The European Banking Authority (EBA) has published a report on macro-prudential policy measures across the EU. The objective of the report is not to give a detailed overview of the macro-prudential framework of the CRR/CRD IV but rather to take stock of the range of practices applied by Member States in relation to the provisions for macro-prudential policies set out in the CRR and CRD IV, focusing on the interaction of macro-prudential and micro-prudential objectives and tools.
The report makes a number of observations including:
- issues regarding the interaction of macro-prudential and micro-prudential tools at this stage mostly seem to concern measures addressing real estate risk;
- for many measures the objective, in particular regarding a clear differentiation of macro-prudential and micro-prudential objectives, is not entirely clear. At the same time different measures are used to address similar risks (for example risk weights for residential mortgages for Internal Ratings Based (IRB) banks were increased using article 164 and 458 CRR or Pillar 2);
- all measures affecting IRB risk weights can impact the use of IRB models for banks’ internal purposes, which should be carefully considered during the activation of macro-prudential tools;
- cross-border effects and reciprocity are not dealt with in great detail in many notifications and voluntary reciprocation was used only occasionally. In addition, more guidance could avoid an uneven playing field or spill over effects; and
- the information provided in notifications shows significant variation regarding the level of detail, and in some cases key information is not given. In particular, some notifications focus on qualitative information or the preservation of existing capital requirements. More guidance could be given in addition to the existing templates, and data constraints could be further analysed.
View EBA publishes report on macro-prudential policy measures, 21 July 2015