On 18 December 2019, the European Banking Authority (EBA) published final draft regulatory technical standards (RTS) on the standardised approach for counterparty credit risk (SA-CCR).

The final draft RTS have been developed according to Article 277(5) and Article 279a(3) of the Capital Requirements Regulation, as amended by Regulation (EU) 2019/876.

Article 277(5) mandates the EBA to develop draft RTS to specify: (a) the method for identifying transactions with only one material risk driver; and (b) the method for identifying transactions with more than one material risk driver and for identifying the most material of those risk drivers for the purposes of Article 277(3).

Article 279a(3) mandates the EBA to develop draft RTS to specify: (a) in accordance with international regulatory developments, the formula that institutions shall use to calculate the supervisory delta of call and put options mapped to the interest rate risk category compatible with market conditions in which interest rates may be negative as well as the supervisory volatility that is suitable for that formula; and (b) 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 transactions referred to in Article 277(3).