Regulatory Technical Standards (RTS) on the standardised approach for counterparty credit risk

status: Final draft adopted by the EBA and submitted to the European Commission

These draft technical standards 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.

Press Release

Consultation Papers