IRB Risk Weight Calculator

The capital requirement for a non-defaulted exposure is

K = LGD × Φ((Φ⁻¹(PD) + √R × Φ⁻¹(0.999)) / √(1 − R)) − PD × LGD

floored at zero, and multiplied by the maturity adjustment for corporate exposures.

Risk weight is RW = K × 12.5 × 100, before the scaling factor that applies to the pre-2025 regime.

• Corporate: R = 0.12 × A + 0.24 × (1 − A), with A = (1 − e^(−50·PD)) / (1 − e^(−50)).
• Residential mortgage: R = 0.15.
• Qualifying revolving retail: R = 0.04.
• Other retail: R = 0.03 × B + 0.16 × (1 − B), with B = (1 − e^(−35·PD)) / (1 − e^(−35)).

• CRR3, from 2025: no 1.06 scaling factor; PD floor 0.05% for corporate and retail, 0.10% for qualifying revolving retail; LGD floor 5% for residential mortgage, 50% for qualifying revolving retail and 30% for other retail; supervisory LGD of 40% unsecured and 20% for residential real estate.
• CRR, before 2025: 1.06 scaling factor; PD floor 0.03%; supervisory LGD of 45% unsecured and 35% for residential real estate.

Financial collateral carries a supervisory LGD of zero in both regimes.

The firm-size adjustment for small and medium-sized entities, the 1.25 multiplier for large financial sector entities, double default treatment, and any supervisory add-on or floor set by a competent authority. Results are for a single exposure, not a portfolio.

The CRR3 LGD floors for corporate exposures under the advanced approach (25% unsecured) and for secured other retail exposures are not applied, because the calculator does not know whether the LGD entered is an own estimate or secured. Other retail is floored as unsecured. The pre-2025 10% floor on the exposure-weighted average LGD of residential mortgages is a portfolio measure and is not applied. The output floor of CRR3 compares total risk-weighted assets with the standardised approach and cannot be shown for a single exposure.