- Question ID:
- Legal Act:
- Directive 2013/36/EU (CRD)
- Other issues
- 130, 139, 139, 140
- 1, 2, 3, 1
- COM Delegated or Implementing Acts/RTS/ITS/GLs/Recommendations:
- Not applicable
- Disclose name of institution / entity:
- Name of institution / submitter:
- Swedish Bankers' Association
- Country of incorporation / residence:
- Type of submitter:
- Industry association
- Subject Matter:
- Calculation of institution-specific countercyclical capital buffer rates
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:
- Published as Final Q&A:
- Final 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 or are applied by virtue of Article 139(2) or (3) CRD.
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 calculated in accordance with Article 140 CRD on an individual and on a consolidated basis, as applicable in accordance with Title II, Part One of Regulation (EU) No 575/2013 (CRR).
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 of Regulation (EU) No 575/2013 (CRR) 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.
- Final Q&A
- Answer prepared by:
- Answer prepared by the EBA.
- Note to Q&A:
Update 26.03.2021: This Q&A has been updated in the light of the changes introduced to Directive 2013/36/EU (CRD).