European Banking Authority Publishes Draft Regulatory Technical Standards Under EU Capital Requirements Regulation
03/01/2021The European Banking Authority has published draft Regulatory Technical Standards under the revised EU Capital Requirements Regulation, designed to harmonize the methodology for calculating certain technical elements of the standardized approach to counterparty credit risk across the EU. The draft RTS specify:
- the method that firms should use to identify the material risk drivers of derivative transactions;
- the formula that firms should use to calculate the supervisory delta of options compatible with negative interest rates (when mapped to the interest rate category); and
- the methodology that firms should use to compute the shift that moves the interest rate into positive territory and the parameters to be used in the supervisory delta formula.
The European Commission will decide within three months whether to endorse the draft RTS and may endorse the draft RTS in part only.
View the EBA's draft RTS.
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