7. The proposed approach for the specification of the supervisory delta formula suitable for commodity negative prices should be as close as possible to the one suitable for negative interest rates, as this latter approach is the result of a consultation process and it represents a methodology already known and used by institutions.
8. According to the RTS on SA-CCR (and in line with the Basel standards), the formula that should be used for options mapped to the interest rate risk category is the following:
where
and
threshold = 0.10%.
9. Such a formula is transaction-specific, i.e. it is determined at the level of every single option, and the supervisory volatility to be used is 
= 50% (i.e. the level set out in the Basel standards with no adjustment).
10. The 
shift may be determined as well using the formula applied for negative interest rates, with the only amendment being a change in the threshold level to account for the fact that commodity prices are expressed in Euro, US Do