Single Rulebook Q&A

Question ID: 2018_4220
Legal act : Directive 2013/36/EU as amended by Directive (EU) 2019/878 – CRD5
Topic : Other topics
Article: 140
Paragraph: 1
Subparagraph:
COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
Article/Paragraph : -
Name of institution / submitter: Swedish Bankers' Association
Country of incorporation / residence: Sweden
Type of submitter: Industry association
Subject matter : Calculation of institution-specific countercyclical capital buffer rates
Question:

Should the calculation of the institutions-specific countercyclical buffer rate include capital requirements arising from measures taken in accordance with Article 458 in Regulation (EU) No 575/2013 (CRR)?

Background on the question:
A competent authority has, with Article 458 in the CRR as a legal base, decided that IRB banks shall apply a risk weight floor of 25 % for residential mortgages.
 
The decision states that when the institution-specific countercyclical capital buffer is calculated, the minimum requirement for the relevant exposures should include the capital requirements arising from the risk weight floor for residential mortgages.
Date of submission: 30/08/2018
Published as Final Q&A: 21/06/2019
EBA answer:
According to Article 140(1) of Directive 2013/36/EU (CRD), the institution-specific countercyclical capital buffer rate is the weighted average of the countercyclical buffer rates that apply in the jurisdictions where the relevant credit exposures are located.
 
According to Article 130(1) of Directive 2013/36/EU (CRD), the institution-specific countercyclical capital buffer is equivalent to the institution’s total risk exposure amount multiplied by the weighted average of the countercyclical capital buffer rates.
 
By using Article 458 of Regulation (EU) No 575/2013 (CRR), the risk weights in Part Three, Title II of the CRR may change and affect the total risk exposure amount calculated in accordance with Article 92(3) of Regulation (EU) No 575/2013 (CRR). Depending on the design of a specific measure, the amount of credit exposures may change as well.
 
Consequently, the capital requirements that will result from the adjusted risk weights, following the application of a measure implemented on the basis of Article 458, shall be included in the calculation of the institution-specific countercyclical capital buffer and, if relevant, in the calculation of the institution-specific countercyclical capital buffer rate.
Status: Final Q&A
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