Regulation on the Calculation of an Institution-Specific Countercyclical Capital Buffer Rate for Banks and Savings Banks

THIS TEXT IS UNOFFICIAL TRANSLATION AND MAY NOT BE USED AS A BASIS FOR SOLVING ANY DISPUTE 1 (unofficial consolidated text)  Official Gazette of the Republic of Slovenia, No. 73/15 of 30 September 2015 - original text (in force since 8 Avgust 2015, apply from 1 January 2016)  Official Gazette of the Republic of Slovenia, No. 42/16 of 17 June 2016 – additions (in force since 18 June 2016)  Official Gazzette of the Republic of Slovenia, No. 9/17 of 24 February 2017 – additions (in force since 25 February 2017)

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Pursuant to the fourth paragraph of Article 209 and Article 233 of the Banking Act (Official Gazette of the Republic of Slovenia, No. 25/15; hereinafter: the ZBan-2) and the first paragraph of Article 31 of the Bank of Slovenia Act (Official Gazette of the Republic of Slovenia, Nos. 72/06 [official consolidated version] and 59/11), the Governing Board of the Bank of Slovenia hereby issues the following REGULATION on the calculation of an institution-specific countercyclical capital buffer rate for banks and savings banks

1. GENERAL PROVISIONS Article 1 (content of the regulation) (1) This regulation prescribes in detail the rules for calculating an institution-specific countercyclical capital buffer rate for banks and savings banks (hereinafter: banks), as follows:

• the method for calculating an institution-specific countercyclical capital buffer rate and
• the method for applying a valid countercyclical buffer rate for a specific country and the start of its application. (2) Wherever this regulation refers to the provisions of other regulations, such provisions shall apply in their wording as valid at the time in question. Article 2 (transposition of directives) This regulation shall transpose Directive 2013/36/EU of the European Parliament and of the Council of 26 June 2013 on access to the activity of credit institutions and the prudential supervision of credit institutions and investment firms, amending Directive 2002/87/EC and repealing Directives 2006/48/EC and 2006/49/EC (OJ L 176 of 27 June 2013, p. 338) into the laws of the Republic of Slovenia. Article 3 (definition of terms) (1) The following abbreviated titles of EU regulations shall be used in this regulation: (a) Regulation (EU) No 575/2013 shall mean Regulation (EU) No 575/2013 of the European Parliament and of the Council of 26 June 2014 on prudential requirements for credit institutions and investment firms and amending Regulation (EU) No 648/2012 (OJ L 176 of 27 June 2013, p. 1);

THIS TEXT IS UNOFFICIAL TRANSLATION AND MAY NOT BE USED AS A BASIS FOR SOLVING ANY DISPUTE 2 (b) Delegated Commission Regulation (EU) No 1152/2014 shall mean Delegated Commission Regulation (EU) No 1152/2014 of 4 June 2014 supplementing Directive 2013/36/EU of the European Parliament and of the Council with regard to regulatory technical standards on the identification of the geographical location of the relevant credit exposures for calculating institution-specific countercyclical capital buffer rates (OJ L 309 of 30 October 2014, p. 5); and (c) Commission Implementing Regulation (EU) No 680/2014 shall mean Commission Implementing Regulation (EU) No 680/2014 of 16 April 2014 laying down implementing technical standards with regard to supervisory reporting of institutions according to Regulation (EU) No 575/2013 of the European Parliament and of the Council (OJ L 191 of 28 June 2014, p. 1), and Commission Implementing Regulation (EU) 2015/227 of 9 January 2015 amending Implementing Regulation (EU) No 680/2014 laying down implementing technical standards with regard to supervisory reporting of institutions according to Regulation (EU) No 575/2013 of the European Parliament and of the Council (OJ L 48 of 20 February 2015. p. 1). (2) The terms used in this regulation shall have the same meaning as in the ZBan-2 and Regulation (EU) No 575/2013, and the regulations issued on the basis thereof. (3) For the purpose of this regulation, the term “relevant credit exposures” shall mean a bank’s exposures in all exposure classes, except in the classes set out in points (a) to (f) of Article 112 of Regulation (EU) No 575/2013, which are the subject of: (a) the calculation of capital requirements for credit risk set out in Title II of Part 3 of Regulation (EU) No 575/2013, which include: (i) capital requirements for credit risk under the Standardised Approach in accordance with Articles 111 to 141 of Regulation (EU) No 575/2013, including the effects of credit risk mitigation techniques set out in Articles 192 to 241 of Regulation (EU) No 575/2013, (ii) capital requirements for credit risk under the Internal Ratings Based Approach in accordance with Articles 142 to 191 of Regulation (EU) No 575/2013, including the effects of credit risk mitigation techniques set out in Articles 192 to 241 of Regulation (EU) No 575/2013, and (iii) capital requirements for counterparty credit risk in accordance with Articles 271 to 311 of Regulation (EU) No 575/2013; (b) the calculation of capital requirements for the specific risk set out in Part 3, Title IV, Chapter 2 of Regulation (EU) No 575/2013 or for incremental default and migration risks set out in Part 3, Title IV, Chapter 5 of Regulation (EU) No 575/2013, whenever exposure derives from the trading book; and (c) the calculation of capital requirements set out in Part 3, Title II, Chapter 5 of Regulation (EU) No 575/2013, whenever exposure derives from securitisation. 2. METHOD FOR CALCULATING AN INSTITUTION-SPECIFIC COUNTERCYCLICAL CAPITAL BUFFER RATE Article 4 (definition of the geographic location of relevant credit exposures) Banks shall define the geographic location of their relevant credit exposures in accordance with Delegated Commission Regulation (EU) No 1152/2014 for the purpose of calculating an institution￾specific countercyclical capital buffer rate. Article 5 (calculation of an institution-specific countercyclical capital buffer rate)

THIS TEXT IS UNOFFICIAL TRANSLATION AND MAY NOT BE USED AS A BASIS FOR SOLVING ANY DISPUTE 3 (1) An institution-specific countercyclical capital buffer rate shall be the weighted average of valid countercyclical buffer rates that apply in countries in which the relevant credit exposures of the bank in question are located. (2) Banks shall calculate the weight used to calculate the weighted average of countercyclical buffer rates by dividing the capital requirements for credit risk calculated in accordance with Titles II and IV of Part 3 of Regulation (EU) No 575/2013 for their relevant credit exposures in individual countries by total capital requirements for credit risk for all of their relevant credit exposures. (3) Banks shall calculate the institution-specific countercyclical capital buffer rate by multiplying the individual weights referred to in the second paragraph of this article by the corresponding valid countercyclical buffer rates, as set out in Articles 6 and 7 of this regulation, for relevant credit exposures for individual countries, and by summing the weighted rates calculated as such by individual country. Article 6 (valid countercyclical buffer rate for a specific country) (1) For the purpose of calculating an institution-specific countercyclical capital buffer rate, banks shall apply the valid countercyclical buffer rate for a specific country, published on the Bank of Slovenia’s website, in accordance with the second to fourth paragraphs of this article. (2) The valid countercyclical buffer rate for relevant credit exposures in the Republic of Slovenia shall be the rate defined by the Bank of Slovenia in accordance with Article 210 of the ZBan-2. (3) The valid countercyclical buffer rate for relevant credit exposures in another Member State shall be: (a) the rate set by the designated authority of that Member State, if that rate does not exceed 2.5% of the total risk exposure amount; (b) the rate set by the designated authority of that Member State, if that rate exceeds 2.5% of the total risk exposure amount and was recognised by the Bank of Slovenia in accordance with the second paragraph of Article 213 of the ZBan-2; or (c) set at 2.5% of the total risk exposure amount, if the rate set by the designated authority of that Member State exceeds 2.5% of the total risk exposure amount and was not recognised by the Bank of Slovenia in accordance with the third paragraph of Article 213 of the ZBan-2. (4) The valid countercyclical buffer rate for relevant credit exposures in a third country shall be: (a) the rate set by the Bank of Slovenia for that third country in accordance with the first or second paragraph of Article 214 of the ZBan-2; (b) if the Bank of Slovenia did not set a countercyclical buffer rate for a third country: (i) the rate set by the designated authority of that third country, if that rate does not exceed 2.5% of the total risk exposure amount, (ii) the rate set by the designated authority of that third country, if that rate exceeds 2.5% of the total risk exposure amount and was recognised by the Bank of Slovenia in accordance with the second paragraph of Article 213 of the ZBan-2, or (iii) set at 2.5% of the total risk exposure amount, if the rate set by the designated authority of that third country exceeds 2.5% of the total risk exposure amount and was not recognised by the Bank of Slovenia in accordance with the third paragraph of Article 213 of the ZBan-2; (b) set at 0%, if the Bank of Slovenia or designated authority of the third country did not set a countercyclical buffer rate for that third country, or if there is no designated authority in the third country in question. Article 7

THIS TEXT IS UNOFFICIAL TRANSLATION AND MAY NOT BE USED AS A BASIS FOR SOLVING ANY DISPUTE 4 (start of application of the valid countercyclical buffer rate for a specific country) (1) The valid countercyclical buffer rate for a specific country, published on the Bank of Slovenia’s website, shall apply for the purpose of calculating an institution-specific countercyclical capital buffer rate from the date set by the Bank of Slovenia or by the designated authority of the Member State or third country in question in accordance with Articles 215, 216 and 217 of the ZBan-2. (2) Notwithstanding the first paragraph of this article, if a countercyclical buffer rate is set by the designated authority of a third country, the valid countercyclical buffer rate for relevant credit exposures in that third country shall apply 12 months after the date on which the designated authority of that third country published the change to the buffer rate. (5) Notwithstanding the provisions of the first and second paragraphs of this article, banks shall take immediate account of the reduction in the valid countercyclical capital buffer rate. 3. REPORTING Article 8 (reporting) (1) Banks shall report to the Bank of Slovenia with regard to the institution-specific countercyclical capital buffer rate calculated on an individual and consolidated basis using form PKB, which serves as an integral part of this regulation. (2) The deadline for the submission of the report referred to in the first paragraph of this article shall be the submission date for the quarterly reports set out in Article 3 of Commission Implementing Regulation (EU) No 680/2014. Banks shall submit their first report for the situation as at 31 March 2016. (3) The bank shall submit the report referred to in the first paragraph of this article in the form of an Excel file via the B2B system to the Countercyclical Capital Buffer (PKB) field by means of a certificate. The instructions for obtaining the certificate and for sending the file are available on the website at https://www.bsi.si/poročanje.asp?MapaId=1096. 4. FINAL PROVISION Article 9 (entry into force and application of this regulation) This regulation shall enter into force on the fifteenth day following its publication in the Official Gazette of the Republic of Slovenia, and shall begin to be applied on 1 January 2016. Ljubljana, 21 July 2015 Boštjan Jazbec

THIS TEXT IS UNOFFICIAL TRANSLATION AND MAY NOT BE USED AS A BASIS FOR SOLVING ANY DISPUTE 5 President of the Governing Board of the Bank of Slovenia

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The Regulation amending the Regulation on the calculation of an institution-specific countercyclical capital buffer rate for banks and savings banks (Official Gazette of the Republic of Slovenia, No. 42/16 of 17 June 2016) also includes the following transitional and final provision: "Article 3 The bank shall report in accordance with Article 1 of this regulation for the first time for the situation as at 30 June 2016. Article 4 This regulation shall enter into force on the day after its publication in the Official Gazette of the Republic of Slovenia.".

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The Regulation amending the Regulation on the calculation of an institution-specific countercyclical capital buffer rate for banks and savings banks (Official Gazette of the Republic of Slovenia, No. 9/17 of 24 February 2017) also includes the following final provision: "Article 3 This regulation shall enter into force on the day after its publication in the Official Gazette of the Republic of Slovenia.".

1 PKB form

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(bank or savings bank) INSTITUTION-SPECIFIC COUNTERCYCLICAL CAPITAL BUFFER RATE according to the situation as at ____________ Seq. no. Country Capital requirements for credit risk (in EUR thousand) Weight (in %) Valid countercyclical buffer rate (in %) Institution-specific countercyclical capital buffer rate (in %) 1 2 3 4 5 = 3 * 4 Total Date: Compiled by: Telephone no.: Responsible person:

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1 Enter the name of the country in which the bank has relevant credit exposures. 2 Enter the amount of capital requirements for credit risk for the relevant exposures in accordance with the third paragraph of Article 3 of this regulation by individual country. Individual capital requirements for credit risk are summed on the line “Total”. 3 Enter the weight calculated as the ratio of capital requirements for credit risk from column 2 for an individual country and total capital requirements for credit risk on the line “Total” and column 2. 4 Enter the valid countercyclical capital buffer rate for an individual country, obtained from the Bank of Slovenia’s website. 5 Enter the product of columns 3 and 4 for each individual country. Institution-specific countercyclical capital buffer rates are summed on the line “Total”. The bank does not complete shaded fields.