- Question ID
-
2024_7149
- Legal act
- Regulation (EU) No 575/2013 (CRR)
- Topic
- Market risk
- Article
-
325e
- COM Delegated or Implementing Acts/RTS/ITS/GLs/Recommendations
- Not applicable
- Article/Paragraph
-
Question ID: 2016_2571
- Type of submitter
-
Credit institution
- Subject matter
-
Perfectly matched back-to-back bought and sold options under market risk capital requirement - sensitivities-based method for calculating the own funds requirement.
- Question
-
According to Article 325e of Regulation (EU) No 575/2013 (CRR) all the positions of instruments with optionality (among others: calls, puts, caps, floors, swap options, barrier options and exotic options) shall be subject to the own funds requirements for:
a) delta risk
b) vega risk
c) curvature risk.
According to Q&A no 2016_2571 (Question ID: 2016_2571 published in Single Rulebook Q&A on 11th November 2016) perfectly matching options should not be subject to market capital requirements. Does this approach also apply to sensitivities-based method for calculating the own funds requirement for market risk specified in CRR2/CRR3? If yes does it mean that perfectly matched back-to-back bought and sold options can be excluded from calculation capital requirement for market risk under sensitivities-based method (delta, vega and curvature risk)?
- Background on the question
-
Q&A no 2016_2571 (Question ID: 2016_2571 published in Single Rulebook Q&A on 11th November 2016) states that perfectly matching options should not be subject to market capital requirements.
- Submission date
- Status
-
Question under review
- Answer prepared by
-
Answer prepared by the EBA.