Guidelines on the appropriate subsets of exposures in the application of the systemic risk buffer (EBA/GL/2020/13)

1. Compliance and reporting obligations

Status of these guidelines

Reporting requirements

2. Subject matter, scope and definitions

Subject matter

Scope of application

Addressees

Definitions

3. Implementation

Date of application

4. Criteria for the identification of subsets of sectoral exposures

5. Criteria for assessing the systemic relevance of the risks stemming from the subsets of sectoral exposures

6. Classification of dimensions and sub-dimensions

7. General principles when identifying a subset of sectoral exposures

40. Six examples can illustrate the application of the criteria for the identification of subsets of sectoral exposures set out in Section 4 of these guidelines. All the examples assume that the subset is systemically relevant according to Section 5 of these guidelines.

41. Example 1: assume a country, X, where the stock of consumer lending represents 25% of total loans. This share has been increasing rapidly in recent years (search-for-yield behaviour) mainly because of the low margins in secured loans and an easing in credit standards. When country X enters the downturn, the economic environment could trigger a strong increase in defaults/delinquencies in the consumer lending portfolios. In this case, the relevant authority could in the upturn apply a sectoral SyRB to the following subset:

1. Type of debtor or counterparty sector = Natural persons