On 24 June 2024, the European Banking Authority (EBA) published its final draft amending regulatory technical standards (RTS) on the standardised approach for counterparty credit risk (SA-CCR).

The final draft RTS is part of the new roadmap on the EU Banking Package.

In December 2019, the EBA finalised and published draft RTS on the SA-CCR. The RTS were published in the Official Journal of the EU (OJ) in March 20211.

These existing RTS on SA-CCR are to be expanded to specify the formula that should be used to calculate the supervisory delta of commodity options, compatible with negative commodity prices (and the corresponding supervisory volatility). The legal deadline for the submission of the draft RTS is 10 July 2025. In addition, the existing RTS on SA-CCR need to be reviewed to ensure that the text is still fit with the Capital Requirements Regulation (CRR), as amended by Regulation (EU) 2024/1623 (CRR3).

Specifically, the EBA has developed the draft RTS on SA-CCR according to Article 277(5) and 279a(3) of the CRR, as amended by the CRR3, which mandates the EBA to specify the:

  • Method for identifying transactions with only one material risk driver or with more than one material risk driver and for identifying the most material of those risk drivers.
  • Formulas to calculate the supervisory delta of call and put options mapped to the interest rate or commodity risk categories compatible with negative interest rates or commodity prices, and the supervisory volatility suitable for those formulas.
  • 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.

The draft RTS will be submitted to the European Commission for endorsement following which they will be subject to scrutiny by the European Parliament and the Council before being published in the OJ.