Updated 19/05/2024
In force since 30/06/2021

Initial Legal Act
References (3)
14/12/2023
EBA/CP/2023/40
Consultation published
10/06/2021
Delegated Regulation 2021/931 published in OJ
18/12/2019
EBA/RTS/2019/02
Final Draft published
02/05/2019
EBA/CP/2019/03
Consultation published
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Delegated Regulation 2021/931

Commission Delegated Regulation (EU) 2021/931 of 1 March 2021 supplementing Regulation (EU) No 575/2013 of the European Parliament and of the Council with regard to regulatory technical standards specifying the method for identifying derivative transactions with one or more than one material risk driver for the purposes of Article 277(5), the formula for calculating the supervisory delta of call and put options mapped to the interest rate risk category and the method for determining whether a transaction is a long or short position in the primary risk driver or in the most material risk driver in the given risk category for the purposes of Article 279a(3)(a) and (b) in the standardised approach for counterparty credit risk (Text with EEA relevance)

Recitals
Article 1 - Method for identifying the risk drivers of a derivative transactionArticle 2 - Method for identifying transactions with only one material risk driverArticle 3 - Method for identifying transactions with more than one material risk driverArticle 4 - Method for identifying the material risk drivers and the most material of those risk drivers
Article 5 - Formula to calculate the supervisory delta of call and put options mapped to the interest rate risk category and supervisory volatility suitable for such formulaArticle 6 - Methods for determining whether a transaction is a long or short position in the primary risk driver or in the most material risk driver in a given risk categoryArticle 7 - Entry into force