Regulatory Technical Standards on the standardised approach for counterparty credit risk

Final draft 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.


Press Release

Consultation Papers