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30 September 2021 Supervision Supervision label Factsheet

In the Netherlands, DNB is the designated authority for reciprocating macroprudential measures adopted by other foreign competent or designated authorities. Reciprocation means that DNB voluntarily recognises exposure-based macroprudential measures adopted by another Member State and then applies those macroprudential measures to Dutch banks that have relevant exposures in that jurisdiction. Such cross-border exposures of Dutch banks can arise either through a branch or through the provision of direct cross-border services to the relevant foreign jurisdiction.

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, 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.

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 exposures to that jurisdiction.

List of currently effective macroprudential measures reciprocated by DNB

Belgium

A risk weight increase applies to the portfolio of mortgage loans secured by residential real estate located in Belgium, of Dutch credit institutions using the Internal Ratings Based (IRB) Approach. The reciprocated measure applies to the exposures of branches of Dutch credit institutions or direct cross-border exposures of Dutch credit institutions to Belgium. The measure has two components. The first component is an add-on of 33 per cent of the exposure-weighted average of the risk-weights applied to the portfolio of these retail exposures. The second component is a flat 5 percentage points add-on to the risk weight of the first component. An institution-specific materiality threshold of EUR 2 billion applies, whereby Dutch credit institutions are exempted from the measure if the exposures in scope of it are below EUR 2 billion.

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 V. 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 V, 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. 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).

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.

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  • Banks