Most banks enter CRR3 live date with a +15–30% RWA uplift baked in because nobody stress-tested the answers to these twelve questions 18 months out. This is the diagnostic we run on day one of every Ezelman mandate. It is not a marketing PDF. It is the instrument.
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These are the headlines. The full PDF gives you the underlying sub-questions, the data you need, the typical failure mode we see, and the fix.
Mortgages, low-LGD corporates, specialised lending: which portfolio is carrying the floor and is the RWA density reconcilable top-down and bottom-up?
The new unrated corporate treatment, the revised residential real-estate LTV bands, the new SME supporting factor. Most banks discover 200–400 bps of density surprise.
LGD input floors (5% senior unsecured corporates, 10% retail mortgages) and the removal of A-IRB for large corporates/FIs — a 10–20% IRB-book uplift if unaddressed.
Commitments that moved from 0% to 10% CCF, from 20% to 40% CCF. Every corporate revolver re-prices. We see +300–600 bps on wholesale portfolios when unchecked.
The MPoR misspecification is the most common SSM inspection finding in this space. A single margin mis-period on a derivatives book can swing 50+ bps of CET1.
Most banks default to BA-CVA because it is simpler. On medium-to-large derivatives books, SA-CVA is 20–40% more capital-efficient but requires qualifying capability.
The BIC replaces AMA. Scope of the three components (ILDC, SC, FC), internal-loss multiplier (ILM), netting conventions — each of these is a supervisor-grade question. One mis-booked recovery can move 10 bps.
FRTB implementation is asymmetric across jurisdictions. The ECB is pushing SA; the PRA is more permissive on IMA. Know your home-host reality.
Off-balance-sheet CCF re-mapping hits the leverage exposure measure too. A large retail-card book can add 80 bps to the leverage denominator nobody modelled.
The CRR3 disclosure package is a data ops programme, not a reporting tweak. Missing or mis-keyed fields are what generates the post-go-live supervisory letter.
Parallel-run discipline (Q1–Q3 2026) is where programmes quietly die. If you can't generate CRR2 vs CRR3 reconcilable numbers for a full quarter, you are not ready.
Credit-risk mitigation repapering, portfolio re-segmentation, securitisation, IRB permission refresh. A 30–80 bps CET1 retrieval is normally on the table. Most banks leave it there.