- The EBA final report amends the Regulatory Technical Standards (RTS) on the Standardised Approach for Counterparty Credit Risk (SA-CCR) under Regulation (EU) No 575/2013 (CRR) to align with Regulation (EU) 2024/1623 (CRR3). Key amendments include:
- Supervisory Delta Formula for Commodity Options A new formula is introduced for calculating the supervisory delta of commodity options to account for negative prices, similar to the existing formula for negative interest rates. The formula includes a λ shift to ensure positive values for calculations.
- Supervisory Volatility Adjustments The supervisory volatility levels remain unchanged: 150% for electricity and 70% for other commodities, consistent with Basel standards.
- CRR3 Alignment The RTS are reviewed to ensure they align with the updated CRR3, particularly regarding exemptions from FRTB-SA reporting requirements.
- Next Steps: The draft RTS will be submitted to the European Commission for endorsement, followed by review from the European Parliament and the Council before official publication.
- Public Consultation Feedback: Based on feedback, the λ shift formula for commodity options was adjusted to be more generally applicable. The amendments aim to ensure the SA-CCR framework remains effective and consistent under different market conditions, enhancing comparability and reliability of counterparty credit risk assessments across EU institutions.
