2015年-EBA欧洲银行管理局_EBA_report_on_the_range_of_practices_regarding_macroprudential_policy_measures_45页_1mb

EBA Report Summary: Macroprudential Policy Measures - July 2015

Core Content

This report, published by the European Banking Authority (EBA) in July 2015, provides an analysis of the implementation of macroprudential policy measures under the Capital Requirements Regulation (CRR) and Capital Requirements Directive (CRD IV) in the European Union and Norway. It focuses on the interaction between macroprudential and microprudential objectives and tools, and evaluates the practical application and implications of these measures.

Main Objectives

• To conduct a stock take of the range of macroprudential practices implemented by EU Member States and Norway under the CRR/CRD IV framework.
• To examine the interaction between macroprudential and microprudential instruments.
• To contribute to ongoing discussions on the macroprudential toolbox within the EU.
• To provide additional information for regulatory work by the EBA, ESRB, and European Commission.

Scope of the Report

The report covers the following macroprudential measures communicated to the EBA:

• Art. 124 CRR: Higher risk weights or stricter criteria for exposures secured by mortgages on immovable property.
• Art. 164 CRR: Higher minimum LGD for retail exposures secured by immovable property.
• Art. 458 CRR: Stricter national measures to address systemic risks, including adjustments to risk weights, capital conservation buffers, and liquidity requirements.
• Pillar 2 measures: Used for macroprudential purposes.
• G-SII and O-SII buffers: Setting or resetting buffers for global and other systemically important institutions.
• SRB (Systemic Risk Buffer): Setting or resetting SRB rates to prevent systemic or macroprudential risks.

The CCB (Countercyclical Capital Buffer) and capital conservation buffer are not covered in detail, as they are considered less relevant for the interaction between macroprudential and microprudential tools, or are not fully required to be notified.

Key Findings

1. Overview of Measures Implemented

• Over the first five quarters following the implementation of CRR/CRD IV (January 2014 to March 2015), 32 macroprudential measures were communicated by 14 EU countries and Norway.
• Approximately half (15) of these measures addressed real estate risks, while the other half (17) addressed systemic risks and systemically important institutions.
• The SRB and Art. 124 CRR were the most frequently used measures.
• Only one measure addressed LGDs, and one measure (in the UK) used Pillar 2 to set LTI limits.

2. Real Estate Risk Measures

Objective

• The primary objective of real estate risk measures is to address potential risks arising from mortgage lending and property-related exposures.
• Some measures are aimed at systemic risk (e.g., high mortgage volumes), while others focus on microprudential aspects (e.g., collateral quality, bank risk assessment).

Impact on Internal Models

• Most real estate measures affect standardised risk weights.
• Some countries (e.g., the UK, Sweden) applied stricter criteria for the application of standardised risk weights.
• In the case of the UK, Pillar 2 was used to set LTI limits, which had an impact on internal capital adequacy models.

Impact on Stress Testing

• The report notes that macroprudential measures and capital requirements from stress tests can lead to double counting of risks.
• This needs to be considered during the design of macroprudential tools and in the context of stress testing.

Governance

• The use of Pillar 2 for macroprudential purposes raises concerns about governance, including the interaction of different capital requirements and the possibility of reciprocation.
• The report suggests that the role of Pillar 2 in the macroprudential framework may need to be reconsidered due to these complexities.

Transparency

• There is significant variation in the level of detail provided in notifications.
• Some notifications focus on qualitative information or preservation of existing capital requirements, which may reduce transparency and comparability across the EU.

Reciprocation

• Reciprocation is required for Art. 124 and 164 CRR, but only three cases of voluntary reciprocation were reported.
• Belgium’s measure under Art. 458 CRR was reciprocated by the Netherlands.

Information in Notifications

• Most notifications include limited detail on the rationale behind the measures.
• There is a need for more guidance and standardisation in the information provided, especially regarding financial stability considerations.

3. Systemic Risk Measures (Excl. Real Estate) and SII

• These measures are less detailed in the report, as their usage is more varied and less focused.
• They include the use of SRB, G-SII and O-SII buffers, and other national measures.
• The report highlights the need for more clarity on the differentiation between macroprudential and microprudential objectives.

Conclusion

• The CRR/CRD IV framework allows for a wide range of macroprudential tools, but the interaction between macroprudential and microprudential objectives remains a challenge.
• The use of Pillar 2 for macroprudential purposes is particularly complex, with issues related to governance, transparency, and reciprocity.
• There is a need for greater harmonisation, standardisation of information, and improved coordination between macroprudential and microprudential authorities.
• The report also suggests that better central communication of all measures could enhance transparency and comparability for market participants.

Annex: Summary of Notifications

• The annex lists all 32 measures communicated to the EBA, including reciprocations.
• It also includes notifications on the CCB, which are not in the scope of the report.
• The ESRB regularly publishes a detailed overview of all macroprudential measures, including those not in the CRR/CRD scope.