Änderung RTS zum Standardansatz für das Gegenparteiausfallrisiko (SA-CCR) auf Basis CRR3

Final Report - 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 under Article 277(5) and Article 279a(3)(a) of Regulation (EU) No 575/2013 (Capital Requirements Regulation)

COMMISSION DELEGATED REGULATION (EU) …/… of XXX amending Commission Delegated Regulation (EU) 2021/931 with regard to regulatory technical standards specifying the method for identifying derivative transactions with one or more than one material risk driver for the purposes of Article 277(5), the formula for calculating the supervisory delta of call and put options mapped to the interest rate risk category and the method for determining whether a transaction is a long or short position in the primary risk driver or in the most material risk driver in the given risk category for the purposes of Article 279a(3)(a) and (b) in the standardised approach for counterparty credit risk

14.12.2023

EBA/RTS/2024/16

Finale Fassung