Notification template for notifying on Article 164 CRR
Template for notifying the EBA, ECB and ESRB on the setting of higher minimum values of exposure weighted average LGD values
Please send this template to
· when notifying the ESRB;
· when notifying the ECB;
· when notifying the EBA.
Emailing this template to the above-mentioned addresses constitutes an official notification, no further official letter is required. In order to facilitate the work of the notified authorities, please send the notification template in a format that allows electronically copying the information.
1. Notifying national authority1.1 Name of the notifying authority / If several designated authorities, please mention all of them.
2. Scope of the notification and description of the measure
2.1 Retail exposures secured by residential property / a) Do you intend to set higher minimum values for exposure weighted average LGD values for retail exposures secured by residential property?
b) If yes, which is the minimum LGD value for retail exposures secured by residential property?
2.2. Retail exposures secured by commercial immovable property / a) Do you intend to set higher minimum values of exposure weighted average LGD values for retail exposures secured by commercial immovable property?
b) If yes, which is the minimum LGD value for retail exposures secured by commercial immovable property?
2.3 Other relevant information / Any other relevant information (e.g. interaction with other supervisory measures, description of any other measures addressing the same risk).
3. Timing of the measure
3.1 Timing of the Decision / What is the date of the official decision? For SSM countries when notifying the ECB: provide the date when the decision referred to in Article 5 of the SSMR shall be taken.
3.2 Timing of the Publication / What is the date of publication of the notified measure?
3.3 Disclosure / Information about the communication strategy of the notified measure to the market.
3.4 Timing of the application / What is the intended date of activation (i.e. as of which date shall the measure be applicable)?
3.5 Frequency/review / - When did the Member State last change the minimum LGD values for exposures secured by mortgages on residential property? Which change has been applied?
- When did the Member State last change the minimum LGD values for exposures secured by mortgages on commercial immovable property? Which change has been applied?
- How long will the higher risk weights apply? When will the decision be reviewed?
4. Reason for setting higher minimum values of exposure weighted average LGD values
4.1 Regulatory context / - What were the minimum values for exposure weighted average LGD for residential and commercial immovable property before January 2014?
- Is the objective of setting higher minimum LGD values a continuation of the previous regulatory treatment of residential and commercial property exposures?
- Do you apply a similar measure in the context of real estate exposures under Article 124 CRR?
4.2 Risk weights versus actual risks / - Specify the reasons why the minimum LGD values for retail exposure secured by residential (10%) or commercial (15%) property segments do not reflect the actual risks related to these exposures and put your answers in perspective to the real estate markets of other European countries.
4.3 Motivation / a) Loss experience
- Give details about the loss experiences in the real estate market of the Member State that justify the setting of higher minimum LGD values.
- Which of the data mentioned in Article 101 CRR did you consider?
- Which other indicators have been taken into account?
b) Forward-looking real estate market developments
- Describe the forward-looking real estate market developments which justify the setting of higher minimum LGD values.
- Provide the indicators and other relevant information on the basis of which the assessment is made. If possible please provide the corresponding data (preferably an Excel-file).
c) Financial stability considerations
- Which are the financial stability considerations that were taken into account?
- Provide the indicators on the basis of which the assessment is made. If possible please provide the corresponding data (preferably an Excel-file).
5. Cross-border and cross-sector impact of the measure
5.1 Assessment of cross-border effects and the likely impact on the internal market
(Article 133(11)(d) of the CRDIV and Recommendation ESRB/2015/2) / Assessment of the cross-border effects of the implementation of the measure.
a. Assessment of the spillover channels operating via risk adjustment and regulatory arbitrage. The relevant indicators provided in Chapter11 of the ESRB Handbook on Operationalising Macro-prudential Policy in the Banking Sector[1] can be used.
b. Assessment of:
o cross-border effects (leakages and regulatory arbitrage) of the implementation of the measure in your own jurisdiction (inward spillovers); and
o cross-border effects on other Member States and on the Single Market of the measure (outward spillovers).
5.2 Assessment of leakages and regulatory arbitrage within the notifying Member State / Referring to your country's specific characteristics, what is the scope for "leakages and regulatory arbitrage" in your own jurisdiction (i.e., circumvention of the measure/leakages to other parts of the financial sector)?
6. Miscellaneous
6.1 Contact person(s) at notifying authority / Contact person(s) for further inquiries (name, phone number and e-mail address
6.2 Any other relevant information
2
[1] Available on the ESRB’s website at www.esrb.europa.eu.