(a)

for call and put options that entitle the option buyer to purchase or sell an underlying instrument at a positive price on a single or multiple dates in the future, except where those options are mapped to the interest rate risk category, institutions shall use the following formula: where: Table 1 Institutions using the forward price of the underlying instrument of an option shall ensure that: δ | = | the supervisory delta; sign | = | – 1 where the transaction is a sold call option or a bought put option; sign | = | + 1 where the transaction is a bought call option or sold put option; type | = | – 1 where the transaction is a put option; type | = | + 1 where the transaction is a call option; N(x) | = | the cumulative distribution function for a standard normal random variable meaning the probability that a normal random variable with mean zero and variance of one is less than or equal to x; P | = | the spot or forward price of the underlying instrument of the option; for options the cash flows of which depend on an average value of the price of the underlying instrument, P shall be equal to the average value at the calculation date; K | = | the strike price of the option; T | = | the expiry date of the option; for options which can be exercised at one future date only, the expiry date is equal to that date; for options which can be exercised at multiple future dates, the expiry date is equal to the latest of those dates; the expiry date shall be expressed in years using the relevant business day convention; and σ | = | the supervisory volatility of the option determined in accordance with Table 1 on the basis of the risk category of the transaction and the nature of the underlying instrument of the option. Risk category | Underlying instrument | Supervisory volatility Foreign exchange | All | 15 % Credit | Single-name instrument | 100 % Multiple-names instrument | 80 % Equity | Single-name instrument | 120 % Multiple-names instrument | 75 % Commodity | Electricity | 150 % Other commodities (excluding electricity) | 70 % Others | All | 150 % the forward price is consistent with the characteristics of the option; the forward price is calculated using a relevant interest rate prevailing at the reporting date; the forward price integrates the expected cash flows of the underlying instrument before the expiry of the option;

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Source: EUR-Lex (Cellar) · retrieved 2026-10-12 · Text as adopted (Official Journal); later amendments are not incorporated in this text.