The EBA publishes amendments to counterparty credit risk standards as part of its new roadmap for the implementation of the Banking Package in the EU

The European Banking Authority (EBA) today published its final draft amending Regulatory Technical Standards (RTS) on the standardised approach for counterparty credit risk (SA-CCR). This regulatory product is part of the new roadmap on the Banking Package.

The amendments to the Capital Requirements Regulation (CRR3) have expanded the EBA mandate to specify the formula to calculate the supervisory delta of options under the SA-CCR framework. Alongside the supervisory delta formula for interest rate options compatible with negative interest rates, the mandate now also requires the specification of the supervisory delta formula for commodity options compatible with negative commodity prices. Therefore, the existing RTS on SA-CCR have been amended to include the formula for commodity options.

Legal basis and background

The draft RTS on SA-CCR have been developed according to Article 277(5) and 279a(3) of the CRR, as amended by Regulation (EU) 2024/1623 (CRR3), which mandates the EBA to 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;
• the 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;
• 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.