EBU Single Rulebook Q&A 17 July 2024 2024_7149 Perfectly matched back-to-back bought and sold options under market risk capital requirement - sensitivities-based method for calculating the own funds requirement.

In accordance with Article 325e of Regulation (EU) No 575/2013 (CRR), all the positions of instruments with optionality (among others: calls, puts, caps, floors, swap options, barrier options and exotic options) shall be subject to the own funds requirements for:a) delta riskb) vega riskc) curvature risk.