March 20, 2019

ESRB published the Recommendation ESRB/2019/1, which amends Recommendation ESRB/2015/2 on the assessment of cross-border effects of, and voluntary reciprocity for, macro-prudential policy measures. To ensure effective and consistent national macro-prudential policy measures, it is important to complement the mandatory reciprocity required under Union law with voluntary reciprocity. The framework on voluntary reciprocity for macro-prudential policy measures set out in Recommendation ESRB/2015/2 aims to ensure that all exposure-based macro-prudential policy measures activated in one member state are reciprocated in the other member states.

In April 2018, in accordance with Article 133(10)(b) of Capital Requirements Directive (CRD IV: Directive 2013/36/EU), Bank of Estonia reviewed the systemic risk buffer and reset the systemic risk buffer rate applicable to the domestic exposures of all credit institutions authorized in Estonia at 1%. Following the request by Bank of Estonia to ESRB, the General Board of ESRB has decided to recommend a maximum materiality threshold of EUR 250 million of exposures located in Estonia to steer the application of the de minimis principle by the reciprocating member state to the reciprocation of the 1% systemic risk buffer set by Estonia, which was recommended for reciprocation by ESRB pursuant to Recommendation ESRB/2016/4.

Furthermore, from December 31, 2018, credit institutions authorized in Sweden and using the Internal Ratings Based Approach for calculating regulatory capital requirements are subject to a credit institution-specific floor of 25% for the exposure-weighted average of the risk-weights applied to the portfolio of retail exposures to obligors residing in Sweden secured by immovable property. Following the request by Financial Supervisory Authority in Sweden (Finansinspektionen) to ESRB, the General Board of ESRB has decided to include this measure in the list of macro-prudential policy measures that are recommended to be reciprocated under Recommendation ESRB/2015/2. The General Board of ESRB has also decided to recommend a maximum materiality threshold of SEK 5 billion of exposures to obligors residing in Sweden secured by immovable property to steer the application of the de minimis principle by the reciprocating member state. Therefore, Recommendation ESRB/2015/2 has been amended as follows:

  • In Section 1, sub-recommendation C(1) has been replaced.
  • Annex to Recommendation ESRB/2015/2 has been replaced by Annex to Recommendation ESRB/2019/1.

 

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Keywords: Europe, EU, Sweden, Estonia, Banking, Macro-Prudential Policy Measures, ESRB/2019/1, ESRB/2015/2, Voluntary Reciprocity, Systemic Risk Buffer, CRD IV, ESRB