Article 325as is amended to split Commodities bucket 3.
“Energy - Electricity” remains in bucket 3, while “Energy - carbon trading” is moved to bucket 3a with a new risk-weight (40%).
In addition to bucket 3a being added to the configuration for CRR3,
in the sample data overrides have been added as an example of moving carbon trading trades into this new bucket.
CSR non-Sec Inter-bucket (gamma) Correlation
Article 325aj has amended the gamma(rating) correlation factor to reduce the correlation with the index buckets (19 and 20) when the ratings are different.
While the correlation code doesn’t take into account the ratings of the index buckets,
a workaround has been added to the configuration to modify the gamma(sector) correlation factor to account for the incorrect gamma(rating).
GIRR Inflation and Cross-Currency Basis Curves
Article 325ae is amended to include the inflation and cross-currency basis curves when dividing the risk-weights for major currencies by sqrt(2).
The configuration has been updated for CRR3 to include this change.