Article 279a(3)(a) of the CRR3 requires the EBA to develop draft RTS to specify, in accordance with international regulatory developments, the formulas that institutions shall use to calculate the supervisory delta of call and put options mapped to the interest rate risk or commodity risk categories compatible with market conditions in which interest rates or commodity prices may be negative as well as the supervisory volatility that is suitable for those formula.
As per Article 10(1) of Regulation (EU) No 1093/2010 (EBA Regulation), any regulatory technical standards developed by the EBA shall be accompanied by an Impact Assessment (IA), which analyses 'the potential related costs and benefits'.
This section presents the cost-benefit analysis of the provisions included in the draft amending RTS. The analysis provides an overview of identified problems, the proposed options to address those problems and the costs and benefits of those options. Given the nature and the scope of the draf
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