CNB changes capital buffer mitigating risks associated with systemically important institutions

The CNB will newly mitigate risks associated with the systemic importance of financial institutions by setting the capital buffer for other systemically important institutions (hereinafter the “O-SII buffer”) instead of the currently used systemic risk capital buffer (hereinafter the “SRB buffer”). The CNB sets the O-SII buffer for five institutions in the range of 0.5%–2.5% of their total risk exposure. This change is based on the transposition of the CRD V directive into Czech law.

The CNB updates a list of O-SIIs on the basis of domestic institutions’ systemic importance scores at an annual frequency. Like several other national macroprudential authorities in Europe, it has so far covered the related risks using the SRB buffer. The CRD V no longer allows for this and only the O-SII buffer may now be used for these purposes. 

The CNB sets the O-SII buffer rate on the basis of institutions’ systemic importance scores. It then compares the rate with the statutory limit where the institution is owned by a foreign company designated as a domestic or global systemically important institution and sets the rate so that it complies with the limit. Supervisory assessments are then used to take account of the specifics of each institution with regard to the buffer rate.

Based on a review using data as of 2021 Q1, the CNB has set the following O-SII buffer rates valid from 1 October 2021:  2.5% for ČSOB, 2% for Česká spořitelna and Komerční banka, 1.5% for Unicredit Bank and 0.5% for Raiffeisenbank. For all institutions, the O-SII buffer rate is lower than the previously applied SRB buffer rate. Institutions are required to maintain the O-SII buffer consisting of common equity on a solo and consolidated basis as a percentage of their total risk exposure.

Markéta Fišerová
Director of the Communications Division and CNB Spokesperson