Commission Delegated Regulation (EU) 2025/855 of 28 January 2025 amending the regulatory t…
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art_1
#art_1
Article 1
Delegated Regulation (EU) 2021/931 is amended as follows:
| 1. | In Article 4(4), the introductory wording is replaced by the following:‘4. Institutions that either meet the conditions set out in Article 94(1) of Regulation (EU) No 575/2013, or meet the conditions set out in Article 325a(1) of that Regulation, may identify the most material risk driver by applying the following steps at inception of the transaction, and then at least on a quarterly basis:’; |
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| 2. | Article 5 is amended as follows:(a)in paragraph 1, the introductory wording is replaced by the following:‘1. Institutions shall calculate the supervisory delta (δ) of call and put options, when mapped to the interest rate risk or the commodity risk categories, that is compatible with market conditions in which interest rates or commodity prices may be negative, as follows:’;(b)paragraph 2 is replaced by the following:‘2. For the purposes of paragraph 1, institutions shall calculate the shift (λ) for any call and put options as follows:λj=max{thresholdj – min{Pj, Kj}, 0} if option j is mapped to the interest rate risk category;max{ – (1 + thresholdj)■min{Pj, Kj}, 0} if option j is mapped to the commodity risk category.where:Pj=the spot or forward price of the underlying instrument of the option j;Kj=the strike price of the option j;thresholdj=0,10 %, if option j is mapped to the interest rate risk category;0,1, if option j is mapped to the commodity risk category. ’ (c)in paragraph 3, the Table is replaced by the following:‘TableRisk categoryUnderlying instrumentSupervisory volatilityInterest rateAll50 %CommodityElectricity150 %Other commodities (excluding electricity)70 %’ | |
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| (a) | in paragraph 1, the introductory wording is replaced by the following:‘1. Institutions shall calculate the supervisory delta (δ) of call and put options, when mapped to the interest rate risk or the commodity risk categories, that is compatible with market conditions in which interest rates or commodity prices may be negative, as follows:’; | |
| (b) | paragraph 2 is replaced by the following:‘2. For the purposes of paragraph 1, institutions shall calculate the shift (λ) for any call and put options as follows:λj=max{thresholdj – min{Pj, Kj}, 0} if option j is mapped to the interest rate risk category;max{ – (1 + thresholdj)■min{Pj, Kj}, 0} if option j is mapped to the commodity risk category.where:Pj=the spot or forward price of the underlying instrument of the option j;Kj=the strike price of the option j;thresholdj=0,10 %, if option j is mapped to the interest rate risk category;0,1, if option j is mapped to the commodity risk category. ’ | |
| λj= | max{thresholdj – min{Pj, Kj}, 0} if option j is mapped to the interest rate risk category; | |
| max{ – (1 + thresholdj)■min{Pj, Kj}, 0} if option j is mapped to the commodity risk category. | ||
| Pj | = | the spot or forward price of the underlying instrument of the option j; |
| Kj | = | the strike price of the option j; |
| thresholdj= | 0,10 %, if option j is mapped to the interest rate risk category; | |
| 0,1, if option j is mapped to the commodity risk category. | ||
| (c) | in paragraph 3, the Table is replaced by the following:‘TableRisk categoryUnderlying instrumentSupervisory volatilityInterest rateAll50 %CommodityElectricity150 %Other commodities (excluding electricity)70 %’ | |
| Risk category | Underlying instrument | Supervisory volatility |
| Interest rate | All | 50 % |
| Commodity | Electricity | 150 % |
| Other commodities (excluding electricity) | 70 %’ |
art_2
#art_2
Article 2
This Regulation shall enter into force on the twentieth day following that of its publication in the Official Journal of the European Union.
Provenance and validity dates, identifier, hash
| as of | 2025-01-28 → this publisher state was selected |
| publisher state | publisher version 2025-01-28 → latest held publisher-asserted |
| type | REG_DEL Commission Delegated Regulation (EU) 2025/855 of 28 January 2025 amending the regulatory technical standards laid down in Delegated Regulation (EU) 2021/931 as regards the specification of the formula for calculating the supervisory delta of call and put options mapped to the commodity risk category |
| language | en |
| published | 2025-01-28 |
| lex_id | eu-eurlex:32025r0855:2025-01-28--e1bf27f3840d601bc7b0a8aa85f554257272b346f6a9db7ca6a5b98cbe267202 |
| record sha256 | 2790599a8756faa9326f666242105d9c6a916fdfd2589a1526a472f3e8ccbe6a |
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