Regulatory Technical Standards on the standardised approach for counterparty credit risk

  • Status: Under consultation

These Regulatory Technical Standards (RTS) specify key aspects of the SA-CCR and represent an important contribution to its smooth harmonised implementation in the EU. In particular, they specify methods for the mapping of derivative transactions to risk categories, a formula for the calculation of the supervisory delta of options mapped to the interest rate risk category and a method for determining whether derivative transactions are long or short in their risk drivers.

Summary of document history

Previous versions Current version Ongoing review

CP on EBA launches consultation on technical standards on the standardised approach for counterparty credit risk

  • Status: Closed
  • Deadline: 2 AUGUST 2019
Documents
Consultation paper on draft RTS on the standardised approach for counterparty credit risk

(1.3 MB - PDF) Last update 19 June 2019

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Received responses to the EBA

Public hearings

Public hearing on technical standards on the standardised approach for counterparty credit risk

Press contacts

Franca Rosa Congiu