# Commission Delegated Regulation (EU) No 528/2014 of 12 March 2014 supplementing Regulation (EU) No 575/2013 of the European Parliament and of the Council with regard to regulatory technical standards for non-delta risk of options in the standardised market risk approach (Text with EEA relevance), Annex I: Formula to be used for the purposes of Article 5(2)

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

Formula to be used for the purposes of Article 5(2):
Gamma impact = 1 2 × Gamma × VU 2
where VU:
(a) for options or warrants on interest rates or bonds is equal to the assumed change in yield indicated in column 5 of Table 2 of Article 339 of Regulation (EU) No 575/2013;
(b) for equity options or warrants and equity indices the market value of the underlying multiplied by the weighting indicated in Article 343 of Regulation (EU) No 575/2013;
(c) for foreign exchange and gold options or warrants is equal to the market value of the underlying, calculated in the reporting currency and multiplied by the weighting indicated in Article 351 of Regulation (EU) No 575/2013 or — if appropriate — the weighting indicated in Article 354 of Regulation (EU) No 575/2013;
(d) for commodity options or warrants is equal to the market value of the underlying, multiplied by the weighting indicated in point (a) of Article 360.1 of Regulation (EU) No 575/2013.

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Source: https://www.legislation.gov.uk/eur/2014/528/annex/I (the official version)
Page: https://openlegislation.uk/eu-regulation-2014-528/annex-I
Contains public sector information licensed under the Open Government Licence v3.0. Source: legislation.gov.uk, The National Archives.