Question ID
2015_1759
Legal act
Regulation (EU) No 575/2013 (CRR)
Topic
Supervisory reporting - COREP (incl. IP Losses)
Article
99
COM Delegated or Implementing Acts/RTS/ITS/GLs/Recommendations
Regulation (EU) No 680/2014 - ITS on supervisory reporting of institutions (repealed)
Article/Paragraph
Annex I, C 06.01 / C 06.02, c410
Name of institution / submitter
Co-operative Bank
Country of incorporation / residence
United Kingdom
Type of submitter
Industry association
Subject matter
Group Solvency - Combined Buffer Requirements
Question

Annex II, Part 2, section 2.4, column 410 (combined buffer requirement) refers to CRD article 128.

The format of C 06.01 / C 06.02 suggests that column 410 includes column 440 (Conservation Buffer due to Macro-Prudential or Systemic Risk Identified at the Level of a Member State) given that the heading for column 410 embraces column 440.

However Article 128 CRD states:
'combined buffer requirement' means the total Common Equity Tier 1 capital required to meet the requirement for the capital conservation buffer extended by the following, as applicable:
(a) an institution-specific countercyclical capital buffer;
(b) a G-SII buffer;
(c) an O-SII buffer;
(d) a systemic risk buffer;

This does not include column 440 of C 06.01 / C 06.02, which is set through Article 458 CRR.

Clarification is hence sought as to whether
    (A) 410 = 420 + 430 + 450 + 460.
or (B) 410 = 420 + 430 + 440 + 450 + 460

Background on the question

Clarification for c410 of C 06.00

Submission date
Final publishing date
Final answer

According to Article 128 of Directive 2013/36/EU (CRD), the 'combined buffer requirement’ means the total Common Equity Tier 1 capital required to meet the requirement for the capital conservation buffer (Articles 128 and 129 CRD) – the level of which may be increased under Article 458 (2) lit. d (iv) of Regulation (EU) No 575/2013 (CRR) (column 440 of template C 06.01 / C 06.02) - extended by the following, as applicable:

  1. an institution-specific countercyclical capital buffer (column 430 of C 06.01 / C 06.02, Articles 128 (2), 130, 135 to 140 CRD);
  2. a G-SII buffer (column 470 of C 06.01 / C 06.02, Articles 128 (3), 131 CRD);
  3. an O-SII buffer (column 480 of C 06.01 / C 06.02, Articles 128 (4) and 131 CRD);
  4. a systemic risk buffer (column 450 of C 06.01 / C 06.02, Articles 128 (5), 133 and 134 CRD).

Column 440 of C 06.01 / C 06.02 must not be excluded from (i.e. has to be included in) the ‘combined buffer requirement’ due to the fact that it does not constitute a separate buffer requirement: Article 458 (2) lit. d (iv) CRR rather allows competent authorities to adjust the level of the capital conservation buffer under Article 129 CRD to mitigate the changes in the intensity of risk.

Column 460 is going to be deleted in a future version of the ITS on Supervisory Reporting, as such a buffer does not exist. Accordingly, it does not have to be included in column 410.

Hence, institutions shall take into account all applicable buffer requirements reported in columns 420 to 480 of C 06.01 / C 06.02 (disregarding column 460) to determine and report the combined buffer requirement in column 410 of C 06.01 / C 06.02.

The ‘combined buffer requirement’ (column 410) is:

  • column 420 + column 430 + column 440 + MAX [columns 450, 470 and 480 of C 06.01 / C 06.02] where Article 131 (14) CRD applies respectively
  • column 420 + column 430 + column 440 + column 450 + MAX [columns 470 and 480 of C 06.01 / C 06.02] where Article 131 (15) CRD applies.

The explanation above applies analogously to rows 740 – 810 of template C 04.00 of Annex I of the ITS on Supervisory Reporting.

Status
Final Q&A
Answer prepared by
Answer prepared by the EBA.

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