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Version status: In force | Document consolidation status: Updated to reflect all known changes
Version date: 29 December 2020 - onwards

Regulation 123C Calculation of systemic risk buffer

Institutions shall calculate the systemic risk buffer as follows:

where:

BSR is the systemic risk buffer;

rT is the buffer rate applicable to the total risk exposure amount of an institution;

ET is the total risk exposure amount of an institution calculated in accordance with Article 92(3) of the Capital Requirements Regulation;

i is the index denoting the subset of exposures as referred to in Regulation 123E;

ri is the buffer rate applicable to the risk exposure amount of the subset of exposures i;

Ei is the risk exposure amount of an Ei is the risk exposure amount of an institution for the subset of exposures i calculated in accordance with Article 92(3) of the Capital Requirements Regulation.