Regulatory Technical Standards on the method for identifying the main risk driver of a position and for determining whether a transaction represents a long or a short position

These Regulatory Technical Standards (RTS) define the method for identifying the main risk driver and determining whether a transaction represents a long or a short position. They are part of the Phase 1 deliverables of the EBA roadmap on the implementation of the EU banking package in the area of market risk.

The proposed general method to identify the main risk driver hinges on sensitivities defined under the market risk standardised approach (FRTB-SA) or on add-ons defined under the standardised approach for counterparty credit risk (SA-CCR).