The Secretary shall prescribe regulations to properly characterize any income, gain, expense, or loss arising from any derivative or underlying investment which is incorrectly identified under paragraph (2) as being part of, or not being part of, an investment hedging unit. (d) Delta For purposes of this section— (1) In general The term delta means, with respect to any derivative and underlying investment, the ratio of the expected change in the fair market value of the derivative to any change in the fair market value of the underlying investment. (2) Method of determination The delta with respect to any derivative with respect to an underlying investment (or any combination of such derivatives) shall be determined— (A) in a commercially reasonable manner, and (B) except as provided by the Secretary, in a manner which is consistent with the manner used by the taxpayer or the taxpayer's broker for purposes of an applicable financial statement. (3) Time for making determination The delta with respect to any derivative and underlying investment shall be determined as of any date the taxpayer is required to make the identifications described in subsection (c). (4) Multiple underlying investments (A) In general Except as provided in subparagraph (B), if the value of a derivative is determined by reference to more than 1 underlying investment, the delta shall be determined separately with respect to each underlying investment. (B) Methods for certain combinations of underlying investments The Secretary may by regulations provide methods for determining the delta of any derivative with respect to certain combinations of 2 or more underlying investments. (e) Other definitions and rules For purposes of this part— (1) Underlying investment (A) In general The term underlying investment means, with respect to any derivative, any item— (i) which is described in any of the paragraphs (1) through (8) of section 493(a) (or any item substantially the same as any such item), and (ii) by reference to which the value of the