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

Consultation on Regulatory Technical Standards on the standardised approach for counterparty credit risk

  • Status: Closed
  • Deadline: 14 MARCH 2024
Documents
Consultation paper on draft amending RTS on SA-CCR

(449.06 KB - PDF)

Responses

The form is now closed.

Received responses to the EBA

Public hearings

Public hearing on amending RTS on FRTB and amending RTS on SA-CCR

Presentation - public hearing on amending RTS on FRTB and SA-CCR

(494.85 KB - PDF)

Press contacts

Franca Rosa Congiu