Credit conversion factors under CRR3: read the standard as a forecast.
CRR3 resets the standardised conversion factors and floors the modelled ones. Most banks read the CCF standard as a technical update; those that read it as a forecast carry materially less RWA into 2028.
status unchanged. The EBA's final draft RTS on off-balance-sheet items (EBA/RTS/2025/06, 18 August 2025) still awaits adoption by the Commission. The RTS sets how banks assign off-balance-sheet items to the Annex I buckets (Art. 111(8)), including the factors that constrain unconditional cancellability.
A CCF turns an undrawn line into exposure
For an off-balance-sheet item, such as a credit line, a revolving facility or a guarantee, the CCF is the share of the undrawn amount treated as drawn at default. Exposure equals the drawn amount plus the undrawn amount times the CCF; RWA follow from the risk weight.
A EUR 1 bn undrawn corporate revolver at a 40% CCF counts as EUR 400 m of exposure for capital purposes.
CRR3 resets the standardised values and floors the modelled ones
- Standardised approach (Art. 111(2) CRR): unconditionally cancellable commitments move from 0% to 10%, phased in by Art. 495d: 0% to end-2029, then 25%, 50% and 75% of the 10% factor in 2030 to 2032, in full from 2033; other commitments move from 20% or 50%, by maturity, to a single 40%; short-term self-liquidating trade letters of credit stay at 20%.
- Own-estimate CCFs survive only for revolving commitments (Art. 166(8b)) and carry an input floor: exposure cannot fall below the drawn amount plus 50% of the off-balance-sheet amount at the applicable standardised CCF (Art. 166(8c) to (8d)). For most commitments the IRB advantage narrows.
- The output floor (72.5% of standardised RWA from 2030) is a separate, aggregate floor on RWA, not a CCF floor. CCF is where it bites first, because most standardised values rise.
Three of four standardised CCFs move; the modelled CCF is floored at half the standardised value.
Most banks read the CRR3 CCF standard as a technical update. Those that read it as a forecast of the next EBA mandates carry materially less RWA into 2028.
The CCF standard forecasts how the next mandates will be calibrated
The CCF standard is one of about 140 EBA mandates behind CRR3 (EBA roadmap, December 2023). Each mandate moves a calibration, and each calibration has a basis-point cost. Read one at a time as technical updates, they hide the cumulative drift. Read as a forecast of what the EBA optimises for, they let the bank position its book before the binding-floor years.
The Ezelman read. In our mandate experience, 25 to 35 bps of RWA optimisation sit in the CCF lane alone Ezelman estimate, through exposure-class re-mapping, more granular product data and the bank's own draw-rate evidence defended against the regulatory anchor. The work is execution.
Five questions the CFO puts to the team this quarter
- What is our weighted-average CCF on undrawn commitments today, and what does CRR3 do to it?
- Which exposure classes migrate most: unconditionally cancellable retail lines, corporate revolvers or trade finance?
- Where does our own draw-rate data support an own-estimate CCF above the input floor, and is that evidence ready for an inspection team?
- How close is the output floor, by business line, once the CCF migration is in?
- What is the credible RWA envelope in this lane to 2028, and which supervisory conversation does it need?
Three reads that go deeper
Is the CCF lane your next basis-point win, or does something else bind first?
Thirty minutes with the founder, on your own CCF book. No associate intake.