In force since 30/06/2021

Initial Legal Act
Legal basis:
Art. 277(5)(3) Regulation 575/2013
Art. 279a(3)(3) Regulation 575/2013
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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 transaction Article 2 - Method for identifying transactions with only one material risk driver Article 3 - Method for identifying transactions with more than one material risk driver Article 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 formula Article 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 category Article 7 - Entry into force