- Question ID
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2025_7377
- Legal act
- Directive 2013/36/EU (CRD)
- Topic
- Supervisory reporting - COREP (incl. IP Losses)
- Article
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128
- COM Delegated or Implementing Acts/RTS/ITS/GLs/Recommendations
- Not applicable
- Article/Paragraph
-
-
- Type of submitter
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Credit institution
- Subject matter
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Calculation of the Countercyclical Capital Buffer
- Question
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Clarification to EBA Q&A 2016_3050 and CRM techniques with substitution effects
How do we have to consider CRM techniques with substitution effects on the exposure in the CCB?
- Background on the question
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Example 1: Exposure 1500 to SA Corporate (Risk weight 100%) secured by guarantee (500) with substitution effect SA Institutions (Risk weight 20%)
Exposure value due to EBA Q&A 2016_3050 Final Answer No 1 must be shown in total in row 0010 (Standardised Approach)? With regard to EBA Q&A 2016_3050 Final Answer No 2, the question remains, if we also have to show the own funds requirements of the substitution part although it is not a relevant exposure class for CCB calculation?
Example 1 C09.04 r0010 c0010
Exposure value under the Standardised Approach
C09.04 r0020 c0010
Exposure value under the IRB Approach
C09.04 r0080 c0010
Own funds requirements: Relevant credit exposures – Credit risk
Option 1 1000+500 - 1000*1*0,08 Option 2 1000+500 - (1000*1+500*0,2)*0,08 Example 2: Exposure 1500 to IRB Corporate (Risk weight 100%) secured by guarantee (500) with substitution effect to SA Institutions (Risk weight 20%)
Exposure value due to EBA Q&A 2016_3050 Final Answer No 1 must be shown in total in the origin exposure class and approach (IRB, row 0020) or separate belonging after CRM substitution effect to the approach SA and IRB? With regard to EBA Q&A 2016_3050 Final Answer No 2, the question remains, if we also have to show the own funds requirements of the substitution part although it is not a relevant exposure class for CCB calculation?
C09.04 r0010 c0010
Exposure value under the Standardised Approach
C09.04 r0020 c0010
Exposure value under the IRB Approach
C09.04 r0080 c0010
Own funds requirements: Relevant credit exposures – Credit risk
Option 1 500 1000 1000*1*0,08 Option 2 - 1000+500 (1000*1+500*0,2)*0,08 - Submission date
- Rejected publishing date
-
- Rationale for rejection
-
This question has been rejected because the matter it refers to has been answered in Q&A 3050.
- Status
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Rejected question
