Updated 23/11/2024
In force

Version from: 02/06/2016
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CRR ToolDelegated Regulation 528/2014
ANNEX I

ANNEX I

ANNEX I

Formula to be used for the purposes of Article 5(2)

Formula to be used for the purposes of Article 5(2):

Gamma impact =
image × Gamma × VU2

where VU:

(a) 

for options or warrants on interest rates or bonds is equal to the assumed change in yield indicated in column 5 of Table 2 of Article 339 of Regulation (EU) No 575/2013;

(b) 

for equity options or warrants and equity indices the market value of the underlying multiplied by the weighting indicated in Article 343 of Regulation (EU) No 575/2013;

(c) 

for foreign exchange and gold options or warrants is equal to the market value of the underlying, calculated in the reporting currency and multiplied by the weighting indicated in Article 351 of Regulation (EU) No 575/2013 or — if appropriate — the weighting indicated in Article 354 of Regulation (EU) No 575/2013;

(d) 

for commodity options or warrants is equal to the market value of the underlying, multiplied by the weighting indicated in point (a) of Article 360.1 of Regulation (EU) No 575/2013.