Specification of exotic underlyings
Article 1
Open ↗Longevity risk, weather, natural disasters and future realised volatility shall be considered as exotic underlyings for the purposes of Article 325u(2), point (a), of Regulation (EU) No 575/2013.
Source
Commission Delegated Regulation (EU) 2022/2328 of 16 August 2022 supplementing Regulation (EU) No 575/2013 of the European Parliament and of the Council with regard to regulatory technical standards specifying exotic underlyings and the instruments bearing residual risks for the purposes of the calculation of own funds requirements for residual risks (Text with EEA relevance)
Commission Delegated Regulation (EU) 2022/2328 of 16 August 2022 supplementing Regulation (EU) No 575/2013 of the European Parliament and of the Council with regard to regulatory technical standards specifying exotic underlyings and the instruments bearing residual risks for the purposes of the calculation of own funds requirements for residual risks (Text with EEA relevance)
Data as of 2026-07-04 · Compiled from an official source version. Later amendments or repeals may not be reflected; the official text prevails. · Read the official text ↗
Specification of instruments bearing residual risks
Article 2
Open ↗The instruments listed in the Annex to this Regulation shall be considered as instruments meeting the conditions set out in Article 325u(2) of Regulation (EU) No 575/2013 and constituting instruments bearing residual risks.
Specification of instruments without presumption of bearing residual risks
Article 3
Open ↗An instrument shall not be considered as meeting the conditions set out in Article 325u(2), points (b)(i) and (ii) of Regulation (EU) No 575/2013 solely on the grounds that it bears one or more of the following risks: (a) risk arising from transactions where the delivery obligation can be fulfilled within a range of deliverable instruments and where the counterparty has the possibility to deliver the least valuable of those instruments; (b) risk of a change in the implied volatility of an instrument with optionality, relative to the implied volatility of other instruments with optionality with the same underlying and maturity, but different moneyness; (c) correlation risk arising from an index option, where the index meets the conditions set out in Article 325i(3) of Regulation (EU) No 575/2013; (d) correlation risk arising from an option in a collective investment undertaking tracking an index benchmark, where the tracking meets the conditions set out in Article 325j(2) of Regulation (EU) No 575/2013 and the index meets the conditions set out in Article 325i(3) of that Regulation; (e) dividend risk arising from a derivative instrument whose underlying does not consist solely of dividend payments.
Entry into force
Article 4
Open ↗This Regulation shall enter into force on the twentieth day following that of its publication in the Official Journal of the European Union .
Supplementary provisions
List of instruments bearing residual risks referred to in Article 2
ANNEXSupplementary provisions
Open ↗ANNEX List of instruments bearing residual risks referred to in Article 2 The instruments referred to in Article 2 shall be any of the following: 1. options where the pay-offs depend on the path followed by the price of the underlying asset and not just its final price on the exercise date; 2. options that start at a predefined date in the future and whose strike price is not yet determined at the time at which the option is in the trading book of the institution; 3. options whose underlying is another option; 4. options with discontinuous pay-offs; 5. options allowing the holder to modify the strike price or other terms of the contract before the maturity of the options; 6. options that can be exercised on a finite set of predetermined dates; 7. options whose underlying is denominated in one currency but whose pay-offs are settled in a different currency, with a predetermined exchange rate between the two currencies; 8. multi-underlying options, excluding those referred to in Article 3, points (c) and (d); 9. options subject to behavioural risk, only where all of the following conditions are met: (a) the option lies with a retail client; (b) a significant amount of these options are held in the trading book; (c) the behavioural risk of these options is assessed by the institution to be material.
Other acts of the same type
Commission Implementing Regulation (EU) 2015/2061 of 4 November 2015 entering a name in the register of protected designations of origin and protected geographical indications (Oberlausitzer Biokarpfen (PGI))Council Regulation (EU) 2015/1948 of 29 October 2015 amending Regulation (EC) No 765/2006 concerning restrictive measures in respect of BelarusCouncil Implementing Regulation (EU) 2015/1949 of 29 October 2015 implementing Article 8a(1) of Regulation (EC) No 765/2006 concerning restrictive measures in respect of BelarusCommission Implementing Regulation (EU) 2015/1952 of 29 October 2015 extending the definitive anti-dumping duty imposed by Council Implementing Regulation (EU) No 511/2010 on imports of molybdenum wire, containing by weight at least 99,95 % of molybdenum, of which the maximum cross-sectional dimension exceeds 1,35 mm but does not exceed 4,0 mm, originating in the People's Republic of China to imports of molybdenum wire, containing by weight at least 97 % of molybdenum, of which the maximum cross-sectional dimension exceeds 4,0 mm but does not exceed 11,0 mm, originating in the People's Republic of ChinaCommission Implementing Regulation (EU) 2015/1951 of 28 October 2015 amending Regulation (EC) No 1484/95 as regards fixing representative prices in the poultrymeat and egg sectors and for egg albuminCouncil Regulation (EU) 2015/1919 of 26 October 2015 amending Regulation (EC) No 314/2004 concerning certain restrictive measures in respect of ZimbabweCouncil Implementing Regulation (EU) 2015/1920 of 26 October 2015 implementing Regulation (EU) No 1352/2014 concerning restrictive measures in view of the situation in YemenCommission Implementing Regulation (EU) 2015/1921 of 26 October 2015 amending Council Regulation (EC) No 314/2004 concerning certain restrictive measures in respect of ZimbabweCommission Implementing Regulation (EU) 2015/1932 of 26 October 2015 suspending submission of applications for import licences under the tariff quota opened by Regulation (EC) No 1918/2006 for olive oil originating in Tunisia until the end of the 2015 quota yearCouncil Regulation (EU) 2015/1961 of 26 October 2015 amending Regulation (EU) 2015/104 as regards certain fishing opportunitiesCommission Delegated Regulation (EU) 2016/101 of 26 October 2015 supplementing Regulation (EU) No 575/2013 of the European Parliament and of the Council with regard to regulatory technical standards for prudent valuation under Article 105(14) (Text with EEA relevance)Commission Implementing Regulation (EU) 2015/1931 of 23 October 2015 approving non-minor amendments to the specification for a name entered in the register of protected designations of origin and protected geographical indications (Huile d'olive de Nice (PDO))
Source: EUR-Lex (Publications Office of the EU), © European Union, reuse permitted under Commission Decision 2011/833/EU.
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