{
  "url": "https://openlegislation.uk/eu-regulation-2014-528/annex-II",
  "json_url": "https://openlegislation.uk/eu-regulation-2014-528/annex-II.json",
  "legislation": "eur/2014/528",
  "legislation_title": "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)",
  "legislation_url": "https://openlegislation.uk/eu-regulation-2014-528",
  "path": "annex/II",
  "kind": "annex",
  "number": "II",
  "heading": "Formula to be used for the purposes of Article 9(d)",
  "text": "Formula to be used for the purposes of Article 9(d)\nOwn funds requirement = – min (0,PC-DE)\nwhere\n(a) PC (‘Price Change’) is the sum of price changes of the options with the same distinct underlying type understood in the manner described in Article 5(3) (negative sign for losses and positive sign for gains) and corresponding to the relevant scenario determined in step (c) of Article 9;\n(b) DE is the ‘delta effect’ calculated as follows:\nDE = ADEV × PPCU\nwhere\n(i) ADEV (‘aggregated delta equivalent value’) is the sum of negative or positive deltas, multiplied by the market value of the underlying of the contract, of options that have the same distinct underlying type understood in the manner described in Article 5(3);\n(ii) PPCU (‘percentage price change of the underlying’) is the percentage price change of the underlying understood in the manner described in Article 5(3), corresponding to the relevant scenario determined in step (c) of Article 9.",
  "extent": "E+W+S+N.I.",
  "status": null,
  "version": "current",
  "annotations": [
    {
      "type": "X",
      "label": "X1",
      "text": "Substituted by Corrigendum to 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 (Official Journal of the European Union L 148 of 20 May 2014)."
    }
  ],
  "outstanding_effects": [],
  "provenance": {
    "source": "legislation.gov.uk",
    "source_url": "https://www.legislation.gov.uk/eur/2014/528/annex/II",
    "retrieved_at": "2026-11-01T14:47:39.748204+00:00"
  },
  "licence": "Open Government Licence v3.0",
  "licence_url": "https://www.nationalarchives.gov.uk/doc/open-government-licence/version/3/",
  "attribution": "Contains public sector information licensed under the Open Government Licence v3.0. Source: legislation.gov.uk, The National Archives."
}