Macroprudential policy measures

This document provides an overview of the macroprudential policy measures that are being implemented in euro area countries as of 1 January 2019. An overview of all measures reported to the ECB under Article 5 of the SSM Regulation[1] is provided on the ECB’s website. The macroprudential policy measures are defined in the ECB’s web glossary for macroprudential policy and financial stability. Their aim is described in further detail in the first issue of the Macroprudential Bulletin.


1 Macroprudential policy measures – an overview

Table 1 provides an overview of the macroprudential policy measures in the euro area which apply on 1 January 2019.

Table 1

Macroprudential policy measures

(As of 1 January 2019)

Source: National notifications.
Notes: The figures only include information on supervised banks (e.g. excluding O-SII buffer requirements for CY investment firms). In some countries, certain financial institutions are designated O-SIIs, but no additional buffer requirement applies at this time. Small and medium-sized investment firms are exempted from the CCyB and/or the CCoB in Italy, Lithuania, Luxembourg, Malta and Slovakia. For Estonia and Slovakia, the SRB is applied only to domestic exposures, meaning that the buffer applies in addition to the O-SII or G-SII buffer, whichever is greater. The combined buffer requirement is calculated according to Art. 131 CRD IV but excludes mandatory or voluntary reciprocity of foreign macroprudential measures according to recommendation ESRB/2015/2. It consists of CET1 capital and comes in addition to a minimum requirement of 8% total capital (4.5% CET1 + 1.5% AT1 + 2% T2). Pillar 2 measures are not included. The minimum combined buffer requirement at country level corresponds to a bank not subject to any individual bank-level structural buffer (G-SII, O-SII, SRB). The acronyms used in the above figure and notes are as follows: combined buffer requirement (CBR); global systemically important institution (G-SII); other systemically important institution (O-SII); systemic risk buffer (SRB); countercyclical capital buffer (CCyB); and capital conservation buffer (CCoB).


2 Capital requirements at the country level

Figure 1 shows the minimum and the maximum combined buffer requirements (CBRs), as well as the banks affected by the maximum CBR. Whereas the minimum CBR (blue) is usually applicable to all banks in one country, taking into account the capital conservation buffer (CCoB) and the countercyclical capital buffer (CCyB), the maximum CBR (yellow) relates to financial institutions that are required to apply the other systemically important institution (O-SII), global systemically important institution (G-SII) or systemic risk buffer (SRB), whichever is greater.

Figure 1

Overview of combined buffer requirements

(left-hand scale: percentage of total risk exposure; right-hand scale: total number; measures apply as of 1/1/2019)

Source: National notifications.
Notes: The figures only include information on supervised banks (e.g. excluding O-SII buffer requirements for CY investment firms). In some countries, certain financial institutions are designated O-SIIs, but no additional buffer requirement applies at this time. Small and medium-sized investment firms are exempted from the CCyB and/or the CCoB in Italy, Lithuania, Luxembourg, Malta and Slovakia. For Estonia and Slovakia, the SRB is applied only to domestic exposures, meaning that the buffer applies in addition to the O-SII or G-SII buffer, whichever is greater. The combined buffer requirement is calculated according to Art. 131 CRD IV but excludes mandatory or voluntary reciprocity of foreign macroprudential measures according to recommendation ESRB/2015/2. It consists of CET1 capital and comes in addition to a minimum requirement of 8% total capital (4.5% CET1 + 1.5% AT1 + 2% T2). Pillar 2 measures are not included. The minimum combined buffer requirement at country level corresponds to a bank not subject to any individual bank-level structural buffer (G-SII, O-SII, SRB). The acronyms used in the above figure and notes are as follows: combined buffer requirement (CBR); global systemically important institution (G-SII); other systemically important institution (O-SII); systemic risk buffer (SRB); countercyclical capital buffer (CCyB); and capital conservation buffer (CCoB).


3 Changes to macroprudential policy measures since 22 August 2018

3.1 Countercyclical capital buffers

Majority of euro area countries

The national competent authorities of 14 euro area countries decided to maintain the countercyclical capital buffer (CCyB) rate at 0%. According to the most recent data, the relevant indicators for setting the CCyB rate in these countries do not suggest an increase in cyclical systemic risk and therefore do not signal the need for a deviation from the buffer guide of 0%.

The national competent authorities of four euro area countries decided to maintain the CCyB rate at the same positive levels they had previously announced (France: 0.25% as of 1 July 2019; Ireland: 1% as of 1 July 2019; Lithuania: 1% as of 30 June 2019; Slovakia: 1.5% as of 1 August 2019).

Luxembourg

In December 2018, the Commission de Surveillance du Secteur Financier (CSSF) decided to introduce a positive CCyB rate of 0.25%, which will come into effect on 1 January 2020. The CSSF and the Banque centrale du Luxembourg assessed that the current level of credit growth is unsustainable in the medium term and, therefore, represents a cyclical risk that should be addressed while vulnerabilities are still building up.

3.2 Additional capital requirements (O-SII, G-SII and SRB buffers)

Majority of euro area countries

The national competent authorities of the majority of euro area countries decided not to revise the existing plans for O-SII, G-SII and SRB buffers. According to the last annual review of the O-SII buffers, the majority of countries will maintain the same buffer rates and the same phasing-in plan for the same institutions.

Austria

In December 2018, the Austrian Financial Market Authority decided to maintain the planned O-SII buffers of 1% and 2% for six institutions and to introduce a 1% buffer rate for three further institutions. Two of the new systemically important institutions in Austria (Erste Bank der oesterreichischen Sparkassen AG and Volksbanken-Verbund) must have the buffer phased in by January 2020 and one (Raiffeisenlandesbank Niederösterreich-Wien AG) by January 2019.

Cyprus

The Central Bank of Cyprus decided in October 2018 to increase the scheduled O-SII buffers for two of its institutions and to no longer recognise one institution as systemically important. In total, the Central Bank of Cyprus designated five institutions (down from six) as O-SIIs. All five of these institutions were already included in last year’s list of O-SIIs, while the institution which was removed from the list was Cooperative Central Bank Ltd, which ceased operating on 31 August 2018. The buffer rate has been increased to 1.5% (from 1%) for Hellenic Bank Public Company Ltd and to 1% (from 0.5%) for Eurobank Cyprus Ltd, the level it will reach when it has been fully implemented in 2022.

Italy

In the context of the annual review of O-SII buffers, the Banca d’ Italia decided, in November 2018, that Gruppo Monte dei Paschi di Siena should no longer be identified as an O-SII given that it no longer satisfies the criteria of the EBA Guidelines. For the remaining three institutions that were classified as O-SIIs last year, the same buffer rates and phasing-in period continue to apply.

Latvia

In this year’s review of the O-SII buffers in Latvia, the Financial and Capital Market Commission (FCMC) decided that ABLV Bank AS will no longer be identified as an O-SII as its licence was withdrawn in July 2018. At the same time, the FCMC decided to reduce the buffer rates for two O-SIIs. In total, the FCMC designated five institutions (down from six) as O-SIIs. However, the O-SII requirements will no longer be applicable for one of these institutions (Luminor Bank AS), as it continues its operations as the Latvian branch of Luminor Bank AS, which has been licensed in Estonia since 2 January 2019. AS SEB banka and Akciju sabiedrība Rietumu Banka will have their buffer rates decreased by 0.25% on 30 June 2019 from the rates currently applied (2% and 1.5%).

Lithuania

In November 2018, Lietuvos bankas decided to designate the same four institutions as last year as O-SIIs with the same applicable buffer rates and phasing-in schedules. However, the O-SII requirements will no longer be applicable for one of these institutions (Luminor Bank AS), as it continues its operations as the Lithuanian branch of Luminor Bank AS, which has been licensed in Estonia since 2 January 2019.

Slovenia

In October 2018, Banka Slovenije decided to exclude Sberbank from its list of O-SIIs (bringing the total down from seven to six) and to raise the O-SII buffer for SID bank to 0.5% (from 0.25%) as of 1 January 2020. For the remainder of the O-SIIs, the same buffer rates and phasing-in periods continue to apply.

3.3 Other macroprudential measures

Slovenia

In October 2018, Banka Slovenije decided to extend the existing debt service-to-income (DSTI) recommendation to consumer loans and to add a recommendation on maturity limits for consumer loans. The extended recommendation entered into force with immediate effect after its publication on Banka Slovenije’s website on 5 November 2018. The highest recommended DSTI ratio for consumer loans (as for housing loans) is now as follows: (a) for borrowers with a monthly income of less than or equal to €1,700: 50%; and (b) for borrowers with a monthly income above €1,700: 50% for the portion of income up to €1,700 and 67% for the portion of income above €1,700. The highest recommended maturity for consumer loans is 120 months.