Products Coverage Library Evals FAQ About Contact us Log In Get access

Commission Delegated Regulation (EU) 2021/931

Preamble
Recitals 13
Chapter 1 - Method for identifying transactions with only one material risk driver, transactions with more than one material risk driver and for identifying the most material of those risk drivers (Article 1-4) 4
Chapter 2 - Formula to be used to calculate the supervisory delta of call and put options mapped to the interest rate risk category and supervisory volatility suitable for that formula and 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 a given risk category (Article 5-7) 3
Amending acts 1
- Commission Delegated Regulation (EU) 2025/855from 25/05/2025

Recital 1

›

(1)Institutions should identify the risk drivers of a derivative transaction by determining the risk factors on which the cash flows of that transaction depend. To ensure that institutions follow a harmonised approach for this identification, they should at least consider the risk factors listed in Section 3, Chapter 1a of Title IV of Part Three of Regulation (EU) No 575/2013.

Official text · the act as publishedFrom the act as published (consolidated texts do not carry recitals or the preamble). Open full page ↗