On 24 June 2024, the European Banking Authority (EBA) published its final draft amending Regulatory Technical Standards on the standardised approach for counterparty credit risk (SA-CCR). This regulatory product is part of the new roadmap on the Banking Package. Keep reading below to see what these changes are.
On 24 June 2024, the European Banking Authority (EBA) published a final report (EBA/RTS/2024/16): Draft Regulatory Technical Standards amending Delegated Regulation on mapping of derivative transactions to risk categories, on supervisory delta formula for interest rate options and on determination of long or short positions in the Standardised Approach for Counterparty Credit Risk (SA-CRR) under Article 277(5) and Article 279a(3)(a) of Regulation (EU) No 575/2013 (Capital Requirements Regulation (CRR)).
The draft RTS contained in the EBA's report specify the:
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method for identifying transactions with only one material risk driver or with more than one material risk driver and