Commission Delegated Regulation (EU) 2021/931 is amended as follows:
(1) in Article 4(4), the introductory wording is replaced by the following:
'Institutions that either meet the conditions set out in Article 94(1) of Regulation (EU) No 575/2013, or meet the conditions set out in Article 325a(1) of that Regulation, may identify the most material risk driver by applying the following steps at inception of the transaction, and then at least on a quarterly basis:'.
(2) Article 5 is amended as follows:
(a) in paragraph 1, the introductory wording is replaced by the following:
'1. Institutions shall calculate the supervisory delta 
of call and put options, when mapped to the interest rate risk or the commodity risk categories, that is compatible with market conditions in which interest rates or commodity prices may be negative, as follows:';
(b) paragraph 2 is replaced by the following:
'2. For the purposes of paragraph 1, institutions shall calculate the shift 
for any call and put option