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CRR3 is the enacted regulation that contains the EU version of FRTB. This page builds on the CRR2 support. A “CRR3” parameter set has been added to the configuration. This parameter set is based on the “CRR2” parameter set.

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CRR3 Specification

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Current status

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Differences with CRR2

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Commodities carbon trading

Article 325as is amended to split Commodities bucket 3 into three. “Energy - Electricity” remains in bucket 3, while carbon trading is split between bucket 3a, “Energy - EU ETS carbon trading” with a new risk-weight (40%), and bucket 3b, “Energy - non-EU ETS carbon trading” (60%). 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 that bucket. The “CRR3” parameter set ships bucket 3a only. Bucket 3b ships under the “EU-DA” parameter set, so that customised “CRR3” sets are unchanged; see EU-DA support.

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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).

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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.

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GIRR most liquid currencies and ERM II

Article 325bd(5a) adds the currencies of Member States participating in ERM II to the “most liquid currencies and domestic currency” sub-category of the interest rate risk factors. Article 325ae(3) divides the risk weights of that sub-category, and of the institution’s domestic currency, by sqrt(2). The divisor applies to the curvature risk weights as well. The currencies of a parameter set are configured in GIRR_Major_Currency under that parameter set. The “CRR3” parameter set declares no list of its own, so it inherits the seven base currencies and its results are unchanged. The “EU-DA” parameter set declares one; see EU-DA support.