EBA issued final draft amending regulatory technical standards (RTS) on standardized approach for counterparty credit risk (SA-CCR), as part of Banking Package roadmap.
Follows EBA Dec. 2023 consulted on amending RTS and credit risk, see #195290.
Final Draft RTS
Changes to Capital Requirements Regulation (CRR3) expanded EBA mandate to specify 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, mandate now also requires specification of supervisory delta formula for commodity options compatible with negative commodity prices.
Therefore existing RTS on SA-CCR amended to include formula for commodity options.
Specify method for identifying transactions with only one material risk driver or with more than one material risk driver and for identifying most material of these.
Formulas to calculate the supervisory delta of call and put options mapped to the interest rate or commodity risk categories compatible with 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.
Next Steps
Draft RTS will be submitted to EU CMSN for endorsement following which they will be subject to scrutiny by EP and EU CNCL, then published in EU Official Journal.
Jan. 28, 2025 EC Adoption
On Jan. 28, 2025, EU CMSN adopted regulation (C(2025) 459 final) amending standards laid down in RTS as regards the specification of the formula for calculating the supervisory delta of call and put options mapped to the commodity risk category.
The regulation is not yet in force, but shall enter into force on 20th day following its publication in EU Official Journal, shall be directly applicable in all member states.
May 2025 Official Journal
On May 5, 2025, EU CMSN issued final Reg 2025/855 in the Official Journal of the EU.
Regulation in force on the twentieth day following that of its publication, May 25, 2025.
