On 28 June 2022, there was published in the Official Journal of the European Union (OJ) Commission Delegated Regulation (EU) 2022/1011 of 10 March 2022 supplementing Regulation (EU) No 575/2013 of the European Parliament and of the Council with regard to regulatory technical standards specifying how to determine the indirect exposures to a client arising from derivatives and credit derivatives contracts where the contract was not directly entered into with the client but the underlying debt or equity instrument was issued by that client.
The Delegated Regulation addresses:
- General rules for the determination of the indirect exposure value to a client arising from derivative and credit derivative contracts.
- Allocation of the indirect exposures to categories of derivative contracts.
- Calculation of the indirect exposure value for options on debt and equity instruments.
- Calculation of the indirect exposure value for credit derivative contracts.
- Calculation of the indirect exposure value for other derivatives listed in Annex II to Regulation (EU) No 575/2013.
- Calculation of the indirect exposure values arising from multi-underlying derivative contracts.
The Delegated Regulation enters into force on the twentieth day following that of its publication in the OJ (18 July 2022).