+Artikel 280d Aufschlag für die Kategorie „Aktienkursrisiko“
---+Article 280d 1.
---+Article 280d 2.
---+Article 280d 3.
---+Article 280d 4.
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Artikel 280d Aufschlag für die Kategorie „Aktienkursrisiko“
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1. Übersicht
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Regulierung |
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Article 280d 1.
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For the purposes of paragraph 2, institutions shall establish the relevant equity reference entities of the netting set in accordance with the following:
(a)
there shall be one equity reference entity for each issuer of a reference equity instrument that underlies a single-name transaction allocated to the equity risk category; single-name transactions shall be assigned to the same equity reference entity only where the underlying reference equity instrument of those transactions is issued by the same issuer;
(b)
there shall be one equity reference entity for each group of reference equity instruments or single-name equity derivatives that underlie a multi-name transaction allocated to the equity risk category; multi-names transactions shall be assigned to the same equity reference entity only where the group of underlying reference equity instruments or single-name equity derivatives of those transactions, as applicable, has the same constituents.
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Article 280d 2.
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For the purposes of Article 278, institutions shall calculate the equity risk category add-on for a given netting set as follows:
where:
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AddOnEquity
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=
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the equity risk category add-on;
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j
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=
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the index that denotes all the equity risk hedging sets established in accordance with point (d) of Article 277a(1) and Article 277a(2) for the netting set; and
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=
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the equity risk category add-on for hedging set j calculated in accordance with paragraph 3.
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Article 280d 3.
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Institutions shall calculate the equity risk category add-on for hedging set j as follows:
where:
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=
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the equity risk category add-on for hedging set j;
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єj
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=
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the hedging set supervisory factor coefficient of hedging set j determined in accordance with Article 280;
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k
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=
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the index that denotes the equity reference entities of the netting set established in accordance with paragraph 1;
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=
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the correlation factor of the equity reference entity k; where the equity reference entity k has been established in accordance with point (a) of paragraph 1,
; where the equity reference entity k has been established in accordance with point (b) of paragraph 1,
; and |
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AddOn(Entityk)
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=
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the add-on for the equity reference entity k determined in accordance with paragraph 4.
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Article 280d 4.
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Institutions shall calculate the add-on for the equity reference entity k as follows:
where:
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AddOn(Entityk)
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=
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the add-on for the equity reference entity k;
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=
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the supervisory factor applicable to the equity reference entity k; where the equity reference entity k has been established in accordance with point (a) of paragraph 1,
; where the equity reference entity k has been established in accordance with point (b) of paragraph 1,
; and |
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=
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the effective notional amount of the equity reference entity k calculated as follows:
where:
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l
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=
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the index that denotes the risk position.
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,
1.1 Referenzen
1.2 Identifizierte Anforderungen
1.3 Zugehörige Standards
2. Identifizierte Anforderungen
Anforderungen
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Anforderung |
3. Zugehörige Standards
Standards
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Anforderung |
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