Recital 5

(5)Given the diversity of equity markets in the Union, it is necessary to define small and large market capitalisation for the purposes of the equity price and volatility sub-category of the broad category of equity risk factor of Table 2 of Article 325bd of Regulation (EU) No 575/2013 on the basis of a combination of an absolute threshold and a relative one. Given the need for consistency with international regulatory standards, it is appropriate to base the absolute threshold on the threshold established by the Basel Committee for Banking Supervision ⁴ . Given that Commission Implementing Regulation (EU) 2016/1646 ⁵ provides a list of main indices based on the liquidity of the components of the indices, and given that the methodology for the establishment of that list is based on market capitalisation and free float, and on the condition of a minimum liquidity threshold, it is appropriate to establish the relative threshold in accordance with that Implementing Regulation. The equities in the main indices listed in Implementing Regulation (EU) 2016/1646 the components of which are all quoted in the Union, should therefore be considered as equities with large market capitalisation, while all other equities should be considered as equities with small market capitalisation.