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

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New version applies from 25/05/2025 — introduced by Commission Delegated Regulation (EU) 2025/855. 5 provisions change.

Commission Delegated Regulation (EU) 2021/931

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Official text · the act as published