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

  • Status: Under consultation

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). 

 

Summary of document history

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Draft Regulatory Technical Standards on long and short positions for the thresholds calculation in market and counterparty credit risk

  • Status: Not yet applicable
  • Application date:
  • Compliance deadline:
Documents
Final report RTS on long and short positions for the thresholds calculation in market and counterparty credit risk

(747.17 KB - PDF)

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