Article 3 | Delegated Regulation 2021/931

Updated 22/10/2024

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In force

Initial Legal Act

Amendments

Article 3 - Method for identifying transactions with more than one material risk driver

Article 3

Method for identifying transactions with more than one material risk driver

For the purposes of Article 277(3) of Regulation (EU) No 575/2013, institutions shall identify all transactions other than those referred to in Article 2 as transactions with more than one material risk driver.

Recitals

CHAPTER 1 - Method for identifying transactions with only one material risk driver, transactions with more than one material risk driver and for identifying the most material of those risk drivers (Article 1-4)Article 1 - Method for identifying the risk drivers of a derivative transaction Article 2 - Method for identifying transactions with only one material risk driver Article 3 - Method for identifying transactions with more than one material risk driver Article 4 - Method for identifying the material risk drivers and the most material of those risk drivers

CHAPTER 2 - Formula to be used to calculate the supervisory delta of call and put options mapped to the interest rate risk category and supervisory volatility suitable for that formula and 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 a given risk category (Article 5-7)

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Article 3 - Method for identifying transactions with more than one material risk driver

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