Article 6, Paragraph 8. · Commission Delegated Regulation (EU) 2025/1265

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8.For plain-vanilla call or put options with a single underlying bond which consists in fixed-rate debt instrument, institutions shall identify the main risk driver by applying the method set out in Article 3(2) to the underlying bond.Where the main risk driver determined in accordance with Article 3(2), points (a), (b) and (c), is the risk-free rate or the issuer credit spread rate, the position shall be short in its main risk driver where the call option is bought, and long where the call option is sold, and the position shall be short where the put option is sold, and long where the put option is bought.Where the main risk driver determined in accordance with Article 3(2), points (a), (b) and (c), is the inflation rate, the position shall be long in its main risk driver where the call option is bought, and short where the call option is sold, and the position shall be long where the put option is sold and short where the put option is bought.