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    EBA Updates List of Diversified Indices for Capital Calculation in CRR

    April 11, 2019

    EBA updated the list of diversified stock indices meeting requirements under the Capital Requirements Regulation or CRR (EU Regulation No 575/2013). The list was originally published in December 2013. This list of indices is part of the implementing technical standards drafted to calculate the capital requirements for position risk in equities, according to the standardized rules.

    The list was updated according to the procedure and methodology laid down in the implementing standards and submitted to EC for endorsement. To ensure that the stock indices referred to in the Annex to Commission Implementing Regulation (EU) 945/2014 continue to meet the conditions necessary for their specific risk to be ignored, it is necessary to update the list of relevant appropriately diversified indices. The list uses data relative to 2018 for confirming the conditions that need to be verified for an index to be considered appropriately diversified in accordance with Article 344(4) of CRR. These implementing technical standards list relevant exchange traded and appropriately diversified indices for which specific risk can be ignored on the basis of the following criteria:

    • The index must comprise a minimum number of equities.
    • None of the equities or concentration of equities must significantly influence the volatility of the index.
    • The index must comprise equities that are diversified both from a geographical and economic perspective.

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    Keywords: Europe, EU, Banking, Implementing Technical Standards, Diversified Indices, Capital Requirements, CRR, EBA

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