Reciprocated foreign macroprudential measures

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. In principle, DNB also follows the ESRB with regard to the recommended level of consolidation. 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, the reciprocation of this measure will be 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 be published in the list below and become formally effective at the date specified for Dutch banks with relevant exposures to that jurisdiction.

List of currently effective macroprudential measures reciprocated by DNB

Belgian systemic risk buffer

In line with the recommendation of ESRB, DNB has decided to reciprocate the adjusted 6% systemic risk buffer (SyRB) rate on IRB retail exposures to natural persons secured by residential immovable property for which the collateral is located in Belgium and is therefore relevant for cross border servicing by banks in the Netherlands as well as for their branches located in Belgium. Following the ESRB’s recommendation, DNB applies the systemic risk buffer on an individual, sub-consolidated, and consolidated basis. In reciprocating this measure, DNB intends to prevent the materialization of negative cross-border effects in the form of leakages and regulatory arbitrage.

More details can be found in the respective Banking newsletter publication.

The feedback statement from the consultation can be found here.

The official Government Gazette (Staatscourant) publication can be found here.

German systemic risk buffer

In line with the recommendation of the ESRB, DNB has decided to reciprocate the activated 1% systemic risk buffer (SyRB) rate on all exposures (i.e. retail and non-retail exposures) to natural and legal persons that are secured by residential real estate located in Germany. Following the ESRB’s recommendation, DNB applies the systemic risk buffer on an individual, sub-consolidated, and consolidated basis. In reciprocating this measure, DNB intends to prevent the materialization of negative cross-border effects in the form of leakages and regulatory arbitrage.

More details can be found in the respective Banking newsletter publication.

The feedback statement from the consultation can be found here.

The official Government Gazette (Staatscourant) publication can be found here.

Norwegian systemic risk buffer

In line with the recommendation of ESRB, DNB has decided to reciprocate the extended 4.5% systemic risk buffer (SyRB) rate for exposures in Norway. The extended measure is subject to a lower materiality threshold compared to the initially introduced measure in 2021. Following the ESRB’s recommendation, DNB applies the systemic risk buffer on an individual, sub-consolidated, and consolidated basis. In reciprocating this measure, DNB intends to prevent the materialization of negative cross-border effects in the form of leakages and regulatory arbitrage.

More details can be found in the respective Banking newsletter publication.

The feedback statement from the consultation can be found here.

The official Government Gazette (Staatscourant) publication can be found here.

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.