COREP Template C 09.03 Countercyclical Capital Buffer
In compliance with COREP reporting on own funds and own funds requirements, relevant firms must submit the COREP template that reports their relevant credit exposures for each applicable jurisdiction.
COREP template C 09.03 is used for reporting the proportion of your firm’s exposures by jurisdiction. Template C 09.03 enables reporting firms to provide a Breakdown of total own funds requirements for credit risk of relevant credit exposures by country.
Whilst the other COREP templates in this series (C 09.01 and C 09.02 that cover Geographical breakdown of exposures by residence of the obligor) only have to be completed if more than ten percent of your original exposures are non-domestic, C 9.03 is not covered by this exemption and therefore must be reported upon. The de minimis exposure level for C09.03 can discussed in greater detail below.
COREP template C 9.03 Covers the Breakdown of total own funds requirements for credit risk of relevant credit exposures by country
What is exactly is reported upon COREP C 09.03?
There has previously been some confusion within the market in interpreting the technical standards for template C 09.03 with many wondering ‘What element of the institution specific Countercyclical Buffer’ should be reported? - i.e. whether the requirement is to report Risk Weighted Assets or Capital Requirement?
In response, the EBA confirmed on 26 January 2016 that the amount reported upon COREP template C 09.03 should be the own funds requirements for relevant credit exposures, trading book exposures and securitisation exposures in accordance with CRD and where own funds requirements (in compliance with CRR) and are to be reported by country.
Thus for COREP C 09.03 a separate sheet per country where the exposure is generated should be completed.
What is the de minimis exposure level for COREP C 09.03?
The own funds requirement for foreign exchange risk shall only be calculated if the firm’s overall net foreign-exchange position is greater than 2% of the firm’s own funds. Thus the de minimis foreign exchange risk exposure level is 2%.
Firms will only have to calculate their own funds requirement for FX risk if their overall net foreign exchange position exceeds 2%.
If you should require any assistance in completing your COREP reporting requirements, including template C 09.03, we would be happy to help, so please do get in touch.
COREP 09.03 is used for reporting the proportion of your firm’s exposures by jurisdiction.