IFPRU TP 8 Countercyclical capital buffer: transitional

1Application

8.1

R

IFPRU TP 8 applies to an IFPRU investment firm, unless it is an IFPRU limited licence firm or exempt IFPRU commodities firm.

Purpose

8.2

G

This section implements article 160(6) of CRD in relation to the countercyclical capital buffer. IFPRU TP 8 applies instead of IFPRU 10.3 and modifies IFPRU 10.4 and IFPRU 10.5 for the duration of the transitional.

Duration of transitional

8.3

R

IFPRU TP 8 applies until 31 December 2015.

Modified main requirement

8.4

R

A firm must calculate a countercyclical capital buffer of common equity tier 1 capital equal to its total risk exposure amount multiplied by the weighted average of the countercyclical buffer rates that apply in the jurisdictions where the firm's relevant credit exposures are located.

8.5

R

To calculate the weighted average referred to in IFPRU TP 8.4R, a firm must apply to each applicable countercyclical buffer rate its total own funds requirements for credit risk, specific risk, incremental default and migration risk that relates to the relevant credit exposures in the jurisdiction in question, divided by its total own funds requirements for credit risk that relates to all its relevant credit exposures.

8.6

R

For the purpose of IFPRU TP 8.5R, a firm must calculate its total own funds requirements for credit risk, specific risk, the incremental default and migration risk in line with Part Three, Titles II (Capital requirements for credit risk) and IV (Own funds requirements for market risk) of the EU CRR.

Modified calculation of countercyclical buffer rates

8.7

R

The countercyclical buffer rate for an exposure is the rate set by the UK countercyclical buffer authority for the jurisdiction in which that exposure is located.

8.8

R

If the UK countercyclical buffer authority does not set a rate for the jurisdiction in which an exposure is located, the countercyclical buffer rate for that exposure is zero.

8.9

R

If the rate for a jurisdiction is increased by the UK countercyclical buffer authority, that increase takes effect from the date specified by the UK countercyclical buffer authority.

8.10

R

If a rate is reduced, that reduction takes place immediately.

Modified combined buffer requirement

8.11

R

For the purposes of the following provisions, the expression "combined buffer" means the countercyclical capital buffer:

(1)

IFPRU 10.4 (Capital conservation measures); and

(2)

IFPRU 10.5 (Capital conservation plan).