Regulatory Alerts2025-05-25
Added · Updated
Commission Delegated Regulation (EU) 2021/931 on regulatory technical standards for counterparty credit risk
Institutions must identify derivative transactions with one or more material risk drivers by determining risk factors at inception, excluding discounting interest rate factors. The regulation specifies methods for calculating supervisory delta for call and put options mapped to interest rate or commodity categories, including formulas for negative price environments and defined supervisory volatility rates. It also mandates procedures for determining whether a transaction constitutes a long or short position in the primary or most material risk driver using delta sensitivities or cash flow structure assessments.