Suppose that a bank has
an exposure an own funds requirements to country A of € 10,000 while the bank’s total exposures total own funds requirements (i.e. the aggregate exposure aggregated own funds requirements to all countries) is € 500,000. In addition, let’s say that the bank’s own funds is € 80,000. Would this mean that for the purposes of template C 09.03, under the sheet related to country A, the bank is required to report the amount of € 1,600 (i.e. (€ 10,000 / € 500,000) x € 80,000)?
Is the method above correct to calculate total own funds requirement for credit risk of relevant credit exposures by country or are there any guidelines issued by the EBA or found in the CRR?
Refer to example given in the question box.
In the sheet of template C 09.03 of Annex I to Regulation (EU) No 680/2014 (ITS on Supervisory Reporting) for a particular country, the amount of the own funds requirements calculated on the basis of the relevant credit exposures of that country shall be reported.
Based on the example above the own funds requirements reported in the sheet for country A are 10.000€.
The own funds requirements reported in C 09.03 are only one element of the institution specific countercyclical buffer rate, the calculation of which is described in Article 140 (1) of Directive 2013/36/EU (CRD).
* As of 25/10/2016, this answer was corrected.