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Commission Delegated Regulation (EU) 2015/1555 of 28 May 2015 supplementing Regulation (EU) No 575/2013 of the European Parliament and of the Council with regard to regulatory technical standards for the disclosure of information in relation to the compliance of institutions with the requirement for a countercyclical capital buffer in accordance with Article 440 (Text with EEA relevance)

In forceVersion 2015-05-28from 2015-10-09
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Contents
  1. Preamble
    1. Article 1 Subject matter
    2. Article 2 Disclosure of the geographical distribution of credit exposures
    3. Article 3 Disclosure of the amount of institution specific countercyclical buffer
    4. Article 4 Entry into force and application
  3. ANNEX
  4. ANNEX I STANDARD FORMAT FOR DISCLOSURE OF INFORMATION IN RELATION TO THE COMPLIANCE OF INSTITUTIONS WITH THE REQUIREMENT FOR A COUNTERCYCLICAL CAPITAL BUFFER Table 1 Table 2 Geographical distribution of credit exposures relevant for the calculation of the countercyclical capital buffer Amount of institution-specific countercyclical capital buffer
  5. ANNEX II INSTRUCTIONS FOR DISCLOSURE STANDARD FORMATS
  6. PART I GENERAL INSTRUCTIONS
  7. Reference data (1)(2)(3)
  8. Reference data (1)
  9. PART II Table 1 INSTRUCTIONS FOR STANDARD FORMAT 1 Geographical distribution of credit exposures relevant for the calculation of the countercyclical capital buffer
  10. Breakdown of relevant credit exposures by country
  11. Total
  12. Exposure value of general credit exposures for SA
  13. Exposure value of general credit exposures for IRB
  14. Sum of long and short positions of trading book exposures
  15. Value of trading book exposures for internal models
  16. Exposure value of securitisation exposures for SA
  17. Exposure value of securitisation exposures for IRB
  18. Own funds requirements: general credit exposures
  19. Own funds requirements: trading book exposures
  20. Own funds requirements: securitisation exposures
  21. Own funds requirements — Total
  22. Own funds requirements weights
  23. Countercyclical capital buffer rate
  24. PART III Table 2 INSTRUCTIONS FOR STANDARD FORMAT 2 Amount of institution-specific countercyclical capital buffer
  25. Total risk exposure amount
  26. Institution-specific countercyclical capital buffer rate
  27. Institution-specific countercyclical capital buffer requirement

THE EUROPEAN COMMISSION,

Having regard to the Treaty on the Functioning of the European Union,

Having regard to Regulation (EU) No 575/2013 of the European Parliament and of the Council of 26 June 2013 on prudential requirements for credit institutions and investment firms and amending Regulation (EU) No 648/2012, and in particular Article 440(2) thereof,

Whereas:

(1) As set out in Article 130(1) of Directive 2013/36/EU of the European Parliament and of the Council, Member States are obliged to require institutions to maintain an institution-specific countercyclical capital buffer.

(2) With a view to ensuring transparency and comparability across institutions, Regulation (EU) No 575/2013 requires institutions to disclose the key elements of the calculation of their countercyclical capital buffer, comprising the geographical distribution of their relevant credit exposures and the final amount of their institution-specific countercyclical capital buffer.

(3) As set out in Article 130(1) of Directive 2013/36/EU, an institution-specific countercyclical buffer is calculated as the product of its total risk exposure amount in accordance with Article 92(3) of Regulation (EU) No 575/2013 and the institution-specific countercyclical buffer rate.

(4) As set out in Article 140(1) of Directive 2013/36/EU, an institution-specific countercyclical capital buffer rate consists of the weighted average of the countercyclical buffer rates that apply in the countries where the relevant credit exposures of the institution are located. The distribution by country of relevant credit exposures should be disclosed in a standard format, in accordance with the provisions laid down in Commission Delegated Regulation (EU) No 1152/2014. With a view to fulfilling the requirements of Article 440(1)(a) of Regulation (EU) No 575/2013 which does not set forth a minimum buffer rate, the geographical breakdown of relevant credit exposures should be disclosed even when the applicable countercyclical capital buffer rate for a country is zero.

(5) For the purpose of the calculation of the institution-specific countercyclical buffer amount, the weights applied to countercyclical buffer rates should be proportionate to the total own funds requirements for credit risk that relates to the relevant credit exposures in each Member State and third country jurisdiction where the institution holds exposures. Therefore, institutions should disclose own funds requirements for all relevant credit exposures.

(6) As set out in Article 433 of Regulation (EU) No 575/2013, institutions publish their disclosures in relation to countercyclical buffer requirements at least on an annual basis in conjunction with the date of publication of financial statements. As, in accordance with Article 136(7) of Directive 2013/36/EU, the countercyclical capital buffer rate is set by designated authorities on a quarterly basis, the disclosure of information on the compliance of institutions with the requirement for an institution-specific countercyclical capital buffer should refer to the information on the countercyclical capital buffer rate from the last available quarter. The disclosure of information in relation to the countercyclical capital buffer should be based on the countercyclical capital buffer rates that are applicable at the time of the computation of the institution-specific countercyclical capital buffer to which the disclosure relates.

(7) Pursuant to Article 6(1) in conjunction with Article 440(1) of Regulation (EU) No 575/2013, institutions should disclose the information relating to the countercyclical capital buffer on an individual basis. However, an institution which is either a parent undertaking or a subsidiary, and an institution included in the consolidation pursuant to Article 18 of Regulation (EU) No 575/2013 should not be required to comply with the disclosure requirements laid down in Part Eight of that Regulation on an individual basis as required in Article 6(3) of that Regulation. EU parent institutions and institutions controlled by an EU parent financial holding company or EU parent mixed financial holding company should disclose this information on a consolidated basis, while significant subsidiaries of EU parent institutions or EU parent financial holding company or EU parent mixed financial holding company and subsidiaries which are of material significance for their local markets should disclose this information on individual or sub-consolidated basis, as provided for in Article 13 of Regulation (EU) No 575/2013.

(8) The requirement to maintain an institution-specific countercyclical capital buffer set out in Article 130 of Directive 2013/36/EU will apply and be phased in from 1 January 2016 unless Member States impose a shorter transitional period pursuant to Article 160(6) of that Directive. In order to ensure that institutions have sufficient time to prepare for the disclosure of information, this Regulation should apply from 1 January 2016.

(9) This Regulation is based on the draft regulatory technical standards submitted by the European Supervisory Authority (European Banking Authority) to the European Commission.

(10) The European Banking Authority has conducted open public consultations on the draft regulatory technical standards on which this Regulation is based, analysed the potential related costs and benefits and requested the opinion of the Banking Stakeholder Group established in accordance with Article 37 of Regulation (EU) No 1093/2010 of the European Parliament and of the Council,

HAS ADOPTED THIS REGULATION:

Article 1 Subject matter

Pursuant to Article 440 of Regulation (EU) No 575/2013, this Regulation specifies the disclosure requirements for institutions in relation to their compliance with the requirement for a countercyclical capital buffer referred to in Chapter 4 of Title VII of Directive 2013/36/EU.

Article 2 Disclosure of the geographical distribution of credit exposures

The geographical distribution of an institution's credit exposures relevant for the calculation of countercyclical buffer referred to in Article 440(1)(a) of Regulation (EU) No 575/2013 shall be disclosed in the standard format as set out in Table 1 of Annex I in accordance with the instructions contained in Parts I and II of Annex II and with the provisions laid down in Delegated Regulation (EU) No 1152/2014.

Article 3 Disclosure of the amount of institution specific countercyclical buffer

The amount of an institution's specific countercyclical buffer referred to in Article 440(1)(b) of Regulation (EU) No 575/2013 shall be disclosed in the standard format as set out in Table 2 of Annex I in accordance with the instructions contained in Parts I and III of Annex II.

Article 4 Entry into force and application

This Regulation shall enter into force on the twentieth day following that of its publication in the Official Journal of the European Union. It shall apply from 1 January 2016.

This Regulation shall be binding in its entirety and directly applicable in all Member States. Done at Brussels, 28 May 2015. For the Commission The President Jean-Claude Juncker

ANNEX

Grp_format_for_disclosure_of_information_in_relation_to_the_compliance_of_institutions_with_the_requirement_for_a_countercyclical_capital_buffer_table_1_table. 2. Row General credit exposures Trading book exposure Securitisation exposure Own funds requirements Own funds requirement weights Countercyclical capital buffer rate Exposure value for SA Exposure value IRB Sum of long and short position of trading book Value of trading book exposure for internal models Exposure value for SA Exposure value for IRB Of which: General credit exposures Of which: Trading book exposures Of which: Securitisation exposures Total 010 020 030 040 050 060 070 080 090 100 110 120 010 Breakdown by country Country:001 002 … NNN 020 Row Column 010 010 Total risk exposure amount 020 Institution specific countercyclical buffer rate 030 Institution specific countercyclical buffer requirement

ANNEX I STANDARD FORMAT FOR DISCLOSURE OF INFORMATION IN RELATION TO THE COMPLIANCE OF INSTITUTIONS WITH THE REQUIREMENT FOR A COUNTERCYCLICAL CAPITAL BUFFER Table 1 Table 2 Geographical distribution of credit exposures relevant for the calculation of the countercyclical capital buffer Amount of institution-specific countercyclical capital buffer

Row General credit exposures Trading book exposure Securitisation exposure Own funds requirements Own funds requirement weights Countercyclical capital buffer rate Exposure value for SA Exposure value IRB Sum of long and short position of trading book Value of trading book exposure for internal models Exposure value for SA Exposure value for IRB Of which: General credit exposures Of which: Trading book exposures Of which: Securitisation exposures Total 010 020 030 040 050 060 070 080 090 100 110 120 010 Breakdown by country Country:001 002 … NNN 020 Row Column 010 010 Total risk exposure amount 020 Institution specific countercyclical buffer rate 030 Institution specific countercyclical buffer requirement

(a) Consolidated; (b) Individual; (c) Sub-consolidated. Grp_data. 1. Under the field Level of application institutions shall indicate the level of application that forms the basis for the data provided in Tables 1 and 2. When completing this field institutions shall select one of the following, in accordance with Article 6 and 13 of Regulation (EU) No 575/2013: For disclosure on an individual basis in accordance with Part One, Title II of Regulation (EU) No 575/2013, institutions shall complete Tables 1 and 2 of these Instructions on an individual basis in accordance with Part One, Title II, Chapter 1 of Regulation (EU) No 575/2013. For disclosure on a consolidated or sub-consolidated basis in accordance with Part One, Title II of Regulation (EU) No 575/2013, institutions shall complete Tables 1 and 2 of these Instructions based on a consolidated basis in accordance with Part One, Title II, Chapter 2 of Regulation (EU) No 575/2013. Grp. 1. The scope of Table 1 is limited to credit exposures relevant for the calculation of CCB in accordance with Article 140(4) of Directive 2013/36/EU. Grp_of_relevant_credit_exposures_by. country. List of countries in which the institution has credit exposures relevant for the calculation of the institution-specific countercyclical buffer in accordance with Delegated Regulation (EU) No 1152/2014. The number of rows may vary depending on the number of countries where the institution has its credit exposures relevant for the calculation of the countercyclical buffer. In accordance with Delegated Regulation (EU) No 1152/2014, if trading book exposures or foreign credit exposures of an institution represent less than 2 % of its aggregate risk weighted exposures, the institution may choose to allocate these exposures to the place of institution. If the exposures disclosed for the place of institution include exposures from other countries, these should be clearly identified in a note or footnote to the disclosure table. Grp. total. The value as described in accordance with the explanation for columns 010 to 120 of the current Table. Grp_value_of_general_credit_exposures_for. sa. Exposure value of relevant credit exposures defined in accordance with Article 140(4)(a) of Directive 2013/36/EU, determined in accordance with Article 111 of Regulation (EU) No 575/2013. Geographical breakdown is made in accordance with Delegated Regulation (EU) No 1152/2014. Row 020 (Total): The sum of all relevant credit exposures defined in accordance with Article 140(4)(a) of Directive 2013/36/EU, determined in accordance with Article 111 of Regulation (EU) No 575/2013. Grp_value_of_general_credit_exposures_for. irb. Exposure value of relevant credit exposures defined in accordance with Article 140(4)(a) of Directive 2013/36/EU, determined in accordance with Article 166 of Regulation (EU) No 575/2013. Geographical breakdown is made in accordance with EBA/RTS/2013/15. Row 020 (Total): The sum of all relevant credit exposures defined in accordance with Article 140(4)(a) of Directive 2013/36/EU, determined in accordance with Article 166 of Regulation (EU) No 575/2013. Grp_of_long_and_short_positions_of_trading_book. exposures. Sum of long and short positions of relevant credit exposures defined in accordance with Article 140(4)(b) of Directive 2013/36/EU, calculated as the sum of long and short positions determined in accordance with Article 327 of Regulation (EU) No 575/2013. Geographical breakdown is made in accordance with Delegated Regulation (EU) No 1152/2014. Row 020 (Total): The sum of all long and short positions of relevant credit exposures defined in accordance with Article 140(4)(b) of Directive 2013/36/EU, calculated as the sum of long and short positions determined in accordance with Article 327 of Regulation (EU) No 575/2013. (1) Fair value of cash positions, that represent relevant credit exposures as defined in Article 140(4)(b) of Directive 2013/36/EU, determined in accordance with Article 104 of Regulation (EU) No 575/2013. (2) Notional value of derivatives, that represent relevant credit exposures as defined in accordance with Article 140(4)(b) of Directive 2013/36/EU. Grp_of_trading_book_exposures_for_internal. models. Sum of the following: Geographical breakdown is made in accordance with Delegated Regulation (EU) No 1152/2014. Row 020 (Total): The sum of fair value of all cash positions, that represent relevant credit exposures as defined in Article 140(4)(b) of Directive 2013/36/EU, determined in accordance with Article 104 of Regulation (EU) No 575/2013, and notional value of all derivatives, that represent relevant credit exposures as defined in accordance with Article 140(4)(b) of Directive 2013/36/EU. Grp_value_of_securitisation_exposures_for. sa. Exposure value of relevant credit exposures defined in accordance with Article 140(4)(c) of Directive 2013/36/EU, determined in accordance with Article 246(1)(a) and (c) of Regulation (EU) No 575/2013. Geographical breakdown is made in accordance with Delegated Regulation (EU) No 1152/2014. Row 020 (Total): The sum of all relevant credit exposures defined in accordance with Article 140(4)(c) of Directive 2013/36/EU, determined in accordance with Article 246(1)(a) and (c) of Regulation (EU) No 575/2013. Grp_value_of_securitisation_exposures_for. irb. Exposure value of relevant credit exposures defined in accordance with Article 140(4)(c) of Directive 2013/36/EU, determined in accordance with Article 246(1)(b) and (d) of Regulation (EU) No 575/2013. Geographical breakdown is made in accordance with Delegated Regulation (EU) No 1152/2014. Row 020 (Total): The sum of all relevant credit exposures defined in accordance with Article 140(4)(c) of Directive 2013/36/EU, determined in accordance with Article 246(1)(b) and (d) of Regulation (EU) No 575/2013. Grp_funds_requirements_general_credit. exposures. Own funds requirements for relevant credit exposures in the country in question, defined in accordance to Article 140(4)(a) of Directive 2013/36/EU, determined in accordance with Part Three, Title II of Regulation (EU) No 575/2013. Row 020 (Total): The sum of all own funds requirements for relevant credit exposures, defined in accordance to Article 140(4)(a) of Directive 2013/36/EU, determined in accordance with Part Three, Title II of Regulation (EU) No 575/2013. Grp_funds_requirements_trading_book. exposures. Own funds requirements for relevant credit exposures in the country in question, defined in accordance to Article 140(4)(b) of Directive 2013/36/EU, determined in accordance with Part Three, Title IV, Chapter 2 of Regulation (EU) No 575/2013 for specific risk, or in accordance with Part Three, Title IV, Chapter 5 of Regulation (EU) No 575/2013 for incremental default and migration risk. Row 020 (Total): The sum of all own funds requirements for relevant credit exposures, defined in accordance to Article 140(4)(b) of Directive 2013/36/EU, determined in accordance with Part Three, Title IV, Chapter 2 of Regulation (EU) No 575/2013 for specific risk, or in accordance with Part Three, Title IV, Chapter 5 of Regulation (EU) No 575/2013 for incremental default and migration risk. Grp_funds_requirements_securitisation. exposures. Own funds requirements for relevant credit exposures in the country in question, defined in accordance to Article 140(4)(c) of Directive 2013/36/EU, determined in accordance with Part Three, Title II, Chapter 5 of Regulation (EU) No 575/2013. Row 020 (Total): The sum of all own funds requirements for relevant credit exposures, defined in accordance to Article 140(4)(c) of Directive 2013/36/EU, determined in accordance with Part Three, Title II, Chapter 5 of Regulation (EU) No 575/2013. Grp_funds_requirements. total. The sum of columns 070, 080 and 090. Row 020 (Total): The sum of all own funds requirements for relevant credit exposures, defined in accordance to Article 140(4) of Directive 2013/36/EU. Grp_funds_requirements. weights. The weight applied to the countercyclical buffer rate in each country, calculated as the total own funds requirements that relates to the relevant credit exposures in the country in question (row 01X, column 100), divided by the total own funds requirements that relates to all credit exposures relevant for the calculation of the countercyclical buffer in accordance with Article 140(4) of Directive 2013/36/EU (row 020, column 100). This value is disclosed as an absolute number with 2 decimal points. Grp_capital_buffer. rate. Countercyclical capital buffer rate applicable in the country in question, and set in accordance with Articles 136, 137, 138 and 139 of Directive 2013/36/EU. This column does not include countercyclical capital buffer rates that were set, but are not yet applicable at the time of computation of the institution-specific countercyclical capital buffer to which the disclosure relates. This value is disclosed as percentage with the same number of decimal points as set in accordance with Articles 136, 137, 138 and 139 of Directive 2013/36/EU. Grp_ii_table. 1. Legal references and instructions Row number Explanation 010-01X 020 Legal references and instructions Column number Explanation 010 020 030 040 050 060 070 080 090 100 110 120 Grp. 1. Institutions shall apply the instructions provided in this section in order to complete Table 2 Amount of institution-specific countercyclical capital buffer. Grp_risk_exposure. amount. Total risk exposure amount calculated in accordance with Article 92(3) of Regulation (EU) No 575/2013. Grp_countercyclical_capital_buffer. rate. Institution-specific countercyclical capital buffer rate, determined in accordance with Article 140(1) of Directive 2013/36/EU. The institution-specific countercyclical capital buffer rate is calculated as the weighted average of the countercyclical buffer rates that apply in the countries where the relevant credit exposures of the institution are located and reported in rows 010 to 01X of column 120 of Table 1. The weight applied to the countercyclical buffer rate in each country is the share of own funds requirements in total own funds requirements relating to relevant credit exposures in the territory in question, and is disclosed in Table 1 column 110. This value is disclosed as percentage with 2 decimal points. Grp_countercyclical_capital_buffer. requirement. Institution-specific countercyclical capital buffer requirement, calculated as the institution-specific countercyclical buffer rate, as reported in row 020 of this Table, applied to the total risk exposure amount as reported in row 010 of this Table. Grp_iii_table. 2. Legal references and instructions Row number Explanation 010 020 030 Legal references and instructions Column number Explanation 010 The value as described in accordance with the explanation for rows 010 to 030 of the current Table.

ANNEX II INSTRUCTIONS FOR DISCLOSURE STANDARD FORMATS

PART I GENERAL INSTRUCTIONS

Reference data (1)(2)(3)

Under the field Level of application institutions shall indicate the level of application that forms the basis for the data provided in Tables 1 and 2. When completing this field institutions shall select one of the following, in accordance with Article 6 and 13 of Regulation (EU) No 575/2013: For disclosure on an individual basis in accordance with Part One, Title II of Regulation (EU) No 575/2013, institutions shall complete Tables 1 and 2 of these Instructions on an individual basis in accordance with Part One, Title II, Chapter 1 of Regulation (EU) No 575/2013. For disclosure on a consolidated or sub-consolidated basis in accordance with Part One, Title II of Regulation (EU) No 575/2013, institutions shall complete Tables 1 and 2 of these Instructions based on a consolidated basis in accordance with Part One, Title II, Chapter 2 of Regulation (EU) No 575/2013. (a) Consolidated; (b) Individual; (c) Sub-consolidated.

Reference data (1)

(a) Consolidated;

(b) Individual;

(c) Sub-consolidated.

PART II Table 1 INSTRUCTIONS FOR STANDARD FORMAT 1 Geographical distribution of credit exposures relevant for the calculation of the countercyclical capital buffer

Legal references and instructions Row number Explanation 010-01X 020 Legal references and instructions Column number Explanation 010 020 030 040 050 060 070 080 090 100 110 120 Grp. 1. The scope of Table 1 is limited to credit exposures relevant for the calculation of CCB in accordance with Article 140(4) of Directive 2013/36/EU. Grp_of_relevant_credit_exposures_by. country. List of countries in which the institution has credit exposures relevant for the calculation of the institution-specific countercyclical buffer in accordance with Delegated Regulation (EU) No 1152/2014. The number of rows may vary depending on the number of countries where the institution has its credit exposures relevant for the calculation of the countercyclical buffer. In accordance with Delegated Regulation (EU) No 1152/2014, if trading book exposures or foreign credit exposures of an institution represent less than 2 % of its aggregate risk weighted exposures, the institution may choose to allocate these exposures to the place of institution. If the exposures disclosed for the place of institution include exposures from other countries, these should be clearly identified in a note or footnote to the disclosure table. Grp. total. The value as described in accordance with the explanation for columns 010 to 120 of the current Table. Grp_value_of_general_credit_exposures_for. sa. Exposure value of relevant credit exposures defined in accordance with Article 140(4)(a) of Directive 2013/36/EU, determined in accordance with Article 111 of Regulation (EU) No 575/2013. Geographical breakdown is made in accordance with Delegated Regulation (EU) No 1152/2014. Row 020 (Total): The sum of all relevant credit exposures defined in accordance with Article 140(4)(a) of Directive 2013/36/EU, determined in accordance with Article 111 of Regulation (EU) No 575/2013. Grp_value_of_general_credit_exposures_for. irb. Exposure value of relevant credit exposures defined in accordance with Article 140(4)(a) of Directive 2013/36/EU, determined in accordance with Article 166 of Regulation (EU) No 575/2013. Geographical breakdown is made in accordance with EBA/RTS/2013/15. Row 020 (Total): The sum of all relevant credit exposures defined in accordance with Article 140(4)(a) of Directive 2013/36/EU, determined in accordance with Article 166 of Regulation (EU) No 575/2013. Grp_of_long_and_short_positions_of_trading_book. exposures. Sum of long and short positions of relevant credit exposures defined in accordance with Article 140(4)(b) of Directive 2013/36/EU, calculated as the sum of long and short positions determined in accordance with Article 327 of Regulation (EU) No 575/2013. Geographical breakdown is made in accordance with Delegated Regulation (EU) No 1152/2014. Row 020 (Total): The sum of all long and short positions of relevant credit exposures defined in accordance with Article 140(4)(b) of Directive 2013/36/EU, calculated as the sum of long and short positions determined in accordance with Article 327 of Regulation (EU) No 575/2013. (1) Fair value of cash positions, that represent relevant credit exposures as defined in Article 140(4)(b) of Directive 2013/36/EU, determined in accordance with Article 104 of Regulation (EU) No 575/2013. (2) Notional value of derivatives, that represent relevant credit exposures as defined in accordance with Article 140(4)(b) of Directive 2013/36/EU. Grp_of_trading_book_exposures_for_internal. models. Sum of the following: Geographical breakdown is made in accordance with Delegated Regulation (EU) No 1152/2014. Row 020 (Total): The sum of fair value of all cash positions, that represent relevant credit exposures as defined in Article 140(4)(b) of Directive 2013/36/EU, determined in accordance with Article 104 of Regulation (EU) No 575/2013, and notional value of all derivatives, that represent relevant credit exposures as defined in accordance with Article 140(4)(b) of Directive 2013/36/EU. Grp_value_of_securitisation_exposures_for. sa. Exposure value of relevant credit exposures defined in accordance with Article 140(4)(c) of Directive 2013/36/EU, determined in accordance with Article 246(1)(a) and (c) of Regulation (EU) No 575/2013. Geographical breakdown is made in accordance with Delegated Regulation (EU) No 1152/2014. Row 020 (Total): The sum of all relevant credit exposures defined in accordance with Article 140(4)(c) of Directive 2013/36/EU, determined in accordance with Article 246(1)(a) and (c) of Regulation (EU) No 575/2013. Grp_value_of_securitisation_exposures_for. irb. Exposure value of relevant credit exposures defined in accordance with Article 140(4)(c) of Directive 2013/36/EU, determined in accordance with Article 246(1)(b) and (d) of Regulation (EU) No 575/2013. Geographical breakdown is made in accordance with Delegated Regulation (EU) No 1152/2014. Row 020 (Total): The sum of all relevant credit exposures defined in accordance with Article 140(4)(c) of Directive 2013/36/EU, determined in accordance with Article 246(1)(b) and (d) of Regulation (EU) No 575/2013. Grp_funds_requirements_general_credit. exposures. Own funds requirements for relevant credit exposures in the country in question, defined in accordance to Article 140(4)(a) of Directive 2013/36/EU, determined in accordance with Part Three, Title II of Regulation (EU) No 575/2013. Row 020 (Total): The sum of all own funds requirements for relevant credit exposures, defined in accordance to Article 140(4)(a) of Directive 2013/36/EU, determined in accordance with Part Three, Title II of Regulation (EU) No 575/2013. Grp_funds_requirements_trading_book. exposures. Own funds requirements for relevant credit exposures in the country in question, defined in accordance to Article 140(4)(b) of Directive 2013/36/EU, determined in accordance with Part Three, Title IV, Chapter 2 of Regulation (EU) No 575/2013 for specific risk, or in accordance with Part Three, Title IV, Chapter 5 of Regulation (EU) No 575/2013 for incremental default and migration risk. Row 020 (Total): The sum of all own funds requirements for relevant credit exposures, defined in accordance to Article 140(4)(b) of Directive 2013/36/EU, determined in accordance with Part Three, Title IV, Chapter 2 of Regulation (EU) No 575/2013 for specific risk, or in accordance with Part Three, Title IV, Chapter 5 of Regulation (EU) No 575/2013 for incremental default and migration risk. Grp_funds_requirements_securitisation. exposures. Own funds requirements for relevant credit exposures in the country in question, defined in accordance to Article 140(4)(c) of Directive 2013/36/EU, determined in accordance with Part Three, Title II, Chapter 5 of Regulation (EU) No 575/2013. Row 020 (Total): The sum of all own funds requirements for relevant credit exposures, defined in accordance to Article 140(4)(c) of Directive 2013/36/EU, determined in accordance with Part Three, Title II, Chapter 5 of Regulation (EU) No 575/2013. Grp_funds_requirements. total. The sum of columns 070, 080 and 090. Row 020 (Total): The sum of all own funds requirements for relevant credit exposures, defined in accordance to Article 140(4) of Directive 2013/36/EU. Grp_funds_requirements. weights. The weight applied to the countercyclical buffer rate in each country, calculated as the total own funds requirements that relates to the relevant credit exposures in the country in question (row 01X, column 100), divided by the total own funds requirements that relates to all credit exposures relevant for the calculation of the countercyclical buffer in accordance with Article 140(4) of Directive 2013/36/EU (row 020, column 100). This value is disclosed as an absolute number with 2 decimal points. Grp_capital_buffer. rate. Countercyclical capital buffer rate applicable in the country in question, and set in accordance with Articles 136, 137, 138 and 139 of Directive 2013/36/EU. This column does not include countercyclical capital buffer rates that were set, but are not yet applicable at the time of computation of the institution-specific countercyclical capital buffer to which the disclosure relates. This value is disclosed as percentage with the same number of decimal points as set in accordance with Articles 136, 137, 138 and 139 of Directive 2013/36/EU.

The scope of Table 1 is limited to credit exposures relevant for the calculation of CCB in accordance with Article 140(4) of Directive 2013/36/EU.

Breakdown of relevant credit exposures by country

List of countries in which the institution has credit exposures relevant for the calculation of the institution-specific countercyclical buffer in accordance with Delegated Regulation (EU) No 1152/2014. The number of rows may vary depending on the number of countries where the institution has its credit exposures relevant for the calculation of the countercyclical buffer. In accordance with Delegated Regulation (EU) No 1152/2014, if trading book exposures or foreign credit exposures of an institution represent less than 2 % of its aggregate risk weighted exposures, the institution may choose to allocate these exposures to the place of institution. If the exposures disclosed for the place of institution include exposures from other countries, these should be clearly identified in a note or footnote to the disclosure table.

Total

The value as described in accordance with the explanation for columns 010 to 120 of the current Table.

Exposure value of general credit exposures for SA

Exposure value of relevant credit exposures defined in accordance with Article 140(4)(a) of Directive 2013/36/EU, determined in accordance with Article 111 of Regulation (EU) No 575/2013. Geographical breakdown is made in accordance with Delegated Regulation (EU) No 1152/2014. Row 020 (Total): The sum of all relevant credit exposures defined in accordance with Article 140(4)(a) of Directive 2013/36/EU, determined in accordance with Article 111 of Regulation (EU) No 575/2013.

Exposure value of general credit exposures for IRB

Exposure value of relevant credit exposures defined in accordance with Article 140(4)(a) of Directive 2013/36/EU, determined in accordance with Article 166 of Regulation (EU) No 575/2013. Geographical breakdown is made in accordance with EBA/RTS/2013/15. Row 020 (Total): The sum of all relevant credit exposures defined in accordance with Article 140(4)(a) of Directive 2013/36/EU, determined in accordance with Article 166 of Regulation (EU) No 575/2013.

Sum of long and short positions of trading book exposures

Sum of long and short positions of relevant credit exposures defined in accordance with Article 140(4)(b) of Directive 2013/36/EU, calculated as the sum of long and short positions determined in accordance with Article 327 of Regulation (EU) No 575/2013. Geographical breakdown is made in accordance with Delegated Regulation (EU) No 1152/2014. Row 020 (Total): The sum of all long and short positions of relevant credit exposures defined in accordance with Article 140(4)(b) of Directive 2013/36/EU, calculated as the sum of long and short positions determined in accordance with Article 327 of Regulation (EU) No 575/2013.

Value of trading book exposures for internal models

Sum of the following: Geographical breakdown is made in accordance with Delegated Regulation (EU) No 1152/2014. Row 020 (Total): The sum of fair value of all cash positions, that represent relevant credit exposures as defined in Article 140(4)(b) of Directive 2013/36/EU, determined in accordance with Article 104 of Regulation (EU) No 575/2013, and notional value of all derivatives, that represent relevant credit exposures as defined in accordance with Article 140(4)(b) of Directive 2013/36/EU. (1) Fair value of cash positions, that represent relevant credit exposures as defined in Article 140(4)(b) of Directive 2013/36/EU, determined in accordance with Article 104 of Regulation (EU) No 575/2013. (2) Notional value of derivatives, that represent relevant credit exposures as defined in accordance with Article 140(4)(b) of Directive 2013/36/EU.

Fair value of cash positions, that represent relevant credit exposures as defined in Article 140(4)(b) of Directive 2013/36/EU, determined in accordance with Article 104 of Regulation (EU) No 575/2013.

Notional value of derivatives, that represent relevant credit exposures as defined in accordance with Article 140(4)(b) of Directive 2013/36/EU.

Exposure value of securitisation exposures for SA

Exposure value of relevant credit exposures defined in accordance with Article 140(4)(c) of Directive 2013/36/EU, determined in accordance with Article 246(1)(a) and (c) of Regulation (EU) No 575/2013. Geographical breakdown is made in accordance with Delegated Regulation (EU) No 1152/2014. Row 020 (Total): The sum of all relevant credit exposures defined in accordance with Article 140(4)(c) of Directive 2013/36/EU, determined in accordance with Article 246(1)(a) and (c) of Regulation (EU) No 575/2013.

Exposure value of securitisation exposures for IRB

Exposure value of relevant credit exposures defined in accordance with Article 140(4)(c) of Directive 2013/36/EU, determined in accordance with Article 246(1)(b) and (d) of Regulation (EU) No 575/2013. Geographical breakdown is made in accordance with Delegated Regulation (EU) No 1152/2014. Row 020 (Total): The sum of all relevant credit exposures defined in accordance with Article 140(4)(c) of Directive 2013/36/EU, determined in accordance with Article 246(1)(b) and (d) of Regulation (EU) No 575/2013.

Own funds requirements: general credit exposures

Own funds requirements for relevant credit exposures in the country in question, defined in accordance to Article 140(4)(a) of Directive 2013/36/EU, determined in accordance with Part Three, Title II of Regulation (EU) No 575/2013. Row 020 (Total): The sum of all own funds requirements for relevant credit exposures, defined in accordance to Article 140(4)(a) of Directive 2013/36/EU, determined in accordance with Part Three, Title II of Regulation (EU) No 575/2013.

Own funds requirements: trading book exposures

Own funds requirements for relevant credit exposures in the country in question, defined in accordance to Article 140(4)(b) of Directive 2013/36/EU, determined in accordance with Part Three, Title IV, Chapter 2 of Regulation (EU) No 575/2013 for specific risk, or in accordance with Part Three, Title IV, Chapter 5 of Regulation (EU) No 575/2013 for incremental default and migration risk. Row 020 (Total): The sum of all own funds requirements for relevant credit exposures, defined in accordance to Article 140(4)(b) of Directive 2013/36/EU, determined in accordance with Part Three, Title IV, Chapter 2 of Regulation (EU) No 575/2013 for specific risk, or in accordance with Part Three, Title IV, Chapter 5 of Regulation (EU) No 575/2013 for incremental default and migration risk.

Own funds requirements: securitisation exposures

Own funds requirements for relevant credit exposures in the country in question, defined in accordance to Article 140(4)(c) of Directive 2013/36/EU, determined in accordance with Part Three, Title II, Chapter 5 of Regulation (EU) No 575/2013. Row 020 (Total): The sum of all own funds requirements for relevant credit exposures, defined in accordance to Article 140(4)(c) of Directive 2013/36/EU, determined in accordance with Part Three, Title II, Chapter 5 of Regulation (EU) No 575/2013.

Own funds requirements — Total

The sum of columns 070, 080 and 090. Row 020 (Total): The sum of all own funds requirements for relevant credit exposures, defined in accordance to Article 140(4) of Directive 2013/36/EU.

Own funds requirements weights

The weight applied to the countercyclical buffer rate in each country, calculated as the total own funds requirements that relates to the relevant credit exposures in the country in question (row 01X, column 100), divided by the total own funds requirements that relates to all credit exposures relevant for the calculation of the countercyclical buffer in accordance with Article 140(4) of Directive 2013/36/EU (row 020, column 100). This value is disclosed as an absolute number with 2 decimal points.

Countercyclical capital buffer rate

Countercyclical capital buffer rate applicable in the country in question, and set in accordance with Articles 136, 137, 138 and 139 of Directive 2013/36/EU. This column does not include countercyclical capital buffer rates that were set, but are not yet applicable at the time of computation of the institution-specific countercyclical capital buffer to which the disclosure relates. This value is disclosed as percentage with the same number of decimal points as set in accordance with Articles 136, 137, 138 and 139 of Directive 2013/36/EU.

PART III Table 2 INSTRUCTIONS FOR STANDARD FORMAT 2 Amount of institution-specific countercyclical capital buffer

Legal references and instructions Row number Explanation 010 020 030 Legal references and instructions Column number Explanation 010 The value as described in accordance with the explanation for rows 010 to 030 of the current Table. Grp. 1. Institutions shall apply the instructions provided in this section in order to complete Table 2 Amount of institution-specific countercyclical capital buffer. Grp_risk_exposure. amount. Total risk exposure amount calculated in accordance with Article 92(3) of Regulation (EU) No 575/2013. Grp_countercyclical_capital_buffer. rate. Institution-specific countercyclical capital buffer rate, determined in accordance with Article 140(1) of Directive 2013/36/EU. The institution-specific countercyclical capital buffer rate is calculated as the weighted average of the countercyclical buffer rates that apply in the countries where the relevant credit exposures of the institution are located and reported in rows 010 to 01X of column 120 of Table 1. The weight applied to the countercyclical buffer rate in each country is the share of own funds requirements in total own funds requirements relating to relevant credit exposures in the territory in question, and is disclosed in Table 1 column 110. This value is disclosed as percentage with 2 decimal points. Grp_countercyclical_capital_buffer. requirement. Institution-specific countercyclical capital buffer requirement, calculated as the institution-specific countercyclical buffer rate, as reported in row 020 of this Table, applied to the total risk exposure amount as reported in row 010 of this Table.

Institutions shall apply the instructions provided in this section in order to complete Table 2 Amount of institution-specific countercyclical capital buffer.

Total risk exposure amount

Total risk exposure amount calculated in accordance with Article 92(3) of Regulation (EU) No 575/2013.

Institution-specific countercyclical capital buffer rate

Institution-specific countercyclical capital buffer rate, determined in accordance with Article 140(1) of Directive 2013/36/EU. The institution-specific countercyclical capital buffer rate is calculated as the weighted average of the countercyclical buffer rates that apply in the countries where the relevant credit exposures of the institution are located and reported in rows 010 to 01X of column 120 of Table 1. The weight applied to the countercyclical buffer rate in each country is the share of own funds requirements in total own funds requirements relating to relevant credit exposures in the territory in question, and is disclosed in Table 1 column 110. This value is disclosed as percentage with 2 decimal points.

Institution-specific countercyclical capital buffer requirement

Institution-specific countercyclical capital buffer requirement, calculated as the institution-specific countercyclical buffer rate, as reported in row 020 of this Table, applied to the total risk exposure amount as reported in row 010 of this Table.

Versions

  1. 2015-05-28

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