+Artikel 383v Risikogewichts-Unterklassen für das Aktienkursrisiko
---+Article 383v 1.
---+Article 383v 2.
---+Article 383v 3.
---+Article 383v 4.
---+Article 383v 5.

Artikel 383v Risikogewichts-Unterklassen für das Aktienkursrisiko

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1. Übersicht

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Article 383v 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 %
Article 383v 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).
Article 383v 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).
Article 383v 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.
Article 383v 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.

1.1 Referenzen

1.2 Identifizierte Anforderungen

1.3 Zugehörige Standards

2. Identifizierte Anforderungen

Anforderungen

3. Zugehörige Standards

Standards
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