Version in force , Modified +16 −111§
Amended by Regulation (EU) 2021/424 32021R0424 on EUR-Lex (external, EUR-Lex)
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In paragraph 3, the formula fragment that previously appeared inline directly after the introductory sentence "Institutions shall calculate the equity risk category add-on for hedging set j as follows:" has been removed, leaving that sentence followed directly by the "where:" list.
Similarly, in paragraph 4 the formula fragment that previously appeared inline directly after "Institutions shall calculate the add-on for the equity reference entity k as follows:" has been removed, leaving that sentence followed directly by the "where:" list.
Cited: Art. 280d, v1 (external, EUR-Lex) · Art. 280d, v2 (external, EUR-Lex)
v1 is the previous version, v2 this one.
Text from EUR-Lex, before and after
Previous version, in force 28 June 2021 02013R0575-20210629 → this version, in force 30 September 2021 02013R0575-20210930
Article 280d
Equity risk category add-on
1. 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.
2. For the purposes of Article 278, institutions shall calculate the equity risk category add-on for a given netting set as follows:AddOnEquityjAddOnEquityj
where:
AddOnEquity
the equity risk category add-on;
j
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
AddOnEquityj
the equity risk category add-on for hedging set j calculated in accordance with paragraph 3.
3. Institutions shall calculate the equity risk category add-on for hedging set j as follows:AddOnEquityjєjk ρEquitykAddOnEntityk2k1ρEquityk2AddOnEntityk2 follows:
where:
AddOnEquityj
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;
k
the index that denotes the equity reference entities of the netting set established in accordance with paragraph 1;
ρEquityk
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, ρEquityk50 %; where the equity reference entity k has been established in accordance with point (b) of paragraph 1, ρEquityk80 %; and
AddOn(Entityk)
the add-on for the equity reference entity k determined in accordance with paragraph 4.
4. Institutions shall calculate the add-on for the equity reference entity k as follows:AddOnEntitykSKEquitykEffNotEquityk follows:
where:
AddOn(Entityk)
the add-on for the equity reference entity k;
SFEquityk
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, SFEquityk32 %; where the equity reference entity k has been established in accordance with point (b) of paragraph 1, SFEquityk20 %; and
EffNotEquityk
the effective notional amount of the equity reference entity k calculated as follows:EffNotEquitykl ∈ Equity reference entity kRiskPositionl
where:
l
the index that denotes the risk position.