EC adopts Delegated Regulation on RTS for identification of main risk driver of a position under CRR

The European Commission (EC) has adopted a Delegated Regulation supplementing the Capital Requirements Regulation (CRR) with regard to regulatory technical standards (RTS) specifying methods for identifying the main risk driver of a position and determining whether a transaction represents a long or short position. The proposed general method to identify the main risk driver hinges on sensitivities defined under the market risk standardised approach (FRTB-SA) or on add-ons defined under the standardised approach for counterparty credit risk (SA-CCR). For the determination of the direction of the positions, the methodology is aligned with the one set out in the technical standards developed in accordance with Article 279a(3), point (b), of the CRR. For relatively simple instruments, such as fixed-rate bonds, floating-rate notes, stocks, forwards, futures, simple swaps and plain vanilla options, a simplified method has also been specified. The Delegated Regulation will enter into force on the twentieth day following its publication in the Official Journal of the European Union.

Return to main website.