# Directive 2006/49/EC of the European Parliament and of the Council of 14 June 2006 on the capital adequacy of investment firms and credit institutions (recast) (repealed), Division 5: Options on interest rates, debt instruments, equities, equity indices, financial futures, swaps and foreign currencies shall be treated as if they were positions equal in value to the amount of the underlying instrument to which the option refers, multiplied by its delta for the purposes of this Annex. The latter positions may be netted off against any offsetting positions in the identical underlying securities or derivatives. The delta used shall be that of the exchange concerned, that calculated by the competent authorities or, where that is not available or for OTC-options, that calculated by the institution itself, subject to the competent authorities being satisfied that the model used by the institution is reasonable.

Extent: E+W+S+N.I.
Status: repealed

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Source: https://www.legislation.gov.uk/eudr/2006/49/annex/I/division/1/part/Particular/division/5 (the official version)
Page: https://openlegislation.uk/eu-directive-2006-49/annex-I/division-1/part-Particular/division-5
Contains public sector information licensed under the Open Government Licence v3.0. Source: legislation.gov.uk, The National Archives.