Credit Conversion Factor (CCF) under CRR3 — a 5-minute CFO read.

CCF is the multiplier banks apply to off-balance-sheet exposures to estimate how much of a commitment will actually be drawn at default. CRR3 changes the calibration. Most banks read the RTS as a technical update. The ones that read it as a forecast carry materially less RWA into 2028.

What CCF actually is, in one sentence

For an off-balance-sheet exposure (a credit line, a revolving facility, a guarantee), CCF estimates the drawdown probability at default. RWA = on-balance-sheet equivalent × risk weight, where on-balance-sheet equivalent = undrawn × CCF.

If a bank has a €1bn undrawn corporate revolver and the CCF is 40%, the regulator treats it as if €400m sat on balance-sheet for capital purposes.

What CRR3 changes

• SA-CR (standardised approach) CCFs are recalibrated upward for several exposure classes — most notably commitments and trade-finance items previously at 0% / 20%.
• IRB-A CCF estimation is now subject to a floor: banks cannot model below the SA value × the output floor. For most commitments this means the IRB-A advantage compresses.
• The output floor (72.5% of SA RWA) binds the IRB book in aggregate — but CCF is where it bites first because the SA values move up.

Why it matters · the canary read

The CCF RTS is one of 100+ EBA mandates sitting behind CRR3 Level 1. Each mandate moves a calibration knob; each knob has a basis-point cost. Banks that read each RTS as a technical update miss the cumulative drift. Banks that read each RTS as a forecast — what does the EBA optimise for, what does the next mandate signal — carry less RWA into the 2028 binding-floor world.

The five questions the CFO should ask the team this quarter

1. What is our weighted-average CCF today on undrawn commitments — and what does CRR3 day-1 do to it?
2. Which exposure classes carry the largest CCF migration (revocable retail, corporate revolvers, trade finance)?
3. Where do we have own-data evidence on draw rates that supports a sub-regulatory IRB-A CCF — and where is that evidence ECB-defendable?
4. What is the output-floor binding pressure per business unit, post-CCF migration? (Transferred-corporate book often binds first.)
5. What is the credible RWA optimisation envelope on this lane between now and 2028 — and what's the supervisory dialogue needed to land it?

What to read next

The deep-dive version of this read sits at /regulatory-radar/ccf-deep-dive/ (9-minute read with floor scenarios and the IRB-A vs SA economics). For the broader pipeline view, see CRR3 is not a project — it is a pipeline.