On 22 March 2023, there was published in the Official Journal of the European Union (OJ) Commission Delegated Regulation (EU) 2023/662 of 20 January 2023 amending Delegated Regulation (EU) 2015/63 as regards the methodology for the calculation of liabilities arising from derivatives.
Regulation (EU) 2019/876 included an amendment to the Capital Requirements Regulation (CRR) which introduced an obligation for institutions to calculate the exposure value of derivative contracts in accordance with the mark-to-market method known as the Standardised Approach – Counterparty Credit Risk (SA-CCR), which replaced the Current Exposure Method or ‘CEM’. However, the SA-CCR method is impossible to apply for the valuation of liabilities arising from derivative contracts when such valuation needs to be applied for the purposes of Delegated Regulation (EU) 2015/63. Commission Delegated Regulation (EU) 2023/662 therefore amends Delegated Regulation (EU) 2015/63 to enable institutions to use the CEM for the valuation of liabilities arising from derivative contracts.
Commission Delegated Regulation (EU) 2023/662 enters into force on the day following that of its publication in the OJ.