Regulatory Alerts2025-01-28
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Commission Delegated Regulation (EU) 2025/855 amending regulatory technical standards on the supervisory delta formula for commodity options
The European Commission amends Delegated Regulation (EU) 2021/931 to specify the formula for calculating the supervisory delta of call and put options mapped to the commodity risk category, particularly for scenarios where commodity prices may be negative. Institutions must apply a shift value (λ) calculated using a threshold of 1 for commodities to ensure the logarithmic term in the delta formula remains calculable. The regulation also sets supervisory volatility at 150% for electricity and 70% for other commodities, replacing previous standards. This Regulation enters into force on the twentieth day following its publication in the Official Journal of the European Union.
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