ANNEX X
Instructions for the disclosure of information on countercyclical capital buffers
Template EU CCyB1 - Geographical distribution of credit exposures relevant for the calculation of the countercyclical capital buffer. Fixed format for columns, flexible format for rows.
1. Institutions shall disclose the information referred to in point (a) of Article 440 of Regulation (EU) 575/2013 ( 10 ) (‘CRR’) by following the instructions provided below in this Annex to complete template EU CCyB1 which is presented in Annex IX to this Implementing Regulation.
2. The scope of template EU CCyB1 is limited to credit exposures relevant for the calculation of CCyB in accordance with Article 140(4) of Directive (EU) 2013/36 ( 11 ) (‘CRD’).
|
Legal references and instructions |
|
|
Row number |
Explanation |
|
010-01X |
Breakdown by country List of countries in which the institution has credit exposures relevant for the calculation of the institution specific countercyclical buffer in accordance with Commission delegated regulation (EU) 1152/2014 (1) The number of rows may vary depending on the number of countries where the institution has its credit exposures relevant for the calculation of the countercyclical buffer. Institutions shall number the rows for each country consecutively, starting with 010. In accordance with Commission delegated regulation (EU) 1152/2014, if trading book exposures or foreign credit exposures of an institution represent less than 2% of its aggregate risk weighted exposures, the institution may choose to allocate these exposures to the place of institution (i.e. the home Member State of the institution). If the exposures for the place of institution include exposures from other countries, these shall be clearly identified in a footnote to the disclosure template. |
|
020 |
Total The value as described in accordance with the explanation for columns a to m of the current template. |
|
(1)
COMMISSION DELEGATED REGULATION (EU) 1152/2014 of 4 June 2014 supplementing Directive 2013/36/EU of the European Parliament and of the Council with regard to regulatory technical standards on the identification of the geographical location of the relevant credit exposures for calculating institution-specific countercyclical capital buffer rates (OJ L 309, 30.10.2014, p. 5). |
|
|
Legal references and instructions |
|
|
Column number |
Explanation |
|
a |
Exposure value of general credit exposures under the standardised approach Exposure value of relevant credit exposures determined in accordance with point (a) of Article 140(4) CRD, and Article 111 CRR Exposure value of relevant credit exposures determined in accordance with point (c) of Article 140(4) CRD, with points (a) and (c) of Article 248 CRR shall not be included here but in e of this template. Geographical breakdown shall be made in accordance with Commission delegated regulation (EU) 1152/2014. Row 020 (Total): The sum of all relevant credit exposures shall be determined in accordance with point (a) of Article 140(4) CRD, and Article 111 CRR. |
|
b |
Exposure value of general credit exposures under the IRB approach Exposure value of relevant credit exposures determined in accordance with point (a) of Article 140(4) CRD, Article 166, Article 167 and Article 168 CRR Exposure value of relevant credit exposures determined in accordance with point (c) of Article 140(4) CRD, points (a) and (c) of Article 248 CRR shall not be included here but in column e of this template. Geographical breakdown shall be made in accordance with Commission delegated regulation (EU) 1152/2014. Row 020 (Total): The sum of all relevant credit exposures shall be determined in accordance with point (a) of Article 140(4) CRD, Articles 166, 167 and 168 CRR. |
|
c |
Sum of long and short positions of trading book exposures for standardised approach Sum of long and short positions of relevant credit exposures determined in accordance with point (b) of Article 140(4) CRD, calculated as the sum of long and short positions determined in accordance with Article 327 CRR Geographical breakdown shall be made in accordance with Commission delegated regulation (EU) 1152/2014. Row 020 (Total): The sum of all long and short positions of relevant credit exposures shall be determined in accordance with point (b) of Article 140(4) CRD, calculated as the sum of long and short positions determined in accordance with Article 327 CRR. |
|
d |
Value of trading book exposures for internal models Sum of the following: — Fair value of cash positions that represent relevant credit exposures as determined in accordance with point (b) of Article 140(4) CRD, and Article 104 CRR; — Notional value of derivatives that represent relevant credit exposures as determined in accordance with point (b) of Article 140(4) CRD. Geographical breakdown shall be made in accordance with Commission delegated regulation (EU) 1152/2014. Row 020 (Total): The sum of fair value of all cash positions that represent relevant credit exposures shall be determined in accordance with point (b) of Article 140(4) CRD, and Article 104 CRR, and the sum of notional value of all derivatives that represent relevant credit exposures shall be determined in accordance with point (b) of Article 140(4) CRD. |
|
e |
Securitisation exposures Exposure value for non-trading book Exposure value of relevant credit exposures determined in accordance with point (c) of Article 140(4) CRD, points (a) and (c) of Article 248 CRR Geographical breakdown shall be made in accordance with Commission delegated regulation (EU) 1152/2014. Row 020 (Total): The sum of all relevant credit exposures shall be determined in accordance with point (c) of Article 140(4) CRD, and points (a) and (c) of Article 248 CRR. |
|
f |
Total exposure value The sum of amounts in columns a, b, c, d and e of this template Row 020 (Total): The sum of all relevant credit exposures shall be determined in accordance to Article 140(4) CRD. |
|
g |
Own funds requirements - Relevant credit risk exposures – Credit Risk Own funds requirements for relevant credit exposures in the country in question, determined in accordance to point (a) of Article 140(4) CRD, and Title II of Part Three CRR, and taking into account the own funds requirements linked to any country-specific adjustments to risk weights set in accordance with Article 458 CRR Row 020 (Total): The sum of all own funds requirements for relevant credit exposures shall be determined in accordance with point (a) of Article 140(4) CRD, and Title II of Part Three CRR. |
|
h |
Own funds requirements - Relevant credit exposures – Market risk Own funds requirements for relevant credit exposures in the country in question, determined in accordance with point (b) of Article 140(4) CRD, and Chapter 2 of Title IV of Part Three CRR for specific risk, or in accordance with Chapter 5 of Title IV of Part Three CRR for incremental default and migration risk Row 020 (Total): The sum of all own funds requirements for relevant credit exposures shall be determined in accordance with point (b) of Article 140(4) CRD, and Chapter 2 of Title IV of Part Three CRR for specific risk or Chapter 5 of Title IV of Part Three CRR for incremental default and migration risk. |
|
i |
Own funds requirements - Relevant credit exposures – Securitisation positions in the non-trading book Own funds requirements for relevant credit exposures in the country in question, determined in accordance to point (c) of Article 140(4) CRD, and Chapter 5 of Title II of Part Three CRR Row 020 (Total): The sum of all own funds requirements for relevant credit exposures shall be determined in accordance with point (c) of Article 140(4) CRD, and Chapter 5 of Title II of Part Three CRR. |
|
j |
Own funds requirements - Total The sum of amounts in columns g, h and i of this template Row 020 (Total): The sum of all own funds requirements for relevant credit exposures shall be determined in accordance with Article 140(4) CRD. |
|
k |
Risk-weighted exposure amounts Risk-weighted exposure amounts for relevant credit exposures, determined in accordance with Article 140(4) CRD, broken-down by country and taking into account any country-specific adjustments to risk weights set in accordance with Article 458 CRR Row 020 (Total): The sum of all risk-weighted exposure amounts for relevant credit exposures shall be determined in accordance with Article 140(4) CRD. |
|
l |
Own funds requirements weights (%) The weight applied to the countercyclical buffer rate in each country, calculated as the total own funds requirements that relates to the relevant credit exposures in the country in question (row 01X, column j of this template), divided by the total own funds requirements that relates to all credit exposures relevant for the calculation of the countercyclical buffer in accordance with Article 140(4) CRD (row 020, column j of this template) This value shall be disclosed as percentage with 2 decimal points. |
|
m |
Countercyclical capital buffer rate (%) Countercyclical capital buffer rate applicable in the country in question, and set in accordance with Articles 136, 137, 138 and 139 CRD This column shall not include countercyclical capital buffer rates that were set, but are not yet applicable at the time of computation of the institution specific countercyclical capital buffer to which the disclosure relates. This value is disclosed as percentage with the same number of decimal points as set in accordance with Articles 136, 137, 138 and 139 CRD. |
Template EU CCyB2 - Amount of institution specific countercyclical capital buffer
3. Institutions shall disclose the information referred to in point (b) of Article 440 CRR by following the instructions provided below in this Annex to complete template EU CCyB2 which is presented in Annex IX to this Implementing Regulation.
|
Legal references and instructions |
|
|
Row number |
Explanation |
|
1 |
Total risk exposure amount Total risk exposure amount calculated in accordance with Article 92(3) CRR |
|
2 |
Institution specific countercyclical capital buffer rate Institution specific countercyclical capital buffer rate, determined in accordance with in accordance with Article 140(1) CRD The institution specific countercyclical capital buffer rate is calculated as the weighted average of the countercyclical buffer rates that apply in the countries where the relevant credit exposures of the institution are located in rows 010.1 to 010.X of column m of the template EU CCyB1. The weight applied to the countercyclical buffer rate in each country is the share of funds requirements in total own funds requirements, and is in template EU CCyB1 column l. This value is disclosed as percentage with 2 decimal points. |
|
3 |
Institution specific countercyclical capital buffer requirement Institution specific countercyclical capital buffer requirement, calculated as the institution specific countercyclical buffer rate, as disclosed in row 2 of this template, applied to the total risk exposure amount as disclosed in row 1 of this template. |
|
Legal references and instructions |
|
|
Column number |
Explanation |
|
a |
The value as described in accordance with the explanation for rows 1 to 3 of the current template. |
( 10 ) Regulation (EU) No 575/2013 of the European Parliament and of the Council of 26 June 2013 on prudential requirements for credit institutions and investment firms and amending Regulation (EU) No 648/2012 (OJ L 176, 27.6.2013, p. 1).
( 11 ) DIRECTIVE 2013/36/EU OF THE EUROPEAN PARLIAMENT AND OF THE COUNCIL of 26 June 2013 on access to the activity of credit institutions and the prudential supervision of credit institutions and investment firms, amending Directive 2002/87/EC and repealing Directives 2006/48/EC and 2006/49/EC (OJ L 176, 27.6.2013, p. 338).