Published: 2016-01-01
Key Benefits:
Passed 01.12.2015 Annex 9
This decree is established on the basis of subsection 8646 (9) of the Credit Institutions Act.
This Decree sets out the procedure for calculating the institution-specific countercyclical capital buffer rate for credit institutions and the procedure for recognising countercyclical capital buffer rate set by a public authority or body (hereinafter designated authority) responsible for setting the countercyclical capital buffer rate in a country of the European Economic Area (hereinafter EEA country) or a third country.
The Decree applies to all credit institutions that have been granted an authorisation in Estonia on a consolidated and non-consolidated basis.
(1) The institution-specific countercyclical capital buffer rate is the weighted average of the countercyclical capital buffer rates that apply in the jurisdictions where the relevant credit exposures of the institution are located.
(2) In calculating the weighted average of the countercyclical capital buffer rates, the credit institution uses as weights the own funds requirements for the relevant credit exposures in each geographical location, divided by its total own funds requirements for credit risk. The own funds requirements are determined in accordance with Part Three, Titles II and IV of Regulation (EU) No 575/2013 of the European Parliament and of the Council (hereinafter Capital Requirements Regulation).
(3) The relevant credit exposures specified in subsection (1) include all the exposure classes listed in Article 112 of the Capital Requirements Regulation except those referred to in points (a) to (f) of that Article. The credit exposures concerned are subject to:
1) the own funds requirements for credit risk under Part Three, Title II of the Capital Requirements Regulation;
2) where the exposure is held in the trading book, own funds requirements for specific risks under Part Three, Title IV, Chapter 2 of the Capital Requirements Regulation or incremental default and migration risks under Part Three, Title IV, Chapter 5 of the Capital Requirements Regulation;
3) where the exposure is a securitisation, the own funds requirements under Part Three, Title II, Chapter 5 of the Capital Requirements Regulation.
(4) The geographical location of credit exposures shall be identified in accordance with the European Commission Delegated Regulation (EU) No 1152/2014.
(5) The countercyclical capital buffer rate for credit exposures in Estonia to be used in calculation of the institution-specific countercyclical capital buffer rate specified in subsection (1) is either the countercyclical capital buffer rate set by Eesti Pank or that set by the European Central Bank under Article 5(2) of Council Regulation (EU) No 1024/2013, whichever is higher. For countercyclical capital buffer rates for credit exposures in EEA countries and third countries the credit institution shall apply provisions specified in sections 4 and 5 of this Decree.
(6) For the purpose of the calculation of the institution-specific countercyclical capital buffer rate the date of application of the countercyclical capital buffer rate is the date determined by Eesti Pank or the relevant designated authority of another country.
(1) If the designated authority of an EEA country has set a countercyclical buffer rate of up to 2.5% for credit exposures in its own jurisdiction, that rate shall be used in calculating the institution-specific countercyclical capital buffer rate by a credit institution that has relevant credit exposures in that country.
(2) If the designated authority of an EEA country has set a countercyclical buffer rate in excess of 2.5% for credit exposures in its own jurisdiction, the rate of 2.5% shall be used by a credit institution that has relevant credit exposures in that country, unless Eesti Pank has set a countercyclical capital buffer rate for credit exposures in that EEA country that is equal to the rate set by the designated authority of the EEA country, and has published that rate.
(1) If the designated authority of a third country has set a countercyclical buffer rate of up to 2.5% for credit exposures in its own jurisdiction, that rate shall be used in calculating the institution-specific countercyclical capital buffer rate by a credit institution that has relevant credit exposures in that country, unless Eesti Pank has set and published a higher countercyclical capital buffer rate for credit exposures in that third country.
(2) If the designated authority of a third country has set a countercyclical buffer rate in excess of 2.5% for credit exposures in its own jurisdiction, the rate of 2.5% shall be used by a credit institution that has relevant credit exposures in that country, unless Eesti Pank has set and published a different countercyclical capital buffer rate for credit exposures in that third country.
(3) If neither the designated authority of a third country nor Eesti Pank has set a countercyclical buffer rate for credit exposures in that country, the rate applicable for credit exposures in Estonia shall be used in calculating the institution-specific countercyclical capital buffer rate by a credit institution that has credit exposures in that country.
This Decree enters into force on 1 January 2016.
Ardo Hansson
Governor
