Transcription of EBA FINAL draft Regulatory Technical Standards
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EBA FINAL draft Regulatory Technical Standards
EBA-RTS-2019-02 18 December 2019 EBA FINAL draft Regulatory Technical Standards 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 under Article 277(5) and Article 279a(3)(a) and (b), respectively, of Regulation (EU) No 575/2013 (revised Capital Requirements Regulation CRR2) F I NAL RTS ON MAPPING OF DERIVATIVE TRANS ACTI ONS, SUPERV I S O RY DELTA FO RM ULA F O R I NT E REST RATE OPTIONS AND DETERM I NATI O N OF LONG OR SHORT POSITI O NS UNDER SA-CCR 2 Contents 1. Executive summary 3 2. Background and rationale 5 3. draft Regulatory Technical Standards 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 under Articles 277(5) and 279a(3)(a) and (b), respectively, of Regulation (EU) No 575/2013 14 4.
Hence, t he EBA proposes to allow the use of a λ shift in the context of the Black-Scholes formula to move the interest rate into positive territory. Finally, the EBA specif ies within the present CP a method suitable for determining the direction of
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