The 12 questions your CRO must answer before the January 2027 FRTB go-live
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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Preview: the 12 questions
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.
What is your Day-1 output-floor bite — and where exactly does it bind?
Mortgages, low-LGD corporates, specialised lending: which portfolio is carrying the floor and is the RWA density reconcilable top-down and bottom-up?
Have you re-run SA-CR on every exposure class under the new risk weights?
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.
Are your PD/LGD input floors and the removed advanced-IRB scope quantified?
LGD input floors (25% senior unsecured corporate, 5% residential mortgage) and the removal of A-IRB for large corporates/FIs — a 10–20% IRB-book uplift if unaddressed.
What's your off-balance-sheet CCF footprint under the new buckets?
Unconditionally cancellable commitments that moved from 0% to 10% CCF, other commitments from 20% or 50% to 40% CCF. Every corporate revolver re-prices. We see +300–600 bps on wholesale portfolios when unchecked.
Is your SA-CCR or IMM strategy locked — and have you modelled margin period of risk correctly?
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.
BA-CVA vs SA-CVA: have you actually run the trade-off?
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.
Is your Business Indicator calibration auditable?
The BIC replaces AMA. Scope of the three components (ILDC, SC, FC), the loss-data collection under the Article 316 to 317 RTS, netting conventions — each of these is a supervisor-grade question. In the EU the internal loss multiplier is set to 1 (Article 314(1) CRR), so Pillar 1 capital is BIC-only; historical losses drive data quality and disclosure, not the capital number. One mis-booked business-indicator item can move 10 bps.
IMA or SA? And if SA, have you quantified the DRC and residual-risk add-on?
FRTB implementation is asymmetric across jurisdictions. The ECB is pushing SA; the PRA is more permissive on IMA. Know your home-host reality. Update, 11 October 2026: Delegated Regulation (EU) 2026/1221 (4 June 2026) confirms the 1 January 2027 FRTB application date and adds temporary relief measures and multipliers until 31 December 2029.
Do your CRR3 changes break the leverage ratio or NSFR denominator?
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.
Are the 40+ new disclosure templates sourced, governed and sign-off ready?
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.
Is your RWA engine orchestrating old and new CRR3 logic in parallel?
Parallel-run discipline for FRTB (Basel 2.5 vs FRTB-SA/IMA) through 2026 is where programmes quietly die. If you can't generate reconcilable fully-loaded vs transitional output-floor numbers every quarter, you are not ready.
What are your three highest-ROE management actions — and is the Board briefed?
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.