Prudential Regulation Authority Rulebook

3.2

This rule applies until 31 December 2015

1. (1) 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.
2. (2) In order to calculate the weighted average referred to in (1), 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 of its relevant credit exposures.
3. (3) For the purposes of (2), firm must calculate its total own funds requirement for credit risk, specific risk, incremental default and migration risk in accordance with Part Three, Titles II and IV of the CRR.
4. (4) The countercyclical buffer rate for an exposure is the rate recognised or set by the FPC for the jurisdiction in which that exposure is located.
5. (5) If the FPC does not recognise or set a rate for the jurisdiction in which an exposure is located, the countercyclical buffer rate for that exposure is zero.
6. (6) If the rate recognised or set by the FPC for a jurisdiction is increased, that increase takes effect from the date specified by the FPC.
7. (7) If a rate is reduced, that reduction takes effect immediately.

[Note: Art 160(6) (part) of the CRD]