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  1. Commission Delegated Regulation (EU) 2021/931 of 1 March 2021 supplementing Regulation (EU) No 575/2013 of the European Parliament and of the Council with regard to regulatory technical standards specifying the method for identifying derivative transactions with one or more than one material risk driver for the purposes of Article 277(5), the formula for calculating the supervisory delta of call and put options mapped to the interest rate risk category and the method for determining whether a transaction is a long or short position in the primary risk driver or in the most material risk driver in the given risk category for the purposes of Article 279a(3)(a) and (b) in the standardised approach for counterparty credit risk (Text with EEA relevance)
  2. Chapter 1 Method for identifying transactions with only one material risk driver, transactions with more than one material risk driver and for identifying the most material of those risk drivers (arts. 1-4)
  3. Article 4 Method for identifying the material risk drivers and the most material of those risk drivers
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Version status: Entered into force | Document consolidation status: No known changes
Version date: 30 June 2021 - onwards
  Version 2 of 2    

Article 4 Method for identifying the material risk drivers and the most material of those risk drivers

1. After identification of all the risk drivers of a transaction in accordance with Article 1 and where the cash flows of the transaction depend on more than one risk driver, institutions shall identify the material risk drivers and the most material of those risk drivers by applying one of the methods laid down in paragraphs 2, 3 and 4, as appropriate.

2. Institutions shall apply the following steps at inception of the transaction:

(a) they shall consider all the risk drivers of the transaction identified in accordance with the procedure referred to in Article 1 to be material risk drivers;

(b) for each risk category corresponding to those material risk drivers, they shall identify as the most material risk driver the risk driver corresponding to the highest risk category add-on from those referred to in Articles 280a to 280f of Regulation (EU) No 575/2013.

3. Institutions shall apply the following steps at inception of the transaction, and then at least on a quarterly basis:

(a) they

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