EBA consults on guidelines on the appropriate subsets of exposures in the application of the systemic risk buffer

13 February 2020

These Guidelines aim at setting a common framework to harmonize the design of the appropriate subsets of sectoral exposures to which a systemic risk buffer may be applied, thus facilitating a common approach throughout the EU.

This consultation paper is setting pre-determined dimensions or components of exposures, which competent or designated authorities should use when defining a subset of sectoral exposures in the application of a systemic risk buffer.

A pre-condition when defining a subset of sectoral exposures is its systemic relevance according to a qualitative and quantitative assessment conducted by the relevant authority. The consultation paper recommends three criteria to be used in such assessments: size, riskiness and interconnection.

This consultation paper sets out general principles to ensure the right balance between addressing the systemic risk stemming from the identified subset of sectoral exposures and the unintended consequences when applying a sectoral systemic risk buffer (SyRB) to this subset.

In particular, relevant authorities should avoid unwarranted interactions with other macroprudential measures and consider reciprocity challenges that could arise when identifying an appropriate subset of sectoral exposures.   

Comments to this consultation can be sent to the EBA by 12 May 2020. The EBA will hold a public hearing on the draft Guidelines, which will take place at the EBA premises in Paris on 27 March 2020 from 10:30 to 12:30 Paris time.

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