Decision of the European Systemic Risk Board of 11 December 2015 on the assessment of materiality of third countries for the Union’s banking system in relation to the recognition and setting of countercyclical buffer rates (ESRB/2015/3)

The Decision defines the ESRB’s procedures for assessing the materiality of third countries for the Union’s banking sector in relation to the recognition and setting of countercyclical buffer rates in accordance with Directive 2013/36/EU.

For the purposes of this Decision, the following definitions shall apply: (a) ‘countercyclical buffer rate’ has the same meaning as in Article 128(7) of Directive 2013/36/EU; (b) ‘exposure’ has the same meaning as in Article 5(1) of Regulation (EU) No 575/2013 of the European Parliament and of the Council ; (c) ‘monitoring/monitored by the ESRB Secretariat’ means the governance, maintenance and regular update of a set of indicators and quantitative tools by the ESRB Secretariat to signal potentially excessive credit growth in material third countries; (d) ‘third country’ has the same meaning as in point 1(g) of Section 2 of Recommendation ESRB/2015/1.

1 For the purposes of assessing which third countries are material for the Union’s banking sector and in accordance with Article 15 of Regulation (EU) No 1092/2010, the ESRB Secretariat shall request from the EBA aggregated supervisory data, as provided in Annex I to Implementing Regulation (EU) No 680/2014, collected by the EBA in accordance with Decision EBA/DC/2015/130.

2 In assessing whether a third country is material for the Union’s banking sector, the following metrics shall be considered: (a) risk-weighted exposure amounts; (b) original exposures; and (c) defaulted exposures.

3 In particular, on a quarterly basis, the following data points of the supervisory data referred to in paragraph 1 shall be collected by the ESRB for each relevant third country: (a) Template C 09.01: intersection of rows 070, 080, 090, 100, 110, 120, 130, 140, 150, 160, and columns 010, 020 and 080; and (b) Template C 09.02: intersection of rows 030, 060 and 140, and columns 010, 030 and 110.

4 The ESRB Secretariat shall liaise with the EBA as regards the submission of the data points referred to in paragraph 3, and in relation to possible future amendments to the reporting templates.

1 A third country shall be identified as material for the Union’s banking sector, and added to the list of material third countries in the following circumstances: (a) the arithmetic mean of exposures to the third country in the eight quarters preceding the reference date was at least 1 % for at least one of the metrics listed in Article 3(2); and (b) the exposures in each of the two quarters preceding the reference date were at least 1 % for at least one of the metrics listed in Article 3(2).

2 A country shall be deleted from the list of material third countries where: (a) the arithmetic mean of exposures to that country in the 12 quarters preceding the reference date was less than 1 % for all metrics listed in Article 3(2); and (b) the exposures in each of the two quarters preceding the reference date were less than 1 % for all the metrics listed in Article 3(2).

3 A third country that is identified as material for the Union’s banking sector on the basis of the criteria set out in paragraph 1 shall be monitored by the ESRB Secretariat.

4 The list of material third countries shall be revised annually by the ESRB Secretariat, which shall submit a proposal to the Advisory Technical Committee. This proposal shall be based on supervisory data collected for the 12 quarters preceding 31 December of the relevant calendar year. The proposal shall be submitted to the Advisory Technical Committee by 30 June of the relevant year. The Advisory Technical Committee may exercise its discretion and amend the proposal before submitting it to the General Board for approval, in particular in those cases where the ESRB has issued a recommendation in accordance with Article 138 of Directive 2013/36/EU and the third country subject to that recommendation should be deleted from the list of material third countries.

5 The General Board shall adopt a decision on amendments to the list of material third countries based on the proposal of the Advisory Technical Committee. Any amendments to the list of material third countries shall be published on the ESRB’s website.

1 The initial list of material third countries, compiled on the basis of reference data for the second quarter of 2014, comprises the Federative Republic of Brazil, the Hong Kong Special Administrative Region of the People’s Republic of China, the People’s Republic of China, the Republic of Turkey, the Russian Federation and the United States of America.

2 In the 2017 revision of the list of material third countries using supervisory data with a reference date of 31 December 2016, the criteria set out in Article 4(2) for deleting countries from the list shall not be used.

This Decision shall apply from 1 January 2016.