Calculation of the Countercyclical Capital Buffer

Clarification  to EBA Q&A 2016_3050 and CRM techniques with substitution effects How do we have to consider CRM techniques with substitution effects on the exposure in the CCB?

Example 1: Exposure 1500 to SA Corporate (Risk weight 100%) secured by guarantee (500) with substitution effect SA Institutions (Risk weight 20%) Exposure value due to EBA Q&A 2016_3050 Final Answer No 1 must be shown in total in row 0010 (Standardised Approach)? With regard to EBA Q&A 2016_3050 Final Answer No 2, the question remains, if we also have to show the own funds requirements  of the substitution part although it is not a relevant exposure class for CCB calculation? Example 1 C09.04 r0010 c0010 Exposure value under the Standardised Approach C09.04 r0020 c0010 Exposure value under the IRB Approach C09.04 r0080 c0010 Own funds requirements: Relevant credit exposures – Credit risk Option 1 1000+500 - 1000*1*0,08 Option 2 1000+500 - (1000*1+500*0,2)*0,08   Example 2: Exposure 1500 to IRB Corporate (Risk weight 100%) secured by guarantee (500) with substitution effect to SA Institutions (Risk weight 20%) Exposure value due to EBA Q&A 2016_3050 Final Answer No 1 must be shown in total in the origin exposure class and approach (IRB, row 0020) or separate belonging after CRM substitution effect to the approach SA and IRB? With regard to EBA Q&A 2016_3050 Final Answer No 2, the question remains, if we also have to show the own funds requirements of the substitution part although it is not a relevant exposure class for CCB calculation?   C09.04 r0010 c0010 Exposure value under the Standardised Approach C09.04 r0020 c0010 Exposure value under the IRB Approach C09.04 r0080 c0010 Own funds requirements: Relevant credit exposures – Credit risk Option 1 500 1000 1000*1*0,08 Option 2 - 1000+500 (1000*1+500*0,2)*0,08