On 10 June 2021, there was published in the Official Journal of the EU Commission Delegated Regulation (EU) 2021/931 of 1 March 2021 supplementing the Capital Requirements Regulation (CRR) with regard to regulatory technical standards (RTS) on the standardised approach for counterparty credit risk.
The RTS specify:
- The method for identifying derivative transactions with one or more than one material risk driver for the purposes of Article 277(5) of the CRR.
- The formula for calculating the supervisory delta of call and put options mapped to the interest rate risk category and the 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 for the purposes of Article 279a(3)(a) and (b) in the standardised approach for counterparty credit risk.
The Delegated Regulation enters into force on 30 June 2021.