(3)In line with the approach set out in Commission Delegated Regulation (EU) 2021/931 3 for options mapped to the interest rate risk category, the value of the supervisory volatility for put and call options in the commodity risk category as determined in the international standards adopted by the BCBS should be used, as it is deemed suitable for its use under Union law.
Recital 3
- 3 Commission Delegated Regulation (EU) 2021/931 of 1 March 2021 supplementing Regulation (EU) No 575/2013 of the European Parliament and of the Council with regard to regulatory technical standards specifying the method for identifying derivative transactions with one or more than one material risk driver for the purposes of Article 277(5), the formula for calculating the supervisory delta of call and put options mapped to the interest rate risk category and the 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 the given risk category for the purposes of Article 279a(3)(a) and (b) in the standardised approach for counterparty credit risk ( OJ L 204, 10.6.2021, p. 7 , ELI: http://data.europa.eu/eli/reg_del/2021/931/oj ). ↩