Determining the TSCR, TSLRR, OCR and OLRR
Competent authorities should determine and express the TSCR in terms of CET1 Capital, Tier 1 Capital and Total Own Funds in accordance with table 14 below:
Table 14. Determination of TSCR in terms of CET1, T1 and total own funds
TSCR = (a) + (b) Component (a) Component (b) | |
In terms of CET1 Capital | Own funds requirement under P2R required to be held in CET1 Article 92(1)(a), of Regulation (EU) capital in accordance with Section No 575/2013 7.2 |
In terms of Tier 1 Capital | Own funds requirement under P2R required to be to be held in Tier Article 92(1)(b), of Regulation (EU) 1 capital in accordance with Section No 575/2013 7.2 |
In terms of Total Own Funds | Own funds requirement under Total P2R set in accordance with Article 92(1)(c), of Regulation (EU) Section 7.2 No 575/2013 |
Competent authorities should determine the TSLRR (in terms of Tier 1 capital) as the sum of:
the leverage ratio own funds requirement pursuant to Article 92(1), point (d), of Regulation (EU) No 575/2013;
the additional own funds required to address the risk of excessive leverage (determined in accordance with the criteria specified in section 7.3).
Where competent authorities require institutions to cover P2R-LR with a higher quality of capital in line with paragraph 331, they should determine the TSLRR (in terms of CET1) as the part of the additional own funds referred to in point b of the previous paragraph, that is required by the competent authority to be held in the form of CET1 capital.
Where considering the possibility of requiring a higher quality of capital, competent authorities should aim to avoid overlaps with other existing requirements within the relevant TREA-based or leverage ratio-based stack of requirements and with MREL.
Competent authorities should determine the OCR as the sum of:
Competent authorities should determine the OLRR as the sum of:
TSLRR;
G-SII leverage ratio buffer requirement in accordance with Article 92(1a), of Regulation (EU) No 575/2013.
Competent authorities should not consider items and instruments other than those eligible for the determination of own funds (as defined in Part Two of Regulation (EU) No 575/2013) in the assessment/calculation of the TSCR, TSLRR, OCR or OLRR.