#1796840
Deilte mhaoirseachta
Supervisory delta
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#1796841
Ríomhfaidh institiúidí an deilte mhaoirseachta mar leanas:
Institutions shall calculate the supervisory delta as follows:
#1796843
δ = an deilte mhaoirseachta;
δ = the supervisory delta;
#2069634
Le go mbeadh an spotráta nó an réamhráta úis agus praghas ceangail na céadrogha deimhneach, ba cheart an t-aistriú λ a bheith mór go leor chun a chur ar chumas institiúidí deilte mhaoirseachta idirbhirt a ríomh i gcomhréir leis an bhfoirmle a leagtar síos in Airteagal 279a(1) de Rialachán (AE) Uimh. 575/2013, ach ba cheart an t-athrú sin a bheith sách beag gan claonadh neamhriachtanach a thabhairt isteach i dtoradh an ríomha deilte mhaoirseachta.
In order to render the spot or forward interest rate and the strike of the option positive, the λ shift should be large enough to enable institutions to calculate the supervisory delta of a transaction in accordance with the formula laid down in Article 279a(1) of Regulation (EU) No 575/2013, but at the same time small enough not to introduce unnecessary bias in the outcome of the supervisory delta calculation.
#2069635
Ba cheart an luaineacht mhaoirseachta, atá ar cheann de na paraiméadair chun an deilte mhaoirseachta a ríomh, a chinneadh i bhfianaise na foirmle sonraí chun an deilte mhaoirseachta a ríomh i gcás céadroghanna ar dhíol agus ar cheannach sa chatagóir riosca ráta úis.
The supervisory volatility, being one of the parameters for the calculation of the supervisory delta, should be determined in light of the specific formula for the calculation of the supervisory delta for put and call options in the interest rate risk category.
#1796837
δ = deilte mhaoirseachta an idirbhirt a ríomh i gcomhréir leis an bhfoirmle a leagtar síos in Airteagal 279a;
δ = the supervisory delta of the transaction calculated in accordance with the formula laid down in Article 279a;
#1796877
maidir le hidirbhearta nach dtagraítear dóibh i bpointe (a) ná (b), úsáidfidh institiúidí an deilte mhaoirseachta seo a leanas:
for transactions not referred to in point (a) or (b), institutions shall use the following supervisory delta:
#1797057
de mhaolú ar Airteagal 279a(1), maidir le gach idirbheart, ríomhfaidh institiúidí an deilte mhaoirseachta mar leanas:
by way of derogation from Article 279a(1), for all transactions, institutions shall calculate the supervisory delta as follows:
#2069689
Foirmle chun ríomh a dhéanamh ar dheilte mhaoirseachta na gcéadroghanna ar cheannach agus ar dhíol arna mapáil ar an gcatagóir riosca ráta úis agus luaineacht mhaoirseachta atá oiriúnach don fhoirmle sin
Formula to calculate the supervisory delta of call and put options mapped to the interest rate risk category and supervisory volatility suitable for such formula
#1796881
i gcomhréir leis na forbairtí rialála idirnáisiúnta, an fhoirmle a úsáidfidh institiúidí chun ríomh a dhéanamh ar dheilte mhaoirseachta na gcéadroghanna ar cheannach agus ar dhíol arna mapáil ar an gcatagóir priacail ráta úis atá comhoiriúnach le dálaí margaidh faoina bhféadfadh rátaí úis a bheith diúltach agus faoina bhféadfadh luaineacht mhaoirseacht atá oiriúnach don fhoirmle sin a bheith diúltach freisin;
in accordance with international regulatory developments, the formula that institutions shall use to calculate the supervisory delta of call and put options mapped to the interest rate risk category compatible with market conditions in which interest rates may be negative as well as the supervisory volatility that is suitable for that formula;
#2069613
lena bhforlíontar Rialachán (AE) Uimh. 575/2013 ó Pharlaimint na hEorpa agus ón gComhairle maidir le caighdeáin theicniúla rialála lena sonraítear an modh chun idirbhearta díorthach ag a bhfuil tionscnóir riosca ábhartha amháin nó níos mó a shainaithint chun críocha Airteagal 277(5), an fhoirmle chun deilte mhaoirseachta na gcéadroghanna ar cheannach agus ar dhíol arna mapáil ar an gcatagóir riosca ráta úis a ríomh agus an modh chun a chinneadh an suíomh fada nó gearr é idirbheart sa phríomhthionscnóir riosca nó sa tionscnóir riosca is ábhartha sa chatagóir riosca ar leith chun críocha Airteagal 279a(3)(a) agus (b) sa chur chuige caighdeánaithe maidir le riosca creidmheasa an chontrapháirtí
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
#2069632
Ceanglaítear le hAirteagal 279a(3), pointe (a) de Rialachán (AE) Uimh. 575/2013 go ndéanfar an fhoirmle atá le húsáid chun deilte mhaoirseachta na gcéadroghanna ar cheannach agus ar dhíol a ríomh, nuair a mhapáiltear í ar an gcatagóir riosca ráta úis, atá comhoiriúnach do dhálaí margaidh ina bhféadfadh rátaí úis a bheith diúltach a shonrú i gcomhréir le forbairtí rialála idirnáisiúnta.
Article 279a(3), point (a), of Regulation (EU) No 575/2013 requires that the formula to be used for the calculation of the supervisory delta of call and put options, when mapped to the interest rate risk category, that is compatible with market conditions in which interest rates may be negative, is to be specified in accordance with international regulatory developments.
#2069633
An 22 Márta 2018, d’fhoilsigh Coiste Basel um Maoirseacht ar Bhaincéireacht (CBMB) “Frequently asked questions on the Basel III standardised approach for measuring counterparty credit risk exposures” [na ceisteanna coitianta maidir le cur chuige caighdeánaithe Basel III chun neamhchosaintí ar riosca creidmheasa contrapháirtí a thomhas], inar míníodh gur cheart an deilte mhaoirseachta le haghaidh roghanna ráta úis i gcás timpeallacht rátaí úis diúltacha a chinneadh i gcomhréir le foirmle shonrach, ina gcuirtear aistriú lambda (λ) i bhfeidhm ar an spotráta úis nó ar an réamhráta úis agus ar phraghas ceangail na céadrogha a úsáidtear san fhoirmle sin chun a áirithiú go mbeidh an spotráta úis nó an réamhráta úis sin agus praghas ceangail na céadrogha deimhneach.
On 22 March 2018, the Basel Committee on Banking Supervision (BCBS) published the ‘Frequently asked questions on the Basel III standardised approach for measuring counterparty credit risk exposures’, explaining that the supervisory delta for interest rate options in the case of a negative interest rate environment should be determined in accordance with a specific formula, in which a lambda (λ) shift is applied to the spot or forward interest rate and to the strike of the option used in that formula to ensure that that spot or forward interest rate and strike of the option are positive.
#2069687
Foirmle a úsáidfear chun ríomh a dhéanamh ar dheilte mhaoirseachta na gcéadroghanna ar cheannach agus ar dhíol arna mapáil ar an gcatagóir riosca ráta úis agus luaineacht mhaoirseachta atá oiriúnach don fhoirmle agus modh lena chinneadh an suíomh fada nó gearr é idirbheart sa phríomhthionscnóir riosca nó sa tionscnóir riosca is ábhartha i gcatagóir riosca ar leith
Formula to be used to calculate the supervisory delta of call and put options mapped to the interest rate risk category and supervisory volatility suitable for that formula and 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 a given risk category
#2069690
Ríomhfaidh institiúidí deilte mhaoirseachta (δ) na gcéadroghanna ar cheannach agus ar dhíol, nuair a mhapáiltear í ar an gcatagóir ráta úis, atá comhoiriúnach le dálaí an mhargaidh faoina bhféadfadh rátaí úis a bheith diúltach mar seo a leanas:
Institutions shall calculate the supervisory delta (δ) of call and put options, when mapped to the interest rate risk category, that is compatible with market conditions in which interest rates may be negative as follows:
#2378040
Tá Rialachán Tarmligthe (AE) 2021/931 ón gCoimisiún an 1 Márta 2021 lena bhforlíontar Rialachán (AE) Uimh. 575/2013 ó Pharlaimint na hEorpa agus ón gComhairle maidir le caighdeáin theicniúla rialála lena sonraítear an modh chun idirbhearta díorthacha a shainaithint ag a bhfuil tionscnóir riosca ábhartha amháin nó níos mó chun críocha Airteagal 277(5), an fhoirmle chun deilte mhaoirseachta céadroghanna ar cheannach agus ar dhíol a ríomh atá mapáilte le catagóir riosca an ráta úis agus an modh chun a chinneadh an suíomh fada nó gearr atá in idirbheart sa tionscnóir riosca príomhúil nó sa tionscnóir riosca is ábhartha sa chatagóir riosca ar leith chun críocha Airteagal 279a(3)(a) agus (b) sa chur chuige caighdeánaithe maidir le riosca creidmheasa an chontrapháirtí le hionchorprú i gComhaontú LEE.
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 is to be incorporated into the EEA Agreement.
#2378053
32021 R 0931: Rialachán Tarmligthe (AE) 2021/931 ón gCoimisiún an 1 Márta 2021 lena bhforlíontar Rialachán (AE) Uimh. 575/2013 ó Pharlaimint na hEorpa agus ón gComhairle maidir le caighdeáin theicniúla rialála lena sonraítear an modh chun idirbhearta díorthacha a shainaithint ag a bhfuil tionscnóir riosca ábhartha amháin nó níos mó chun críocha Airteagal 277(5), an fhoirmle chun deilte mhaoirseachta céadroghanna ar cheannach agus ar dhíol a ríomh atá mapáilte le catagóir riosca an ráta úis agus an modh chun a chinneadh an suíomh fada nó gearr atá in idirbheart sa tionscnóir riosca príomhúil nó sa tionscnóir riosca is ábhartha sa chatagóir riosca ar leith chun críocha Airteagal 279a(3)(a) agus (b) sa chur chuige caighdeánaithe maidir le riosca creidmheasa an chontrapháirtí (IO L 204, 10.6.2021, lch. 7).
32021 R 0931: 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 (OJ L 204, 10.6.2021, p. 7).