Article 5, Paragraph 2. · Commission Delegated Regulation (EU) 2022/2060

Contents

2.For the purposes of paragraph 1, the standard pre-defined buckets shall be the following:

(a)the nine buckets referred to in row i of Table 1 of paragraph 3 for risk factors with one maturity dimension ‘t’, expressed in years, which have been assigned to the following broad risk factor categories:

(i)‘interest rate’, except those risk factors assigned to the broad risk factor subcategory ‘volatility’;

(ii)‘foreign exchange’, except those risk factors assigned to the broad risk factor subcategory ‘volatility’;

(iii)‘commodity’, except those risk factors assigned to the broad risk factor subcategories ‘energy volatility and carbon emissions volatility’, ‘precious metal volatility and non-ferrous metal volatility’ and ‘other commodity volatilities’;

(b)the six buckets referred to in row ii of Table 1 of paragraph 3 for each maturity dimension ‘t’ of risk factors with more than one maturity dimension, expressed in years, which have been assigned to the following broad risk factor categories:

(i)‘interest rate’, except for the risk factors assigned to the broad risk factor subcategory ‘volatility’;

(ii)‘foreign exchange’, except for the risk factors assigned to the broad risk factor subcategory ‘volatility’;

(iii)‘commodity’, except for the risk factors assigned to the broad risk factor subcategories ‘energy volatility and carbon emissions volatility’, ‘precious metal volatility and non-ferrous metal volatility’ and ‘other commodity volatilities’;

(c)the five buckets referred to in row iii of Table 1 of paragraph 3 for each maturity dimension ‘t’ for risk factors with one or several maturity dimensions, expressed in years, which have been assigned to the following broad risk factor categories:

(i)‘credit spread’, except those risk factors assigned to the broad risk factor subcategory ‘volatility’;

(ii)‘equity’, except those risk factors assigned to the broad risk factor subcategories ‘volatility (large market capitalisation)’ and ‘volatility (small market capitalisation)’;

(d)the five buckets referred to in row iv of Table 1 of paragraph 3 for any risk factors with one or several moneyness dimensions, as expressed using the options’ delta (‘δ’);

(e)the five buckets referred to in row iii of Table 1 of paragraph 3 and the five buckets referred to in row iv of Table 1 of paragraph 3 for risk factors which have been assigned to the following broad risk factor categories:

(i)‘foreign exchange’, for those risk factors assigned to the broad risk factor subcategory ‘volatility’;

(ii)‘credit spread’, for those risk factors assigned to the broad risk factor subcategory ‘volatility’;

(iii)‘equity’, for those risk factors assigned to the broad risk factor subcategories ‘volatility (large market capitalisation)’ and ‘volatility (small market capitalisation)’;

(iv)‘commodity’, for those risk factors assigned to the broad risk factor subcategories ‘energy volatility and carbon emissions volatility’, ‘precious metal volatility and non-ferrous metal volatility’ and ‘other commodity volatilities’;

(f)the six buckets referred to in row ii of Table 1 of paragraph 3, the five buckets referred to in row iii of Table 1 of paragraph 3 and the five buckets referred to in row iv of Table 1 of paragraph 3 for risk factors assigned to the broad risk factor category ‘interest rate’ and to the broad risk factor subcategory ‘volatility’ with a maturity, expiry and moneyness dimension.

For the purposes of point (d), for option markets using other conventions than the option’s delta for the definition of the moneyness, institutions shall convert the buckets referred to in row iv of Table 1 of paragraph 3 to the prevailing conventions in those option markets using quantitative techniques derived from the institution’s own pricing models provided that those pricing models have been well documented and have been independently reviewed.