Adjustment of the recommendation issued after the fourth meeting of the Financial Stability Market Board regarding the activation of the systemic risk buffer (FMSG/4/2015)Fifth meeting, September 7, 2015
In its fourth meeting, on June 1, 2015, the FMSB had decided upon the recommendation to activate macroprudential capital buffers of up to a total of 3% to strengthen the Austrian banking sector. These buffers are to be applied in addition to the applicable supervisory SREP ratio.
Since this meeting, the Supervisory Board of the ECB has preliminarily determined the SREP ratios to be applied in 2016. These are markedly higher than the CET1 ratios on which the recommendation had been originally based. This is assumed to mitigate systemic risk as well. In light of this development, the FMSB recommends that the FMA limit the systemic risk buffer to 2% of risk-weighted assets.
Furthermore, to ensure a smooth implementation of the cumulated capital requirements in analogy with the Basel III phasing-in process, the FMSB recommends a longer and more gradual implementation horizon for building up the systemic risk buffer (SRB) and the buffer for other systemically important institutions (O-SII buffer) to banks that are directly supervised by the ECB. To facilitate operational implementation, systemic risk buffer requirements (and the transitional buffer ratios applied for the purpose of their gradual implementation) shall enter into force at the beginning of a calendar year. To avoid further delays, and since the burden on banks is mitigated through the phasing-in process (target buffer values are to be achieved gradually in progressive steps), the initial application of the systemic risk buffer is to be brought forward to January 1, 2016.
On this basis, the following systemic risk buffers shall apply:
|Applicable systemic risk buffer|
|% of risk weighted assets|
|Erste Group Bank||0.25%||0.50%||1.00%||2.00%|
|Raiffeisen Bank International||0.25%||0.50%||1.00%||2.00%|
|UniCredit Bank Austria||0.25%||0.50%||1.00%||2.00%|
|HYPO NOE Gruppe Bank||1.00%||1.00%||1.00%||1.00%|
|Vorarlberger Landes− und Hypothekenbank||1.00%||1.00%||1.00%||1.00%|
|Hypo Tirol Bank||1.00%||1.00%||1.00%||1.00%|
|Note: When both the systemic risk buffer (SRB) and the buffer for other systemically |
important institutions (O-SII buffer) might be applicable, the higher of the two shall apply.
1 SREP: Supervisory Review and Evaluation Process.
2 The final decision of the Supervisory Board/Governing Council of the ECB is expected for November 2015.
3 The risk buffers applicable to banks that are not directly supervised by the ECB do not need to be adjusted.