Article 155 › 2

Under the Simple risk weight approach, the risk weighted exposure amount shall be calculated according to the formula: , where: Risk weight (RW)= 190 % for private equity exposures in sufficiently diversified portfolios. Risk weight (RW)= 290 % for exchange traded equity exposures. Risk weight (RW)= 370 % for all other equity exposures. Short cash positions and derivative instruments held in the non-trading book are permitted to offset long positions in the same individual stocks provided that these instruments have been explicitly designated as hedges of specific equity exposures and that they provide a hedge for at least another year. Other short positions are to be treated as if they are long positions with the relevant risk weight assigned to the absolute value of each position. In the context of maturity mismatched positions, the method is that for corporate exposures as set out in Article 162(5). Institutions may recognise unfunded credit protection obtained on an equity exposure in accordance with the methods set out in Chapter 4.

← 1 · All articles · 3 →

Source: EUR-Lex CELLAR · retrieved 2026-09-04