Regulatory Technical Standards on the standardised approach for counterparty credit risk
- Status: Final draft RTS/ITS adopted by the EBA and submitted to the European Commission
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.