T341 · Basel III Endgame · US NPR March 2026 · AP2 Export

Basel III Endgame (US) Capital Impact Estimator

Estimate the risk-weighted asset (RWA) impact on a US bank under the March 19, 2026 federal banking agency proposal implementing the Basel III Endgame reforms (consultation closed June 18, 2026). Models the new Expanded Risk-Based Approach (ERA), operational risk Business Indicator Component (BIC), and revised credit risk standardized weights. Market risk (FRTB) is covered by T340.

NPR issued March 19, 2026 Consultation closed June 18, 2026 ERA · OpRisk BIC · Credit RWA · AP2 Export Fed · OCC · FDIC Joint Proposal Client-Side · Zero PII · CC BY 4.0
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Scope note — This tool models the March 2026 US NPR. Final rules have not been issued. Estimates are based on the NPR framework and may differ materially from final rules. Market risk (FRTB) is excluded — see T340. Does not model CVA risk or output floor separately. For indicative planning purposes only.
Step 01 Institution Profile
Determines ERA applicability (>$100B threshold) and category
Common Equity Tier 1 capital ratio (as reported)
0 if not a G-SIB. Enter in bps (e.g. 100 = 1.0%)
Undrawn commitments, guarantees, letters of credit (gross notional)
Total trading assets and liabilities (market risk boundary)
For Business Indicator Component (BIC) operational risk calculation
Step 02 Loan Portfolio Breakdown — Credit RWA (ERA)
ERA Risk Weights — The March 2026 NPR proposes revised standardized risk weights under the ERA: Residential mortgage 40–70% (LTV-based, vs current 50%); CRE 100–150% (vs 100%); C&I 65–100% (vs 100%); Consumer 75% (unchanged). Risk weights in the table below reflect NPR midpoints for this estimator.

Enter portfolio percentage breakdown (must total 100%). Tool applies loan portfolio to total assets net of trading book to estimate on-balance sheet loans.

30%
ERA risk weight: ~55% (LTV-based avg)
20%
ERA risk weight: ~120%
35%
ERA risk weight: ~85%
15%
ERA risk weight: 75% (unchanged)
Portfolio total: 100%
Current risk-weighted assets under existing US standardized approach
ERA eliminates AIRB for credit risk in the US proposal
Basel III Endgame Capital Impact Estimate
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RWA Breakdown: Current vs ERA Proposed
CategoryCurrent RWA ($B)ERA Proposed ($B)Change ($B)Change (%)Key driver
CET1 Ratio Impact & Buffer Distance
Key Findings & Capital Planning Actions
AP2 v1.0 · @ainumbers.co/basel-iii-endgame-capital-impact-v1

Regulatory Sources

[1]Federal Banking Agencies (Fed/OCC/FDIC) — Notice of Proposed Rulemaking: Basel III Endgame (March 19, 2026). Consultation period closed June 18, 2026.
[2]Basel Committee on Banking Supervision — Basel III: Finalising Post-Crisis Reforms (December 2017). Final standard implementing the Endgame framework.
[3]12 CFR Parts 3, 217, and 324 (proposed) — Capital Adequacy Standards; Risk-Based Capital; Capital Adequacy (Fed/OCC/FDIC joint rulemaking).
[4]FRB/OCC/FDIC Joint Press Release — March 19, 2026: Agencies Propose Basel III Endgame Capital Requirements for Large Banks.
[5]Basel Committee — Operational Risk: Revised Standardised Approach (March 2016, incorporated into Dec 2017 final standard) — Business Indicator Component methodology.