Amendment of RTS on the standardised approach for counterparty credit risk (SA-CCR) regarding CRR3

Topic area:

Status: 21.12.2023 |

Key words:

Official name

Consultation Paper - 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 formula for calculating the supervisory delta of call and put options mapped to the commodity risk category for the purposes of Article 279a(3), point (a), of Regulation (EU) No 575/2013 in the standardised approach for counterparty credit risk

Type

Delegated Regulation

Level 2

Initiator

EBA

Submitted

14.12.2023

Doc. code

EBA/CP/2023/40

Summary

Status

Get a subscription to have access to the whole content.

Current version

Consultation paper

14.12.2023

Next step

Entry into force

Get a subscription to have access to the whole content.

Application date

Get a subscription to have access to the whole content.

Scope

Relevant for

Get a subscription to have access to the whole content.

Level 1

CRR (binding, Main version, EU)

The finalisation of BASEL III - CRR III (CRR3) (binding, Amendment, EU)

Level 2

Standardised Approach for CCR (binding, Supplement, EU)

Level 3 / Other

–

Source: EBA, EBA/CP/2023/40, 2023