On 15 December 2015, the European Systemic Risk Board (ESRB) issued a Recommendation on the assessment of cross-border effects of and voluntary reciprocity for macroprudential policy (ESRB/2015/2). In line with this Recommendation ESRB/2015/2, as amended, DNB takes as a starting point that macroprudential measures adopted by designated or competent authorities of other countries will in principle be reciprocated, when these measures are recommended for reciprocation by the ESRB. Reciprocation of macroprudential measures addresses regulatory arbitrage and cross border leakages, by ensuring that the same or equivalent macroprudential measures apply to the same risks across the EU.
- Recommendation of the European Systemic Risk Board of 15 December 2015 on the assessment of cross-border effects of and voluntary reciprocity for macroprudential policy measures (ESRB/2015/2) – consolidated version
- ESRB-website on reciprocation
When DNB intends to follow a recommendation of the ESRB to reciprocate a national macroprudential measure, this measure will be notified on the list below. Next, the national macroprudential measure that is considered for reciprocation is subject to consultation by DNB, for a period of one month. This means that during this month, banks can raise possible issues with respect to the implementation and application of the measure. After this month, DNB will take a final decision on the reciprocation of the national macroprudential measure. If so, the foreign macroprudential measure will subsequently become formally effective for Dutch banks with relevant credit exposures in that jurisdiction. During the consultation period, responses can be sent to: email@example.com. Please specify the specific measure you respond to.
List of macroprudential measures reciprocated by DNB
Measures currently effective
A risk-weight increase for credit institutions using the internal-ratings based (IRB) approach to their residential mortgage loans exposures for which the collateral is located in Belgium. The measure consists of two elements. The first element is a variable add-on for IRB banks’ portfolio of retail exposures secured by immovable property situated in Belgium, which increases the risk weight of the portfolio with 33%. The second element is a flat macroprudential risk weight add-on of 5 percentage points for the same portfolio. An institution-specific threshold of EUR 2 billion applies. Consequently, Dutch credit institutions do not have to apply the add-on, if their exposures in scope of the measure are below this threshold.
Countercyclical Capital Buffer for exposures to other Member States and to third countries
A particular type of macroprudential measure is the countercyclical capital buffer (CCyB). The CCyB is special in that it applies automatically to exposures of foreign authorized banks in a Member State for which the CCyB has been set, up to a buffer rate of 2.5%. For buffer rates in excess of 2.5%, a framework for reciprocation is in place, under Article 137 of the CRD IV. The same applies to CCyB buffer rates below or in excess of 2.5% that are set by a relevant macroprudential authority in a third country. Starting point for DNB is to reciprocate CCyB buffer rates in excess of 2.5%, set by the relevant macroprudential authorities of other Member States and of third countries. The CCyB rates that are currently applicable, can be found on the ESRB and BIS websites respectively, via the links below.
The institution-specific CCyB, as referred to in Article 140 of the CRD IV, is calculated as the weighted average of the CCyB rates that apply in the jurisdictions where the relevant credit exposures of the bank are located. The geographic location of credit exposures is to be determined in accordance with the Commission Delegated Regulation (EU) No 1152/2014 of 4 June 2014 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 30.10.2014).The applicable CCyB rates are published by the European Systemic Risk Board (for EU member states) and the Bank for International Settlements (for Basel Committee member jurisdictions and a few non-member jurisdictions).
CCyB rates of Member States (source: ESRB)
CCyB rates of third countries (source: BIS)
In addition, under Article 139 of the CRD IV, DNB may set CCyB rates for a third country, or set a different CCyB rate for a third country, if DNB reasonably considers that the buffer rates set by the relevant third country authority are not sufficient to protect domestically authorized institutions (i.e. Dutch banks) appropriately from the risks of excessive credit growth in that third country. Such decisions by DNB can follow from ESRB recommendations or can be initiated by DNB itself. The ESRB monitors third countries that are relevant for the EU as a whole and DNB monitors third countries that are relevant from the Dutch perspective.
Decision of the European Systemic Risk Board of 11 December 2015 on the assessment of materiality of third countries for the Union’s banking system in relation to the recognition and setting of countercyclical buffer rates (ESRB/2015/3)