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

‘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:’

‘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:’

‘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: Pjthe spot or forward price of the underlying instrument of the option j;Kjthe 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.’

This Regulation shall enter into force on the twentieth day following that of its publication in the Official Journal of the European Union.