Entire Section

  • Countercyclical Capital Buffer Requirement

    • PIB 3.9A.2 PIB 3.9A.2

      An Authorised Firm must 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 Firm must 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 Firm has Non-Financial Private Sector Credit Exposures; and
      (c) "RWA" is the value of the Authorised Firm's Risk Weighted Assets.
      Derived from DFSA RM209/2017 (Made 25th October 2017). [VER30/01-18]

      • PIB 3.9A2 Guidance

        1. The CCyB Requirement applies to credit exposures of an Authorised Firm that 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 Firm will 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); and
        d. multiply the weighted average by the value of its Risk Weighted Assets.
        Derived from DFSA RM209/2017 (Made 25th October 2017). [VER30/01-18]

    • PIB 3.9A.3

      An Authorised Firm must 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 DFSA may impose on it under PIB chapter 10.
      Derived from DFSA RM209/2017 (Made 25th October 2017). [VER30/01-18]

    • PIB 3.9A.4

      The Countercyclical Capital Buffer Requirement applies on both a solo and a consolidated basis for Authorised Firms forming part of a Group.

      Derived from DFSA RM209/2017 (Made 25th October 2017). [VER30/01-18]