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:’
;
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:
λ
j
=
max{ threshold
j
– min{ P
j
, K
j
}, 0} if option j is mapped to the interest rate risk category;
max{ – (1 + threshold
j
)■min{ P
j
, K
j
}, 0} if option j is mapped to the commodity risk category.
where:
P
j
=
the spot or forward price of the underlying instrument of the option j ;
K
j
=
the strike price of the option j ;
threshold
j
=
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:
‘Table
Risk category
Underlying instrument
Supervisory volatility
Interest rate
All
50 %
Commodity
Electricity
150 %
Other commodities (excluding electricity)
70 %’