Updated 16/10/2025
Coming into force on 03/11/2025

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Article 4 - Delegated Regulation 2025/1265

Article 4

Method for identifying the main risk drivers of a derivative position

1.   When identifying the main risk driver of a derivative position, institutions shall first identify:

(a)

all the risk drivers of the transaction, in accordance with Article 1 of Delegated Regulation (EU) 2021/931;

(b)

whether the transaction has one or more than one material risk driver, in accordance with Articles 2 and 3 of that Delegated Regulation;

(c)

the material risk drivers of the transaction and the most material of those risk drivers, in accordance with Article 4 of that Delegated Regulation.

2.   Institutions that have identified, in accordance with paragraph 1, a derivative transaction with only one material risk driver shall take that risk driver as the main risk driver.

3.   Institutions that have identified, in accordance with paragraph 1, a derivative transaction with more than one material risk driver that belong to only one risk category as referred to in Article 277(1) of Regulation (EU) No 575/2013 shall take the most material risk driver in that risk category as the main risk driver.

4.   Institutions that have identified, in accordance with paragraph 1, a derivative transaction with more than one material risk driver that belong to two or more risk categories as referred to in Article 277(1) of Regulation (EU) No 575/2013 shall identify the main risk driver by using one of the following methods:

(a)

where institutions have identified material risk drivers in accordance with Article 4(2) or Article 4(4) of Delegated Regulation (EU) 2021/931, the main risk driver shall be the most material risk driver corresponding to the highest risk category add-on from those referred to in Articles 280a to 280f of Regulation (EU) No 575/2013;

(b)

where institutions have identified material risk drivers in accordance with Article 4(3) of Delegated Regulation (EU) 2021/931, the main risk driver shall be the most material risk driver corresponding to the highest absolute value of the weighted sensitivities referred to in Article 4(3), point (b), of that Delegated Regulation.

5.   An institution that applies one of the methods set out in Article 4 of Delegated Regulation (EU) 2021/931 for the calculation of the exposure value of a given derivative transaction shall use the same method to identify the main risk driver of that transaction.