COM Delegated or Implementing Acts/RTS/ITS/GLs/Recommendations
Not applicable
Article/Paragraph
279a(1)(a)
Type of submitter
Credit institution
Subject matter
Supervisory delta for commodities with negative prices
Question
Article 279a (1), (a) of the CRR establishes the formula to be used for calculating the supervisory delta of options mapped to all risk categories except for the interest rate category.
Can such formula be made compatible with market conditions in which commodities may have negative prices?
Background on the question
The formula for the supervisory delta as per Article 279a (1)(a) CRR cannot be applied in case of negative prices for commodities. In accordance with the provision of Article 279a(3) and due to the existence of negative interest rates, the supervisory delta formula has been specified differently in the final draft of the RTS on the Standardised Approach for Counterparty Credit Risk published by the EBA on 18 December 2019.
