Europejski Urząd Nadzoru Bankowego, Raport dotyczący standaryzowanego podejścia w ramach ryzyka kredytowego kontrahenta na podstawie art. 514 rozporządzenia CRR

EBA/REP/2023/14

30 MAY 2023

REPORT ON STANDARDISED APPROACHES UNDER COUNTERPARTY CREDIT RISK

UNDER ARTICLE 514 OF THE CRR

1. Executive summary

The present report has been produced according to Article 514(1) of the CRR, which requests the EBA to report to the European Commission on the impact and relative calibration of the three new standardised approaches to calculate the exposure values (EV) of derivative transactions under the counterparty credit risk (CCR) framework, introduced by Regulation (EU) 2019/876 (CRR2). The CRR2 implemented the Standardised Approach to Counterparty Credit Risk (SA-CCR) into EU legislation, replacing both the Mark-to-Mark Method (MtM) and the Standardised Method (SM) for calculating the exposure value of derivatives transactions. In addition, the CRR2 introduced a simplified version of SA-CCR (simplified SA-CCR) and revised the ‘old’ Original Exposure Method (OEM) for institutions with smaller derivative business.

In its proposal for a Regulation amending the...