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:
- method for identifying transactions with only one material risk driver or with more than one material risk driver and for identifying the most material of those risk drivers;
- formulas to calculate the supervisory delta of call and put options mapped to the interest rate or commodity risk categories compatible with negative interest rates or commodity prices, and the supervisory volatility suitable for those formulas; and
- 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.
The draft regulatory technical standards will be submitted to the Commission for endorsement following which they will be subject to scrutiny by the European Parliament and the Council before being published in the Official Journal of the European Union.
