The template CR GB 3 shows the amount which is the basis for the calculation of the institution specific countercyclical capital buffer. The rules currently in place do not include a threshold for its determination; therefore there is no threshold for reporting purposes included in the instructions for the template CR GB 3. Hence institutions have to determine the own funds requirements for credit risk in any case (irrespective of the number of foreign exposures) to be able to calculate the additional requirements from 2016 onwards.
It must be noted that the reporting obligation starts in 2014; this is independent from the fact that the institution specific countercyclical capital buffer is applicable from 2016 onwards.
As for the presence of other threshold, Article 5(a)(4) of the
ITS on supervisory reporting defines a threshold for the reporting of templates CR GB1 and CR GB 2. Differently, as stated in the instructions of COREP (Annex II of the ITS), this threshold does not apply to CR GB 3. Consequently, template CR GB 3 shall be reported by all entities, while CR GB 1 and CR GB 2 only by those beyond the threshold defined in Article 5(a)(4) of the ITS.
Having said that, it should be noted that the
EBA-CP-2013-35 recently issued by EBA envisages a proportionality threshold so that foreign exposures below it (a 2% of the overall credit risk exposure is proposed) could be allocated to the country in which the institution is registered.
*As of 1/8/2014 the content of this answer was modified to reflect the publication of the final ITS on supervisory reporting of institutions in the Official Journal of the European Union. As a result, the references to the ITS were updated and the disclaimer deleted. For reasons of transparency, revisions are highlighted in track changes.