Bank Capital & Credit Risk

Reproducing the Basel Endgame 2026 reproposal's capital relief on your own book

For bank capital-planning teams, regulatory-affairs staff, and consultants who need to know what the reproposed US Basel Endgame rules mean for their own institution's capital requirement, not just the industry-wide headline number.

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Scope. This workflow covers four calculators: credit-risk ERBA/standardized RWA, operational-risk SMA, the output-floor phase-in path, and a 2023-vs-2026 capital-delta comparator. rule_status: proposed on every stage -- the underlying rule text was reproposed 2026-03-19, comments closed 2026-06-18, and a final rule is expected around Q4 2026. None of these tools is a regulatory filing system or a substitute for a bank's own model validation.

ERBA / Standardized RWA Calculator

Credit-risk risk weights across residential RE, retail, corporate/SME, and off-balance-sheet exposures under the 2026 reproposal.

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Operational-Risk SMA (2026)

Business Indicator Component across the $1bn/$30bn buckets and the Internal Loss Multiplier, with the US-variant neutralization switch.

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Output-Floor Phase-In Simulator

Year-by-year binding-floor capital-impact path off a caller-supplied phase-in schedule.

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2023-vs-2026 Capital-Delta Comparator

Runs the same portfolio through both rule sets and reports the RWA and minimum-capital delta, with a receipt.

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The problem this solves

The 2026 Basel Endgame reproposal's headline number, roughly $87.7bn in aggregate capital relief versus the withdrawn 2023 proposal, is an industry-wide estimate built from the agencies' own impact study on a representative sample of large banks. It tells any single institution almost nothing about its own outcome. A bank whose book skews toward higher-risk-weight retail exposures, or whose trading desks are closer to the output floor than the sample average, could see relief well below the headline number, or none at all. Capital-planning teams need to run their own exposure mix and business-indicator inputs through the actual reproposed formulas, not extrapolate from an industry aggregate.

The further complication is that the rule is not final. Comments closed 2026-06-18 and the agencies are expected to finalize around Q4 2026, which means every input to this workflow, risk-weight tables, ILM neutralization treatment, phase-in schedule, is provisional and subject to change before the rule takes effect.

How the four calculators fit together

  1. Credit-risk RWA with the ERBA / Standardized RWA Calculator. Supply the exposure book (residential RE by LTV band, retail QRRE transactor/revolver and other retail, corporate ECRA/SCRA, SME support factor, off-balance-sheet CCFs) and a rule_set of either the original 2023 NPR or the 2026 reproposal. The calculator returns per-exposure risk weights and aggregate RWA under whichever rule set is selected.
  2. Operational-risk capital with the Operational-Risk SMA tool, run in parallel off the same institution's business-indicator inputs: the Business Indicator Component across the $1bn/$30bn size buckets and the Internal Loss Multiplier, with a switch for the reproposal's US-variant ILM neutralization (defaults to 1) versus the non-neutralized BCBS d424 formula.
  3. Output-floor impact with the Output-Floor Phase-In Simulator, also run off the same standardized RWA figure from stage one, using the caller's own phase-in schedule (jurisdiction-specific and, pre-finalization, still provisional) to trace the year-by-year capital-impact path, the first year the floor actually binds, and the maximum incremental RWA the floor adds versus the internal-model number.
  4. Reproduce the headline number on your own book with the 2023-vs-2026 Capital-Delta Comparator: the same portfolio run through both rule sets, reporting the RWA and minimum-capital delta plus a receipt, this institution's own version of the industry $87.7bn story.

What the comparator proves, and what it does not

A clean delta report from the comparator demonstrates, deterministically and reproducibly, what the caller's own supplied exposure book and business-indicator inputs produce under the 2023 NPR versus the 2026 reproposal's credit-risk and operational-risk formulas, and receipts the calculation for later reference. That is a materially different, and materially more useful, number than an industry-average estimate for a bank's own capital-planning purposes.

It does not predict what the final rule will actually say. Every stage in this workflow is fixed to rule_status: proposed against the reproposal text as published 2026-03-19, and a final rule expected around Q4 2026 can change risk-weight tables, the ILM treatment, or the phase-in schedule before it takes effect. It also is not an exhaustive regulatory risk-weight table or a substitute for a bank's own internal model validation and regulatory filing process.

Family linkage & re-pin. This workflow sits alongside AINumbers' broader Basel IV, FRTB & model-risk tool family, see the Basel IV, FRTB & Model Risk Hub for the full set, including the earlier 2023-era Basel III endgame capital-impact estimator this workflow's comparator sits beside. Every stage here is provisional against the 2026 reproposal text; a re-pin work unit is due when the rule finalizes (~Q4 2026) to update risk-weight tables, ILM treatment, and phase-in schedules against the final text.