Standardised Approach for CCR

Topic area:
Initiative
Official name
COMMISSION DELEGATED REGULATION (EU) 2021/931 of 1 March 2021 supplementing Regulation (EU) No 575/2013 of the European Parliament and of the Council 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
Type
Delegated Regulation
Initiator
EBA
Submitted
02.05.2019
Doc. code
2021/931
Summary
Status
Status

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Current version
Final version
01.03.2021
Next step
Entry into force and application
In force

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To be applied

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Relevant for

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Associated initiatives
Level 1
CRR (Regulatory inventory)
Level 3 / Other