European Commission adopts Delegated Regulation amending Regulatory Technical Standards on the supervisory delta of call and put options mapped to the commodity risk category

The European Commission adopted a Delegated Regulation amending Regulatory Technical Standards as regards the specification of the formula for calculating the supervisory delta of call and put options mapped to the commodity risk category. The RTS specify the formula for the purposes of Article 279a(3) of the EU Capital Requirements Regulation in the standardized approach for counterparty credit risk. CRR III expanded the scope of Article 279a(3) to cover commodity risk, which requires amendment to the RTS. The Council of the European Union and the European Parliament will now scrutinize the Delegated Regulation. If neither objects, the Regulation will be published in the Official Journal of the European Union and enter into force 20 days after publication.

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