Regulatory Alerts2021-03-01
Added · Updated
Commission Delegated Regulation (EU) 2021/931 on regulatory technical standards for counterparty credit risk
The European Commission establishes regulatory technical standards specifying the methods for identifying material risk drivers in derivative transactions for the standardised approach to counterparty credit risk. Institutions must apply specific formulas to calculate the supervisory delta of call and put options mapped to the interest rate risk category, including a lambda shift of 0.10% to handle negative interest rates. The regulation mandates quarterly assessments for transactions with multiple risk drivers and defines procedures for determining long or short positions in primary or most material risk drivers.
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