Countercyclical Capital Buffer Requirement
PIB 3.9A.2 PIB 3.9A.2
Authorised Firmmust maintain a Countercyclical Capital Buffer of CET1 Capital that is calculated using the formula:
CCyB = CCyB Rate x RWA
where:(a) "CCyB" is the Countercyclical Capital Buffer that the
Authorised Firmmust maintain;(b) "CCyB Rate" is the weighted average of Countercyclical Capital Buffer Rates, calculated in accordance with Rule 3.9A.5, that apply in jurisdictions in which the Authorised Firmhas Non-Financial Private Sector Credit Exposures; and(c) "RWA" is the value of the Authorised Firm'sRisk Weighted Assets.
PIB 3.9A2 Guidance1. The CCyB Requirement applies to credit exposures of an
Authorised Firmthat are 'Non-Financial Private Sector Risk Exposures'. PIB Rule 1.2.1 defines that expression to exclude credit exposures to other banks or to sovereigns, government bodies or agencies, or multilateral development banks.2. An Authorised Firmwill need to follow the following steps to calculate its CCyB Requirement:a. identify the jurisdictions in which it has Non-Financial Private Sector Credit Exposures (Rule 3.9A.6 sets out how to determine the location of an exposure);b. identify if a CCyB Rate applies in that jurisdiction and, if so, the date on which it takes effect (see Rules 3.9A.7 to 3.9A.9);c. determine the weighted average of CCyB Rates applying to it (see Rule 3.9A.5); andd. multiply the weighted average by the value of its Risk Weighted Assets.
Authorised Firmmust not apply CET1 Capital that it maintains to meet the Countercyclical Capital Buffer Requirement towards meeting:(a) its Risk Capital Requirement;(b) its Capital Conservation Buffer Requirement;(c) an HLA Capital Buffer Requirement; or(d) an Individual Capital Requirement that the DFSAmay impose on it under PIB chapter 10.
The Countercyclical Capital Buffer Requirement applies on both a solo and a consolidated basis for
Authorised Firmsforming part of a Group.