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.
issues were collected, together with early feedback from the stakeholders on the proposals. 12.On 2 May 2019 the EBA launched a consultation on the four draft RTS on the SA -CCR. Comments to this consultation could be sent until 2 August 2019. All contributions received were published, unless requested otherwise.
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