Article 280d | CRR | Regulation 575/2013

Article 280d - Equity risk category add-on

Article 280d

Equity risk category add-on

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.

For the purposes of Article 278, institutions shall calculate the equity risk category add-on for a given netting set as follows:

where:

AddOnEquity

the equity risk category add-on;

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

the equity risk category add-on for hedging set j calculated in accordance with paragraph 3.

Institutions shall calculate the equity risk category add-on for hedging set j as follows:

where:

the equity risk category add-on for hedging set j;

єj

the hedging set supervisory factor coefficient of hedging set j determined in accordance with Article 280;

the index that denotes the equity reference entities of the netting set established in accordance with paragraph 1;

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

AddOn(Entityk)

the add-on for the equity reference entity k determined in accordance with paragraph 4.

Institutions shall calculate the add-on for the equity reference entity k as follows:

where:

AddOn(Entityk)

the add-on for the equity reference entity k;

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

the effective notional amount of the equity reference entity k calculated as follows:

where:

the index that denotes the risk position.

PART ONE - GENERAL PROVISIONS (Article 1-24)

PART TWO - OWN FUNDS AND ELIGIBLE LIABILITIES (Article 25-91)

PART THREE - CAPITAL REQUIREMENTS (Article 92-386)

TITLE I - GENERAL REQUIREMENTS, VALUATION AND REPORTING (Article 92-106)

TITLE II - CAPITAL REQUIREMENTS FOR CREDIT RISK (Article 107-311)

CHAPTER 1 - General principles (Article 107-110)

CHAPTER 2 - Standardised approach (Article 111-141)

CHAPTER 3 - Internal Ratings Based Approach (Article 142-191)

CHAPTER 4 - Credit risk mitigation (Article 192-241)

CHAPTER 5 - Securitisation (Article 242-270e)

CHAPTER 6 - Counterparty credit risk (Article 271-311)

Section 1 - Definitions (Article 271-272)

Section 2 - Methods for calculating the exposure value (Article 273-273b)

Section 3 - Standardised approach for counterparty credit risk (Article 274-280f)Article 274 - Exposure value Q&A Article 275 - Replacement cost Q&A Article 276 - Recognition and treatment of collateral Article 277 - Mapping of transactions to risk categories RTS Article 277a - Hedging sets Article 278 - Potential future exposure Article 279 - Calculation of the risk position Article 279a - Supervisory delta RTSQ&A Article 279b - Adjusted notional amount Q&A Article 279c - Maturity Factor Q&A Article 280 - Hedging set supervisory factor coefficient Article 280a - Interest rate risk category add-on Q&A Article 280b - Foreign exchange risk category add-on Article 280c - Credit risk category add-on Q&A Article 280d - Equity risk category add-on Article 280e - Commodity risk category add-on Article 280f - Other risks category add-on

Section 4 - Simplified standardised approach for counterparty credit risk (Article 281)

Section 5 - Original exposure method (Article 282)

Section 6 - Internal Model Method (Article 283-294)

Section 7 - Contractual netting (Article 295-298)

Section 8 - Items in the trading book (Article 299)

Section 9 - Own funds requirements for exposures to a central counterparty (Article 300-311)

TITLE III - OWN FUNDS REQUIREMENTS FOR OPERATIONAL RISK (Article 312-324)

TITLE IV - OWN FUNDS REQUIREMENTS FOR MARKET RISK (Article 325-377)

TITLE V - OWN FUNDS REQUIREMENTS FOR SETTLEMENT RISK (Article 378-380)

TITLE VI - OWN FUNDS REQUIREMENTS FOR CREDIT VALUATION ADJUSTMENT RISK (Article 381-386)

PART FOUR - LARGE EXPOSURES (Article 387-403)

PART FIVE - EXPOSURES TO TRANSFERRED CREDIT RISK (Article 404-410)

PART SIX - LIQUIDITY (Article 411-428az)

PART SEVEN - LEVERAGE (Article 429-429g)

PART SEVEN A - REPORTING REQUIREMENTS (Article 430-430c)

PART EIGHT - DISCLOSURE BY INSTITUTIONS (Article 431-455)

PART NINE - DELEGATED AND IMPLEMENTING ACTS (Article 456-464)

PART TEN - TRANSITIONAL PROVISIONS, REPORTS, REVIEWS AND AMENDMENTS (Article 465-520)

PART ELEVEN - FINAL PROVISIONS (Article 521)

Metadata

Level 2 legal acts

Related documents

Article 280d - Equity risk category add-on

Table of contents