On 10 March 2022, the European Commission adopted a Delegated Regulation supplementing the Capital Requirements Regulation (CRR) with regard to regulatory technical standards (RTS) specifying how to determine the indirect exposures to a client arising from derivatives and credit derivatives contracts where the contract was not directly entered into with the client but the underlying debt or equity instrument was issued by that client.
The legislative basis of the RTS is Article 390(9) of the CRR. The RTS specify the measurement methods for indirect exposures arising from derivative and credit derivative contracts for institutions to correctly identify and limit their large exposures. The RTS do not impact the calculation of own funds requirements, their valuation or reporting.
The RTS enter into force on the twentieth day following their publication in the Official Journal of the European Union.