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.