in force 2025-01-01 INSERTED+2,522 −0§
Amended by Regulation (EU) 2024/1623 32024R1623 · Regulation (EU) 2024/2987 32024R2987 · Regulation (EU) 2024/2795 32024R2795
applies from: unknown (an inserted provision states its own application date only in prose)
This new article establishes risk weight buckets for equity spot price and equity vega risk, setting out a table of thirteen buckets defined by market capitalisation, economy type and sector, each with an assigned risk weight percentage.
It also directs that the criteria distinguishing small from large capitalisation and emerging from advanced economies are to be specified in regulatory technical standards referenced elsewhere, and it sets rules for allocating issuers to sector buckets, including a default bucket for unclassifiable issuers and treatment of multinational or multi-sector issuers.
Cited: Art. 383v, v2
text before / after
inserted text (02013R0575-20250101)
Article 383v Risk weight buckets for equity risk 1. The risk weights for the delta sensitivities to equity spot price risk factors shall be the same for all equity risk exposures within each bucket in Table 1 and shall be the following: Table 1 Bucket number Market capitalisation Economy Sector Risk weight for equity spot price 1 Large Emerging market economy Consumer goods and services, transportation and storage, administrative and support service activities, healthcare, utilities 55 % 2 Telecommunications, industrials 60 % 3 Basic materials, energy, agriculture, manufacturing, mining and quarrying 45 % 4 Financials, including government-backed financials, immovable property activities, technology 55 % 5 Advanced economy Consumer goods and services, transportation and storage, administrative and support service activities, healthcare, utilities 30 % 6 Telecommunications, industrials 35 % 7 Basic materials, energy, agriculture, manufacturing, mining and quarrying 40 % 8 Financials, including government-backed financials, immovable property activities, technology 50 % 9 Small Emerging market economy All sectors described under bucket numbers 1, 2, 3 and 4 70 % 10 Advanced economy All sectors described under bucket numbers 5, 6, 7 and 8 50 % 11 Other sector 70 % 12 Large Advanced economy Qualified indices 15 % 13 Other Qualified indices 25 % 2. For the purposes of paragraph 1 of this Article, what constitutes a small and a large capitalisation shall be specified in the regulatory technical standards referred to in Article 325bd(7). 3. For the purposes of paragraph 1 of this Article, what constitutes an emerging market and an advanced economy shall be specified in the regulatory technical standards referred to in Article 325ap(3). 4. When assigning a risk exposure to a sector, institutions shall rely on a classification that is commonly used in the market for grouping issuers by industry sector. Institutions shall assign each issuer to one of the sector buckets in paragraph 1, Table 1, and shall assign all issuers from the same industry to the same sector. Risk exposures from any issuer that an institution cannot assign to a sector in that manner shall be assigned to bucket 11. Multinational or multi-sector equity issuers shall be allocated to a particular bucket on the basis of the most material region and sector in which the equity issuer operates. 5. The risk weights for equity vega risk shall be set at 78 % for buckets 1 to 8 and bucket 12, and at 100 % for all other buckets.