Art. 279a

Capital Requirements Regulation · 32013R0575 · every event for this act · on EUR-Lex

Supervisory delta

5 changes recorded across 5 events, newest first.

in force 2025-01-01 MODIFIED+79 −30§

Amended by Regulation (EU) 2024/1623 32024R1623 · Regulation (EU) 2024/2987 32024R2987 · Regulation (EU) 2024/2795 32024R2795

applies from: unchanged

In point (1)(a), the exception for options mapped to the interest rate risk category is broadened to also cover options mapped to the commodity risk category.

In point (3)(a), the mandate to EBA now refers to formulae (plural) covering both interest rate and commodity risk category options, and to market conditions in which either interest rates or commodity prices may be negative, whereas the earlier text referred only to a single formula and to negative interest rates.

Cited: Art. 279a, v2 · Art. 279a, v1

text before / after

02013R0575-20240709 → 02013R0575-20250101

Article 279a Supervisory delta 1. Institutions shall calculate the supervisory delta as follows: (a) for call and put options that entitle the option buyer to purchase or sell an underlying instrument at a positive price on a single or multiple dates in the future, except where those options are mapped to the interest rate risk or commodity risk category, institutions shall use the following formula: δsignN typelnPK0,5σ2TσT where: δ the supervisory delta; sign – 1 where the transaction is a sold call option or a bought put option; sign + 1 where the transaction is a bought call option or sold put option; type – 1 where … 498 unchanged words … for transactions referred to in Article 277(3) means that the market value of the transaction decreases when the value of that risk driver increases. 3. EBA shall develop draft regulatory technical standards to specify: (a) in accordance with international regulatory developments, the ~~formula~~ formulae that institutions shall use to calculate the supervisory delta of call and put options mapped to the interest rate risk or commodity risk category compatible with market conditions in which interest rates or commodity prices may be negative ~~as well as~~ and the supervisory volatility that is suitable for ~~that formula;~~ those formulae; (b) 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 transactions referred to in Article 277(3). EBA shall submit those draft regulatory technical standards to the Commission by 10 July 2025. Power is delegated to the Commission to supplement this Regulation by adopting the regulatory technical standards referred to in the first subparagraph in accordance with Articles 10 to 14 of Regulation (EU) No 1093/2010.

in force 2024-07-09 DEFERRED§

Amended by Regulation (EU) 2024/1623 32024R1623

applies from: 2025-07-10

dates added to the text: 2025-07-10 · dates removed: 2019-12-28

The only change is the date by which EBA must submit the draft regulatory technical standards to the Commission under Article 279a(3)(2), which moved from 28 December 2019 to 10 July 2025.

Cited: Art. 279a, v1 · Art. 279a, v2

text before / after, on the event page →

in force 2021-09-30 MODIFIED§

Amended by Regulation (EU) 2021/424 32021R0424

applies from: unchanged

Sources disagree — the text comparison found this change; the EU's own amendment metadata does not list it and the amending act's instructions do not mention it. All are shown; none is overruled.

The definition of the variable T in the option pricing formula was rewritten to describe T as the period between the expiry date (now labelled Texp) and the reporting date, rather than defining T directly as the expiry date itself.

The rules for determining the relevant future date for options exercisable on one or multiple future dates are now expressed in terms of Texp instead of T, with the rest of the wording otherwise unchanged.

Cited: Art. 279a, v1 · Art. 279a, v2

text before / after, on the event page →

in force 2021-06-28 MODIFIED§

Amended by Regulation (EU) 2019/2033 32019R2033 · Regulation (EU) 2019/876 32019R0876 · Regulation (EU) 2021/558 32021R0558 · Regulation (EU) 2020/873 32020R0873

applies from: unchanged

Sources disagree — the text comparison found this change; the EU's own amendment metadata does not list it. Both are shown; neither is overruled.

The after text adds two new paragraphs, numbered 1 and 2, preceding what had been the sole paragraph 3 in the before text.

Paragraph 1 sets out formulas and a supervisory volatility table that institutions are to use to calculate the supervisory delta for call and put options, tranches of a synthetic securitisation and nth-to-default credit derivatives, and other transactions, none of which appeared in the before text.

Paragraph 2 defines what constitutes a long position and a short position in the primary or most material risk driver for transactions referred to in Article 277(3), a definition absent from the before text, while the former sole paragraph on EBA's regulatory technical standards is retained unchanged as paragraph 3 in both versions.

Cited: Art. 279a, v2 · Art. 279a, v1

text before / after, on the event page →

in force 2019-06-27 INSERTED§

Amended by Regulation (EU) 2019/876 32019R0876

applies from: unknown (an inserted provision states its own application date only in prose)

This is a new provision, Article 279a, setting out a numbered paragraph 3 that directs EBA to draft regulatory technical standards covering the formula for 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 or most material risk driver for transactions referred to in Article 277(3).

The text also states that EBA is to submit those draft standards to the Commission by 28 December 2019 and that the Commission is empowered to adopt them by supplementing the Regulation in accordance with Articles 10 to 14 of Regulation (EU) No 1093/2010.

Cited: Art. 279a, v2

text before / after, on the event page →