Article 325ap
Risk weights for equity risk
1.
Risk weights for the sensitivities to equity and equity repo rate risk factors shall be specified for each bucket in Table 8 pursuant to the delegated act referred to in Article 461a:
Table 8
|
Bucket number |
Market capitali-sation |
Economy |
Sector |
Risk weight for equity spot price |
Risk weight for equity repo rate |
|
1 |
Large |
Emerging market economy |
Consumer goods and services, transportation and storage, administrative and support service activities, healthcare, utilities |
55 % |
0,55 % |
|
2 |
Telecommunications, industrials |
60 % |
0,60 % |
||
|
3 |
Basic materials, energy, agriculture, manufacturing, mining and quarrying |
45 % |
0,45 % |
||
|
4 |
Financials including government-backed financials, real estate activities, technology |
55 % |
0,55 % |
||
|
5 |
Advanced economy |
Consumer goods and services, transportation and storage, administrative and support service activities, healthcare, utilities |
30 % |
0,30 % |
|
|
6 |
Telecommunications, industrials |
35 % |
0,35 % |
||
|
7 |
Basic materials, energy, agriculture, manufacturing, mining and quarrying |
40 % |
0,40 % |
||
|
8 |
Financials including government-backed financials, real estate activities, technology |
50 % |
0,50 % |
||
|
9 |
Small |
Emerging market economy |
All sectors described under bucket numbers 1, 2, 3 and 4 |
70 % |
0,70 % |
|
10 |
Advanced economy |
All sectors described under bucket numbers 5, 6, 7 and 8 |
50 % |
0,50 % |
|
|
11 |
Other sector |
70 % |
0,70 % |
||
|
12 |
Large market cap, advanced economy indices |
15 % |
0,15 % |
||
|
13 |
Other indices |
25 % |
0,25 % |
||
2.
For the purposes of this Article, what constitutes a small and a large market capitalisation shall be specified in the regulatory technical standards referred to in Article 325bd(7).
3.
For the purposes of this Article, EBA shall develop draft regulatory technical standards to specify what constitutes an emerging market and to specify what constitutes an advanced economy.
EBA shall submit those draft regulatory technical standards to the Commission by 28 June 2021.
Power is delegated to the Commission to supplement this Regulation by adopting the regulatory technical standards referred to in the first subparagraph in accordance with Articles 10 to 14 of Regulation (EU) No 1093/2010.
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 sector. Institutions shall assign each issuer to one of the sector buckets in Table 8 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 such a manner shall be assigned to bucket 11 in Table 8. Multinational or multi-sector equity issuers shall be assigned to a particular bucket on the basis of the most material region and sector in which the equity issuer operates.