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Here to help with Regulation and Compliance

Compound Growth

CRD IV

Changes to Diversified Stock Indices

(Exempt from specific risk charge)

CRD IV: Changes to Diversified Stock Indices

The capital requirement for market risk on equities under the standard methods is made up of two parts - general market risk and stock specific risk. Each of these components attracts a capital requirement.

There is, however, a concession for positions in stock indices which are deemed sufficiently broadly based and diverse. Because of their diversity, these are not considered to be exposed to stock specific risk but only to general market risk. And accordingly they are only subject to the general market risk capital requirement. This can reduce the capital requirement on the position by up to 50%.

If you are taking advantage of this concession, you will be pleased to know that it remains under CRD IV. All that has changed is that a different is now responsible for determining which indices should be eligible.

The current list is set by the PRA and the FCA. With the implementation of CRD IV comes a new list set by the EBA.

The EBA has set out the criteria for inclusion in the list. The actual list will be revised once a year. And the initial list which the EBA has proposed is open for consultation until 8th September.

The table below compares the current and proposed lists. If you would like to discuss any of this, please feel free to contact us or email us at crd-iv@compoundgrowth.co.uk.





Country

Index

Now

CRD-IV

Australia

S&P All Ordinaries

Austria

ATX

Belgium

BEL20

Brazil

SaoPaulo Bovespa


Canada

TSE35

Canada

TSE100


Canada

TSE300


Croatia

CROBEX


Denmark

OMX Copenhagen 20


EU

DJ STOXX 50

EU

Euronext 100


EU

FTSE Eurotop 300


EU

MCSI Euro Index


Finland

OMX Helsinki General


France

CAC40

France

SBF 120


France

SBF 250


Germany

DAX

Germany

GEX


Germany

HDAX


Germany

MDAX


Germany

SDAX


Hong Kong

Hang Seng

Italy

FTSE MIB

Japan

Nikkei225

Japan

Nikkei300


Japan

TOPIX


Korea

KOSPI


Mexico

IPC Index


Netherlands

AEX

Netherlands

AMX


Poland

WIG20


Portugal

PSI 20


Singapore

Straits Times

Spain

IBEX35

Sweden

OMX Stockholm 30

Switzerland

SMI

UK

FTSE 100

UK

FTSE mid-250

UK

FTSE All-Share


USA

S&P 500

USA

Dow Jones Industrial Average

USA

NASDAQ

USA

Russel 2000


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