Summary of intermediate objectives and macroprudential instruments and evolution of specific risks
The CNB sets macroprudential policy instruments based on an assessment of the intensity of systemic risks. In accordance with the ESRB recommendation, it focuses on the fulfillment of intermediate objectives that reflect the existence of various sources of systemic risk and their own transmission mechanisms.
Intermediate objectives:
- Mitigate excessive credit growth, financial leverage and strengthen banking sector resilience
- Limit structural systemic risks and strengthen banking sector resilience
- Mitigate excessive maturity mismatch and illiquidity
- Limit the risks associated with the concentration of exposures
- Limit the risks associated with misaligned incentives
- Strengthen the resilience of financial infrastructures
| Intermediate objectives | Specific risk | Existence of specific risk in CZ | Key instruments | Applied in CZ |
|---|---|---|---|---|
| Mitigate excessive credit growth, financial leverage and strengthen banking sector resilience | Strong credit recovery accompanied by easing of lending standards | Yes | Countercyclical capital buffer | Yes, since 2015 |
| Rising leverage, rising off-balance sheet risk | Potential | Macroprudential leverage ratio | No | |
| Low risk weights of significant credit portfolios | Potential | Macroprudential tool for setting risk weights or the LGD parameter (Articles 124, 164 and 458 CRR) | No | |
| Elevated growth in risks in specific sector | Potential | Sectoral systemic risk buffer | No | |
Elevated growth in risks in housing loan market |
Yes | LTV upper limit | Yes, since 2015 | |
| Risk of excessive household indebtedness and debt service | Yes | Upper limit of DTI and DSTI | Yes, since 2018 | |
| Limit structural systemic risks and strengthen banking sector resilience | Structure of the economy and financial system, including cross-sectional risks (climate, cyber, etc.) | Yes | General systemic risk buffer | No |
| Sectoral systemic risk buffer | No | |||
| Macroprudential instruments for limiting systemic risk identified at the level of a Member State (Art. 458 CRR) | No | |||
| Mitigate excessive maturity mismatch and illiquidity | Long-term liquidity risk | Potential | Macroprudential NSFR | No |
| Short-term liquidity risk | No | Macroprudential LCR | No | |
| Limit the risks associated with the concentration of exposures | Property exposure concentration | Potential | Sectoral systemic risk buffer | No |
| Sovereign exposure concentration | Yes | Public finance stress test (Pillar 2) | Yes, option of additional capital requirements, since 2015 | |
| Limit the risks associated with misaligned incentives | Risk of transmission of problems of SIFIs on financial market stability and real economy | Yes | SIFI capital surcharges (G-SII and O-SII buffer) |
Yes, O-SII buffer rate since 2021 |
| Strengthen the resilience of financial infrastructures | Counterparty default risk, interconnectedness of financial infrastructures | No | Margin and haircut requirements on CCP clearing | No |
| Increased disclosure | No | |||
| Sectoral systemic risk buffer | No |
Source: CNB
Note: The classification of intermediate objectives and instruments is based on Recommendation of the ESRB of 4 April 2013 on intermediate objectives and instruments of macro-prudential policy (ESRB/2013/1).