EBA consultation on RTS for derivative transaction mapping

On 2 May 2019, the European Banking Authority (EBA) published a consultation on the draft Regulatory Technical Standards (RTS) on the 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) of the proposed Capital Requirements Regulation II (CRR2). The new standardised approach for counterparty credit risk (SA-CCR) was adopted by the Basel Committee on Banking Supervision in 2014 and is intended to replace all non-internal model approaches (i.e. the Current Exposure Method (CEM) and the Standardised Method) for measuring the exposure at default (EAD) for counterparty credit risk in the Basel framework. One of the measures introduced by the CRR2 is the implementation in EU legislation of the SA-CRR. The CRR2 has not yet been formally adopted by the Council of Ministers. The draft…

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