basel 3.1 (PRA PS1/26) — Upcoming UK Rules
| PRA PS1/26 Article |
Topic |
Status |
| Art. 112, Table A2 |
Revised exposure class hierarchy and waterfall |
Done |
| Art. 114 |
Sovereign SA risk weights |
Done |
| Art. 120–121 |
Institution SA: ECRA and SCRA (replaces sovereign-derived) |
Done |
| Art. 122(5)–(11) |
Corporate SA sub-categories (IG 65%, non-IG 135%, SME 85%) |
Done |
| Art. 122A–122B |
SA specialised lending (rated/unrated, pre-op PF) |
Done |
| Art. 123–123B |
Retail SA (Art. 123), qualifying criteria (Art. 123A), currency mismatch multiplier 1.5x (Art. 123B) |
Done |
| Art. 124A–124L |
Real estate: loan-splitting, qualifying criteria, LTV bands |
Done |
| Art. 127(1)–(1A) |
Defaulted SA: provision-coverage split (100%/150%) |
Done |
| Art. 129 |
Covered bond risk weights (rated Table 6A/Table 7, unrated derivation Art. 129(5)) |
Done |
| Art. 132–132B |
CIU treatment (fallback 1,250%, mandate-based, look-through) |
Done |
| Art. 133 |
Equity SA (listed 250%, speculative 400%) |
Done |
| Art. 143–154 |
IRB approach revisions (PD/LGD floors, 1.06 removal) |
Done |
| Art. 147A |
Model permissions and approach restrictions |
Done |
| Art. 153(5) |
Revised slotting weights (maturity split removed) |
Done |
| Art. 158–159 |
Provisions and EL comparison (Art. 158(6A) monotonicity) |
Done |
| Art. 161 |
F-IRB supervisory LGD (40% non-FSE senior, 45% FSE) |
Done |
| Art. 164(4) |
A-IRB per-exposure LGD floors (retail: 5% RRE, 50% QRRE, 30% other; replaces CRR portfolio-level 10%/15%) |
Done |
| Art. 166C–166D |
Revised CCF: SA-aligned, full-facility EAD for revolving |
Done |
| Art. 191A–241 |
Revised CRM: 5-band haircuts, equity 20%/30% |
Done |
| Art. 92(2A)–(2D) |
Output floor (PRA 4-year: 60%–72.5%, 2027–2030) |
Done |
| Rules 4.1–4.8 |
Equity transitional schedule (2027–2030) |
Done |
| — |
Removal of SME supporting factor |
Done |
| — |
Removal of equity IRB (all equity → SA) |
Done |
| — |
Removal of 1.06 scaling factor |
Done |
Acceptance Test Summary
CRR Scenarios (169 tests)
| Group |
Scenarios |
Tests |
Pass Rate |
| CRR-A: Standardised Approach |
A1–A9, A11 |
14 |
100% |
| CRR-B: Foundation IRB |
B1–B7 |
13 |
100% |
| CRR-C: Advanced IRB |
C1–C3 |
7 |
100% |
| CRR-D: Credit Risk Mitigation |
D1–D6 |
9 |
100% |
| CRR-D (Advanced): CRM Advanced |
D7–D14, G4–G6 |
36 |
100% |
| CRR-E: Specialised Lending |
E1–E8 |
13 |
100% |
| CRR-F: Supporting Factors |
F1–F7 |
15 |
100% |
| CRR-G: Provisions |
G1–G3 |
17 |
100% |
| CRR-H: Complex/Combined |
H1, H3 |
4 |
100% |
| CRR-I: Defaulted Exposures |
I1–I3 |
9 |
100% |
| CRR-J: Equity |
J1–J20 |
32 |
100% |
| Total |
80 scenarios |
169 |
100% |
CRR-D Advanced scenarios
CRR-D7–D14 cover advanced CRM techniques (non-beneficial guarantees, sovereign guarantees, CDS restructuring exclusion, gold/equity collateral, overcollateralisation, full CRM chain, multi-provision). CRR-G4–G6 are additional provision scenarios tested within the same advanced CRM test file. Scenarios A10, A12, H2, and H4 were removed due to fixture restructuring.
Basel 3.1 Scenarios (212 tests)
| Group |
Scenarios |
Tests |
Pass Rate |
| B31-A: SA (Revised) |
A1–A10 |
14 |
100% |
| B31-B: Foundation IRB |
B1–B7 |
16 |
100% |
| B31-C: Advanced IRB |
C1–C3 |
13 |
100% |
| B31-D: Credit Risk Mitigation |
D1–D6 |
15 |
100% |
| B31-D7: Parameter Substitution |
D7–D7e |
5 |
100% |
| B31-E: Specialised Lending |
E1–E4 |
13 |
100% |
| B31-F: Output Floor |
F1–F3 |
6 |
100% |
| B31-G: Provisions |
G1–G3 |
24 |
100% |
| B31-H: Complex/Combined |
H1, H3 |
10 |
100% |
| B31-K: Defaulted Exposures |
K1–K12 |
31 |
100% |
| B31-L: Equity |
L1–L23 |
49 |
100% |
| B31-M: Model Permissions |
M1–M12 |
16 |
100% |
| Total |
90 scenarios |
212 |
100% |
Comparison Scenarios (60 tests)
| Group |
Scenarios |
Tests |
Pass Rate |
| M3.1: Dual-framework comparison |
CRR vs Basel 3.1 |
19 |
100% |
| M3.2: Capital impact analysis |
Driver attribution |
24 |
100% |
| M3.3: Transitional floor modelling |
Phase-in schedule |
17 |
100% |
| Total |
|
60 |
100% |
Stress Tests (60 tests)
See the Stress Testing Specification for full scenario definitions (STRESS-1 to STRESS-14).
| Group |
Description |
Tests |
Pass Rate |
| STRESS-1 |
Row count preservation |
8 |
100% |
| STRESS-2 |
Column completeness |
4 |
100% |
| STRESS-3 |
Numerical stability (no NaN/Inf/negative) |
10 |
100% |
| STRESS-4 |
Risk weight bounds [0%, 1250%] |
4 |
100% |
| STRESS-5 |
Approach distribution (SA/IRB routing) |
5 |
100% |
| STRESS-6 |
Exposure class coverage |
4 |
100% |
| STRESS-7 |
Output floor at scale |
7 |
100% |
| STRESS-8 |
Error accumulation (bounded) |
4 |
100% |
| STRESS-9 |
Summary consistency |
2 |
100% |
| STRESS-10 |
EAD consistency |
4 |
100% |
| STRESS-11 |
Determinism |
1 |
100% |
| STRESS-12 |
Framework comparison |
1 |
100% |
| STRESS-13 |
Large scale 100K (slow) |
4 |
100% |
| STRESS-14 |
Reference uniqueness |
2 |
100% |
| Total |
|
60 |
100% |
Overall Acceptance Test Summary
| Category |
Groups |
Scenarios |
Tests |
| CRR |
11 |
80 |
169 |
| Basel 3.1 |
12 |
90 |
212 |
| Comparison |
3 |
— |
60 |
| Stress |
14 |
— |
60 |
| Total |
40 |
170+ |
501 |
The full test suite includes 5,034 tests across unit (4,232), acceptance (501), contracts (145), integration (122), and benchmarks (34).
Regulatory References
| Reference |
URL |
| PRA Rulebook (CRR firms) |
https://www.prarulebook.co.uk/pra-rules/crr-firms |
| UK CRR (EU 575/2013) |
https://www.legislation.gov.uk/eur/2013/575/contents |
| PRA PS1/26 (Basel 3.1) |
https://www.bankofengland.co.uk/prudential-regulation/publication/2026/january/implementation-of-the-basel-3-1-final-rules-policy-statement |
| BCBS CRE Standards |
https://www.bis.org/basel_framework/standard/CRE.htm |
| PS1/26 Appendix 1 |
https://www.bankofengland.co.uk/-/media/boe/files/prudential-regulation/policy-statement/2026/january/ps126app1.pdf |
| PS1/26 Appendix 17 |
https://www.bankofengland.co.uk/-/media/boe/files/prudential-regulation/policy-statement/2026/january/ps126app17.pdf |