1 2021 IMF Macroprudential Policy Survey Compilation Guide1 This

International Monetary Fund | 2021 1

2021 IMF Macroprudential Policy Survey Compilation Guide

This survey captures information on the institutional aspects of

macroprudential frameworks (Section I) and the use of policy instruments in

pursuing macroprudential objectives (Sections II – VIII). Additional

information on the instruments referred to here can be found in the

IMF Staff

Guidance Note on Macroprudential Policy – Detailed Guidance on

Instruments. For additional coverage of institutional aspects please refer to

IMF 2013 and IMF-FSB-BIS 2016.

Institutional

Aspects of

Macroprudential

framework

I.A.

Designated

macroprudential

authority

This section captures information on who (which agency or agencies,

committee, or council) is mandated (for example, by law or decree) to conduct

macroprudential policy and to take macroprudential policy decisions. In some

instances, one single authority may be mandated with overarching

responsibility for macroprudential policy over all sectors, whereas in others

macroprudential policy decisions are being made by more than one

agency/institution. For instance, different agencies may be responsible for

macroprudential policy for different sectors of the economy (for example the

central bank for banks, insurance supervisors for insurance companies, etc.) or

may otherwise be responsible for different types of decision pertaining to

macroprudential policy. For i

nstance, a council may take the decision to make

a recommendation to regulatory authority, with that authority then deciding to

follow the recommendation and to issue the required regulation. In such cases

the information should be reported in the relevant sub-sections (I.A.1. through

I.A.5.) and it should explain the roles of each agency. Regardless, in each case

the information provided should identify who (for example, Governor) or

which body (for example, Central Bank Board) within each agency has the

ultimate authority to issue macroprudential policy regulations.

I.A.1.

Central bank

A macroprudential mandate is assigned to the central bank, with its Board or

Governor making macroprudential decisions.

I.A.2.

Committee within

the central bank

A macroprudential mandate is assigned to a dedicated committee within the

central bank structure. In this case it is not the Governor or the Central Bank

Board that conducts macroprudential policy but a dedicated committee within

the central bank with decision making powers (akin to a monetary policy

committee which sets interest rates).

I.A.3.

Committee outside

the central bank

A macroprudential mandate is assigned to an interagency committee or

council outside the central bank, with the central bank participating in this

committee.

I.A.4.

Supervisory

agency (other than

the central bank)

A macroprudential mandate is assigned to a supervisory agency other than the

central bank. In general, these would be agencies (other than the central bank)

that supervise bank and nonbank financial sectors.

I.A.5.

Other

The macroprudential mandate is organized in a manner different from the four

options above (for example, the Ministry of Finance).

Specific references to the underlying legal materials and hyperlinks to the legal texts are included in a separate column (References

to legal instruments and hyperlinks) at each category level in each section of the country chapters.

International Monetary Fund | 2021

I.B.

Macroprudential

authority’s powers

This section captures information on the range and strength of the powers

assigned to the macroprudential authority. If there is more than one

macroprudential authority, please describe the relevant decision-making

powers for each authority.

I.B.1.

Hard powers

Hard (or direct) powers that give the policymaker (macroprudential authority)

direct control over macroprudential instruments. Please include information

on the scope of hard powers, including in the event that more than one

agency/authority has such hard powers.

I.B.2.

Semi-hard powers

Semi-hard powers enabling the policymaker to make formal recommendations

to other agencies, coupled with a “comply or explain” mechanism.

I.B.3.

Soft powers

Soft powers enabling the policymaker to express an opinion or make a

recommendation that is not subject to “comply or explain” mechanism.

I.C.

Interagency

coordination

mechanism

There is an additional interagency coordination body that complements the

role of the primary macroprudential authority. For example, if the central bank

has the mandate over banks, an interagency council may deliberate actions to

be taken concerning the nonbank financial system.

II - VIII

Macroprudential

Tools

The survey aims to capture (all and only those) measures that are taken with

the objective of containing systemic risk, in line with the definition of

macroprudential policy as “the use of primarily prudential tools to limit

systemic risk” (see further IMF 2013 and IMF-FSB-BIS 2016). Such

measures should include those designed to mitigate macro-financial feedback

effects, including when this is achieved through the relaxation of existing

constraints. Measures taken solely to achieve monetary policy (price stability)

objectives or microprudential (consumer protection) purposes should not be

reported. In addition to information on measures adopted in the country,

information should also be provided on measures that apply in the country by

virtue of a supranational regulation or directive.

II.

Broad-Based Tools

Applied to the

Banking Sector

Tools applied to all exposures to address broad-based credit growth or to

achieve resilience to a broad range of shocks.

II.A.

Countercyclical

capital buffer

II.A.1.

Countercyclical

capital buffer

framework

Implementation of the countercyclical capital buffer framework established

under Basel III (see https://www.bis.org/bcbs/ccyb/).

II.A.2.

Positive

countercyclical

capital buffer rate

A positive buffer rate under the countercyclical capital buffer framework

established under Basel III (see https://www.bis.org/bcbs/ccyb/).

II.B.

Capital

conservation buffer

A requirement for banks to maintain a capital conservation buffer as

established under Basel III (see

http://www.bis.org/bcbs/basel3/b3summarytable.pdf).

II.C.

Limit on leverage

ratio

A limit on leverage calculated by dividing a measure of capital by the bank’s

non-risk-weighted on- and off-balance-sheet exposures (see

http://www.bis.org/publ/bcbs270.pdf).

II.D.

Forward-looking

loan loss

provisioning

requirement

Forward-looking or dynamic provisioning based on expected losses rather

than on “incurred losses”: (1) through-the-cycle accumulation systems; (2)

trigger-based surcharge systems; (3) expected loss provisioning systems, such

as the IFRS 9 Financial Instruments standard (

https://www.ifrs.org/issued-

standards/list-of-standards/ifrs-9-financial-instruments/); and (4) hybrid

systems (see http://www.bis.org/publ/bcbs164.pdf; IMF Staff Guidance Note

on Macroprudential Policy – Detailed Guidance on Instruments).

International Monetary Fund | 2021 3

II.E.

Cap on credit

growth

A cap on the volume of aggregate credit or a ceiling on the (quarterly or

annual) rate of growth of credit.

II.F.

Other broad-based

measures to

increase resilience

or address risks

from broad-based

credit booms.

Other measures not captured in II.A. to II.E. above.

III.

Household Sector

Tools

Tools applied to exposures to address vulnerabilities arising from excessive

credit to the household sector.

III.A.

Household sector

capital

requirements

Capital requirements targeted at bank exposures to the household sector or to

certain types of loans to the household sector, such as higher risk weights

(such as a risk-weight floor or loss-given-default floor) or additional capital

requirements, including a sectoral CCyB.

III.B.

Cap on credit

growth to the

household sector

A cap on the volume of credit or a ceiling on the rate of growth of credit to the

household sector.

III.C.

Loan restrictions or

Borrower eligibility

criteria

Tools that target loan terms or restrict the loan eligibility of household

borrowers.

III.C.1.

Cap on loan-to-

value ratio

A cap on the loan-to-value ratio of a secured loan relative to the appraised or

transaction value of the property (generally applied to mortgages but also

applicable to other secured loans, such as for automobiles).

III.C.2.

Cap on loan-to-

income ratio

A cap on the loan-to-income ratio, which restricts the size of a loan to a fixed

multiple of income.

III.C.3.

Cap on debt-

service-to-income

ratio

A cap on the debt-service-to-income ratio, which restricts the size of debt

service payments to a fixed share of household income.

III.C.4.

Limit on

amortization

periods

A cap on the maximum amortization period for loans to households or a

requirement to achieve a certain amount of amortization over a set period of

time.

III.C.5.

Restrictions on

unsecured loans

Any restrictions on unsecured credit to households (such as credit cards), such

as debt-service-to-income limits applied to such credit.

III.C.6.

Other

Any other restrictions on loans to households established for macroprudential

reasons and not captured in items III.C.1. to III.C.5. above.

III.D.

Exposure caps on

household credit

III.D.1.

Variable-rate loans

A cap on the volume of new variable rate loans as a share of total new

household loans in banks’ portfolios (including caps defined on subportfolios

such as mortgages).

III.D.2.

Foreign-currency-

denominated loans

A cap on the volume of new loans denominated in foreign currency as a share

of total new household loans in banks’ portfolios (including caps defined on

subportfolios such as mortgages).

III.D.3.

Loans with high

loan-to-value ratios

A cap on the volume of new loans with a high loan-to-value ratio as a share of

total new household loans in banks’ portfolios (including caps defined on

subportfolios such as mortgages).

III.D.4.

Loans with high

loan-to-income

ratios

A cap on the volume of new loans with a high loan-to-income ratio as a share

of total new household loans in banks’ portfolios (including caps defined on

subportfolios such as mortgages).

International Monetary Fund | 2021

III.D.5.

Loans with high

debt-service-to-

income ratios

A cap on the volume of new loans with a high debt-service-to-income ratio as

a share of total new household loans in banks’ portfolios (including caps

defined on subportfolios such as mortgages).

III.D.6.

Other

Any other measure to limit risky exposure to households not captured in

III.D.1. to III.D.5. above.

III.E.

Fiscal measures to

contain systemic

risks

Any fiscal measures applied to contain risk in the housing market or the

household sector (such as stamp duties, capital gain taxes, reduction of interest

deductibility).

III.F.

Other measures to

mitigate systemic

risks from loans to

the household

sector

Other measures not captured in items III.A. to III.E.

IV.

Corporate Sector

Tools

Tools applied to exposures to the corporate sector.

IV.A.

Corporate sector

capital

requirements

Capital requirements targeted at banks’ exposures to the corporate sector or to

certain types of loans to the corporate sector such as higher risk weights (such

as a risk-weight floor or loss-given-default floor) or additional capital

requirements, including a sectoral CCyB defined on such exposures.

IV.B.

Cap on credit

growth to the

corporate sector

A cap on the volume of credit or a ceiling on the rate of growth of credit to the

corporate sector.

IV.C.

Loan restrictions or

Borrower eligibility

criteria

IV.C.1.

Cap on loan-to-

value ratio for

commercial real

estate credit

A cap on the loan-to-value ratio of a commercial real estate loan relative to the

appraised or transaction value of the property.

IV.C.2.

Cap on debt-

service coverage

ratio for

commercial real

estate credit

A cap on the debt-service-coverage ratio, which limits the size of debt service

payments relative to the (expected) net operating income of the company,

project, or property.

IV.C.3.

Cap based on

borrower leverage

A cap or guidance based on the leverage of the borrower (such as interest

coverage ratio).

IV.C.4.

Other

Any other measure not captured in IV.C.1. to IV.C.3. above.

IV.D.

Exposure caps on

corporate credit

IV.D.1.

Foreign-currency-

denominated loans

Limits on credit denominated in foreign currency to the corporate sector (such

as a cap on such credit relative to total new loans to the corporate sector).

IV.D.2.

Lending to

particular

industries or

sectors

A limit on credit to a specific industry or sector, or certain types of credit

(such as commercial real estate or leveraged loans to corporates) to restrain

balance sheet exposure to that specific industry or sector, or type of credit.

IV.D.3.

Other

Any other exposure caps not captured in IV.D.1. and IV.D.2. above.

IV.E.

Fiscal measures to

contain systemic

risks

Any fiscal measures applied to contain risk in the corporate sector (for

example, stamp duties, capital gain taxes, reduction in tax biases in favor of

debt).

International Monetary Fund | 2021 5

IV.F.

Other measures to

mitigate systemic

risks from loans to

the corporate

sector

Other measures not captured in items IV.A. to IV.E.

Liquidity Tools

Applied to the

Banking Sector

Tools to mitigate systemic liquidity risks in the banking sector.

V.A.

Liquidity buffer

requirements

V.A.1.

Liquidity Coverage

Ratio

A requirement to meet a minimum Liquidity Coverage Ratio. The Basel III

Liquidity Coverage Ratio is defined as a stock of unencumbered high-quality

liquid assets (HQLA) divided by the total net cash outflows over the next 30

calendar days (see http://www.bis.org/publ/bcbs238.pdf).

V.A.2.

Liquidity Coverage

Ratio differentiated

by currency

A requirement to meet a minimum Liquidity Coverage Ratio calculated

separately for assets and liabilities denominated in (all or specific) foreign

currencies. The Basel III foreign currency Liquidity Coverage Ratio is defined

as a stock of unencumbered HQLA denominated in a specific currency

divided by the total net cash outflows over the next 30 calendar days

denominated in the same specific currency.

V.A.3.

Liquid asset ratio

A minimum requirement for liquid assets as a fraction of total assets or short-

term liabilities.

V.A.4.

Liquid asset ratio

differentiated by

currency

Minimum requirement for liquid assets denominated as a fraction of total

assets or short-term liabilities, for assets and liabilities denominated in (all or

specific) foreign currencies.

V.A.5.

Other

Any other forms of liquidity buffer requirements not captured in V.A.1. to

V.A.4. above.

V.B.

Stable funding

requirements

V.B.1.

Net Stable Funding

Ratio

A requirement to meet a minimum Net Stable Funding Ratio (NSFR). The

Basel III NSFR is defined as the amount of available stable funding relative to

the amount of required stable funding (see

http://www.bis.org/bcbs/publ/d295.pdf).

V.B.2.

Net Stable Funding

Ratio differentiated

by currency

A requirement to meet a minimum Basel III NSFR calculated separately for

assets and liabilities denominated in (all or specific) foreign currencies.

V.B.3.

Core funding ratio

A requirement to hold stable liabilities to fund illiquid assets different from

the Basel III NSFR, and defined by the national regulator (for example,

liabilities over one year divided by total assets).

V.B.4.

Core funding ratio

differentiated by

currency

A requirement to hold stable liabilities to fund illiquid assets other than the

Basel III NSFR and applied separately for assets and liabilities denominated in

(all or specific) foreign currencies.

V.B.5.

Loan-to-deposit

ratio

A cap on the loan-to-deposit ratio or a cap on the loan-to-stable-funding ratio.

V.B.6.

Loan-to-deposit

ratio differentiated

by currency

A cap on the loan-to-deposit ratio or a cap on the loan-to-stable-funding ratio

calculated separately for (all or specific) foreign currencies.

V.B.7.

Limits on maturity

mismatches

Other limits on bank’s maturity mismatch positions.

International Monetary Fund | 2021

V.B.8.

Limits on maturity

mismatches

differentiated by

currency

Other limits on bank’s maturity mismatch positions calculated separately for

(all or specific) foreign currencies.

V.B.9.

Other

Any other quantitative measure applied to mitigate funding risks not captured

in V.B.1. to V.B.8. above.

V.C.

Levies or charges

on noncore funding

V.C.1.

Aggregate

A levy imposed on banks’ noncore funding, such as a tax on nondeposit

liabilities.

V.C.2.

Differentiated by

currency

A levy imposed on banks’ noncore funding in (all or specific) foreign

currencies.

V.D.

Reserve

requirements for

macroprudential

purposes

Reserve requirements imposed for macroprudential purposes, i.e., to mitigate

systemic risks.

V.D.1.

Aggregate

Banks are required to hold a certain ratio of liquid assets in reserve with the

central bank relative to their liabilities/deposits for macroprudential

objectives.

V.D.2.

Differentiated by

currency

Banks are required to hold, for (all or specific) foreign currencies, a certain

ratio of liquid assets in reserve relative to their liabilities/deposits for

macroprudential objectives.

V.E.

Limits on foreign

exchange positions

Limits on foreign exchange positions imposed for macroprudential objectives.

V.E.1.

Net foreign

exchange positions

Regulation limiting banks’ net foreign exchange position (on and off balance

sheet), overall or for single currency positions.

V.E.2.

Gross foreign

exchange positions

Regulation limiting banks’ gross foreign exchange position (on and off

balance sheet), overall or for single currency positions.

V.E.3.

Foreign exchange

swaps or derivative

positions

Regulation limiting banks’ foreign exchange swaps or derivative positions (on

and off balance sheet).

V.F.

Constraints on

foreign exchange

funding

Regulations limiting banks’ funding denominated in a foreign currency (for

example, as a share of total funding).

V.G.

Other measures to

mitigate systemic

liquidity risks

Any other measures to mitigate liquidity risks in the banking sector not

captured in V.A. to V.F.

VI.

Tools to Address

Systemic Liquidity

Risk and Fire Sale

Risk in the

Nonbank Sector

VI.A.

Asset management

industry

Measures targeted at the asset management industry to limit systemic risk,

including:(1) limits on leverage; (2) liquid buffer requirements; (3) measures

encouraging longer redemption periods; and (4) measures to slow redemptions

(such as redemption fees, gates, suspensions, side pockets)

(

http://www.fsb.org/wp-content/uploads/FSB-Policy-Recommendations-on-

Asset-Management-Structural-Vulnerabilities.pdf).

International Monetary Fund | 2021 7

VI.B.

Insurance

companies

Measures targeted at the insurance sector to limit systemic risk, including: (1)

countercyclical capital requirement or valuation corrections; (2) liquid buffer

requirements; (3) limits on the asset portfolio; (4) limits on leverage; and (5)

limits on guarantees.

VI.C.

Pension funds

Measures targeted at the pension industry to limit systemic risk, including: (1)

liquid buffer requirements; (2) limits on the asset portfolio; and (3) limits on

leverage.

VI.D.

Central

counterparty

clearing

Measures targeted at CCPs to limit systemic risk, including: (1) minimum

requirements on financial resources; and (2) regulations on the setting of

margins and haircuts.

VI.E.

Securities lending

market

Measures targeted at the securities lending industry to limit systemic risk,

including: (1) minimum margin requirements; (2) restrictions on the use of

clients’ assets (for example, limits on rehypothecation); and (3) capital and

liquidity requirements for firms active in this market.

VI.F.

Securitization

Measures targeted at securitized products, including rules governing risk

retention and step-in risks. See for example,

http://www.bis.org/bcbs/publ/d349.htm and

http://www.fsb.org/2012/11/cos_121116/.

VI.G.

Other

Other measures targeted at nonbank financial institutions to limit systemic

risk, not captured in items VI.A. to VI.F. above.

VII.

Tools to Address

Risks from

Systemically

Important

Institutions and

Interconnectedness

within the

Financial System

VII.A.

Measures to

mitigate risks from

systemically

important

institutions

VII.A.1.

Capital surcharges

for systemically

important

institutions

An additional positive capital buffer requirement imposed on global or

domestic systemically important institutions. The Basel Committee on

Banking Supervision has recommended capital surcharges ranging from 1 to

3.5 percent for globally systemically important banks to be met by common-

equity tier one capital. National authorities have discretion to set the level of

capital surcharge for domestic systemically important banks also to be met by

common equity tier one capital. See

http://www.bis.org/publ/bcbs233.pdf; and

http://www.bis.org/publ/bcbs255.pdf.

VII.A.2.

Liquidity

surcharges for

systemically

important

institutions

An additional positive liquidity requirement imposed on global or domestic

systemically important institutions.

VII.A.3.

Other

Any other measures to address systemic risk from global or domestic

systemically important institutions not captured in items VII.A.1. and VII.A.2.

above, such as Pillar 2 buffers or buffers based on stress tests, enhanced

supervision, or recovery and resolution requirements.

International Monetary Fund | 2021

VII.B.

Measures to

mitigate risks from

interconnectedness

VII.B.1.

Limits on the size

of exposures

between financial

institutions

Limits on the size of exposure between financial institutions in relation to their

capital.

VII.B.2.

Additional risk

weights on

exposures between

financial

institutions

Additional capital requirements (or higher risk weights) on exposures between

financial institutions.

VII.C.

Other measures to

mitigate structural

systemic risks

Any measures to mitigate structural systemic risk not captured in VII.A. and

VII.B. above.

VIII.

Tools to Address

Other Sources of

Systemic Risks

VIII.A.

Measures to

mitigate risks to

financial

institutions from

exposures to

sovereigns

Prudential measures, such as a capital buffer requirement, higher risk weight,

or exposure limits, targeted at financial institutions’ exposures to the

sovereign (the government).

VIII.B.

Measures to

address risks to

financial

institutions from

cross border

exposures

(including

reciprocity)

Prudential measures, such as capital buffer requirements, higher risk weights,

or exposure limits, targeted at financial institutions’ cross-border exposures.

This includes measures taken to reciprocate measures taken in other countries,

e.g., measures to reciprocate CCyB measures under the BCBS agreement, and

measures reciprocated under the EU’s broader reciprocity framework (see

https://www.esrb.europa.eu/national_policy/reciprocation/html/index.en.html

VIII.C.

Other

Measures taken to mitigate systemic risk not captured in sections II through

VII.

Response in the Status column is interpreted as follows:

• A “yes’ in the status column indicates that a measure has been announced to take effect or is in place.

• A “no” in the status column indicates that no measure is in place.

• When the response is blank, or it is unclear whether a measure is in place in a particular category, the status

value is shown as “n.a.” implying information is not available.