Specification of the formula for calculating the supervisory delta of call and put options mapped to the commodity risk category
Commission Delegated Regulation 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
- Last activity
- 12 Feb 2025
Where it stands
Latest: Referred to committee, 12 Feb 2025.
- 12 Feb 2025
- Referred to committee
Summary
GeneratedA Commission delegated regulation amends the regulatory technical standards in Delegated Regulation (EU) 2021/931, revising the formula for calculating the supervisory delta of call and put options mapped to the commodity risk category. It affects banks and investment firms applying the standardized approach for counterparty credit risk under the Capital Requirements Regulation.
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