The capital conservation buffer is aimed at increasing credit institutions’ resilience, namely their capacity to absorb potential losses arising from the banking activity. The buffer is comprised of Common Equity Tier 1 capital equal to 2.5 percent of the total risk exposure amount, and its implementation can be tailored to country-specific situations, as follows:

1. accelerated build-up, in line with a schedule set by the national competent authorities;
2. phased in between 1 January 2016 and 1 January 2019 in equal increments of 0.625 percent per annum.

In Romania, the capital conservation buffer has been phased in starting 1 January 2016, in equal increments of 0.625 percent per annum, as follows:

1. As of 1 January 2016 – 0.625 percent
2. As of 1 January 2017 – 1.25 percent
3. As of 1 January 2018 – 1.875 percent
4. As of 1 January 2019 – 2.5 percent

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The countercyclical capital buffer (CCyB – countercyclical capital buffer) is part of the macroprudential toolkit included in the CRD IV/CRR legislative framework. The European Systemic Risk Board (ESRB) recommends this instrument to be implemented in order to achieve the intermediate objective of reducing and preventing excessive credit growth and leverage. The aim of the CCyB is to improve the banking sector’s resilience to possible shocks generated by the unsustainable growth of credit and leverage.. The decision to activate the countercyclical capital buffer is based on the deviation of the credit-to-GDP ratio from its long-term trend (the main indicator, as recommended by the ESRB), as well as the analysis of additional indicators capturing potential vulnerabilities in the development of credit and leverage in different segments of the real economy. The release of the CCyB can take place either as a result of the materialisation of the risk or as a result of the successful mitigation of said risk.

Initially, the CRD IV regulatory package introduced the countercyclical capital buffer instrument for monitoring the credit market developments at aggregate level. Given the need to asses and identify any disproportionate build-up of risks within specific lending structures (e.g. a concentration of foreign currency lending, unsustainable developments on the real estate market, etc.), CRD V brought additions to the regulatory framework from this point of view. In Romania, besides CCyB, which has the potential to adjust the supply of loans, additional macroprudential tools such as LTV (Loan to Value), DSTI (Debt Service to Income) or sectoral limits were implemented, in order to achieve the objective of maintaining credits’ demand within prudent limits (as set forth in the ESRB recommendations as well).

In Romania, the countercyclical capital buffer was introduced starting January 1, 2016, being maintained at the level of 0 percent until 2022. The first change of the CCyB rate was adopted during the NCMO meeting on October 14, 2021, when the members of the General Board unanimously decided to approve NCMO Recommendation No. R/7/2021 on the countercyclical capital buffer through which the National Bank of Romania is recommended to increase the rate of the countercyclical capital buffer to the level of 0.5 percent, from 0 percent, starting October 17, 2022. The NCMO's recommendation took into account the pronounced increase in lending activity, recorded in the context of tensions at the level of macroeconomic balances, especially through the channel of twin deficits - budgetary and current account. In order to implement NCMO Recommendation No. R/7/2021, the National Bank of Romania issued NBR Order No. 6/2021 amending the NBR Order No. 12/2015 on the capital conservation buffer and the countercyclical capital buffer (published in the Official Gazette, Part I No. 1130 of November 26, 2021). In the context of an additional accumulation of risks to financial stability compared to previous analyses, the General Board decided at the NCMO meeting on October 20, 2022 to recalibrate the rate of the countercyclical capital buffer to the level of 1 percent, starting on October 23, 2023 (NCMO Recommendation No. R/4/2022). The recommendation was implemented by issuing Order No. 7/2022 amending the NBR Order No. 12/2015 on the capital conservation buffer and the countercyclical capital buffer (published in the Official Gazette, Part I No. 1187 of 12.12.2022).

Indicators used for setting the Counter Cyclical Buffer Rate

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The NBR has implemented at national level the methodology for identifying systemically important credit institutions in line with the EBA Guidelines. The criteria for assessing domestic systemically important institutions are as follows:

1. in the first stage, a score is calculated based on the mandatory indicators laid down in the EBA Guidelines on the assessment of O-SIIs, at the highest consolidation level, for the entities under the national competent authority’s jurisdiction, including subsidiaries in other Member States and third countries. This mandatory stage helps achieve an appropriate degree of convergence in terms of identifying O-SIIs across Member States and making the assessment of O-SIIs comparable, transparent and comprehensible;
2. in the second stage, the national competent authority uses additional indicators selected from the list of optional indicators in the EBA Guidelines. The additional indicators should reflect the specificities of the national banking sector, with a view to identifying all systemic institutions, including smaller ones, which have not been automatically designated as systemic during the first stage. The need for this step arises from the differences in terms of size and specificities of national financial systems across Member States.

The two stages strike a balance between convergence, comparability and flexibility in identifying systemic institutions.

In Romania, the O-SII buffer was implemented as of January 1st, 2016. The O-SII buffer is applicable to credit institutions identified as having systemic importance according to the methodology harmonized with the provisions of the Guidelines on the criteria to determine the conditions of application of Article 131(3) of Directive 2013/36/EU (CRD) in relation to the assessment of other systemically important institutions (O-SIIs), as follows:

• Starting 1 January 2024: (i) 2% for Banca Transilvania S.A. (consolidated level), (ii) 1,5% for UniCredit Bank S.A. (consolidated level), Banca Comercială Română S.A (consolidated level), BRD - Groupe Societe Generale S.A. (consolidated level), (iii) 1% for Raiffeisen Bank S.A. (consolidated level), CEC Bank S.A. (individual level) și (iv) 0,5% for OTP Bank România S.A. (consolidated level), Alpha Bank România S.A. (individual level) and EXIM BANCA ROMÂNEASCĂ (individual level). Information on systemically important banks’ scores and the O-SII buffer applicable in 2024 can be found on the National Committee for Macroprudential Oversight CNSM website . The measure was applied by the NBR, as the sectoral supervisory authority, following the issuance by the National Committee for Macroprudential Oversight of the Recommendation No. R/4/2023 on the capital buffer for other systemically important institutions in Romania and it was implemented by the National Bank of Romania Order No. 9/2023 regarding the buffer related to the credit institutions authorized in Romania which were identified as other systemically important institutions (O-SII) (Romanian only), which was published in the Official Monitor, Part I No. 1177 of December 27, 2023.
• Starting 1 January 2023 : Banca Transilvania S.A. (consolidated level), UniCredit Bank S.A. (consolidated level), Banca Comercială Română S.A (consolidated level), BRD - Groupe Societe Generale S.A. (consolidated level), Raiffeisen Bank S.A. (consolidated level), OTP Bank România S.A. (consolidated level), CEC Bank S.A. (individual level), Alpha Bank România S.A. (individual level) and Banca de Export-Import a României EXIMBANK S.A. (Consolidated level until the completion of the merger through absorption of Banca Românească / Individual level after completing the merger through absorption of Banca Românească). Information on systemically important banks’ scores and the O-SII buffer applicable in 2023 can be found on the National Committee for Macroprudential Oversight CNSM website. The measure was applied by the NBR, as the sectoral supervisory authority, following the issuance by the National Committee for Macroprudential Oversight of the Recommendation No. R/5/2022 on the capital buffer for other systemically important institutions in Romania and it was implemented by the National Bank of Romania Order No. 8/2022 regarding the buffer related to the credit institutions authorized in Romania which were identified as other systemically important institutions (O-SII) (Romanian only), which was published in the Official Monitor, Part I No.1187 of December 12, 2022.
• Starting 1 January 2022 : Banca Transilvania S.A. (consolidated level), Banca Comercială Română S.A. (consolidated level), UniCredit Bank S.A. (consolidated level), BRD - Groupe Société Générale S.A. (consolidated level), Raiffeisen Bank S.A. (consolidated level), CEC Bank S.A. (individual level), Alpha Bank România S.A. (individual level), OTP Bank S.A. (consolidated level) şi Banca de Export – Import a României EXIMBANK S.A. (consolidated level). Information on systemically important banks’ scores and the O-SII buffer applicable in 2022 can be found on the National Committee for Macroprudential Oversight CNSM website . The measure was applied by the NBR, as the sectoral supervisory authority, following the issuance by the National Committee for Macroprudential Oversight of the Recommendation No. R/8/20221 on the capital buffer for other systemically important institutions in Romania and it was implemented by the National Bank of Romania Order No. 7/26.11.2021 regarding the buffer related to the credit institutions authorized in Romania which were identified as other systemically important institutions (O-SII) (Romanian only), which was published in the Official Monitor, Part I No.1174 of December 13, 2021.
• Starting 1 January 2021 : UniCredit Bank S.A. (consolidated level), Banca Transilvania S.A. (consolidated level), Banca Comercială Română S.A. (consolidated level), BRD - Groupe Société Générale S.A. (consolidated level), Raiffeisen Bank S.A. (consolidated level), Alpha Bank România S.A. (individual level), OTP Bank S.A. (consolidated level) and CEC Bank S.A. (individual level). Information on systemically important banks’ scores and the O-SII buffer applicable in 2021 can be found on the National Committee for Macroprudential Oversight CNSM website . The measure was applied by the NBR, as the sectoral supervisory authority, following the issuance by the National Committee for Macroprudential Oversight of the Recommendation No. R/8/2020 on the capital buffer for other systemically important institutions in Romania and it was implemented by the National Bank of Romania Order No. 5/2020 (Romanian only) regarding the buffer related to the credit institutions authorized in Romania which were identified as other systemically important institutions (O-SII), published in the Official Monitor, Part I No.1222of December 14, 2020.
• Starting 1 January 2020: UniCredit Bank S.A. (consolidated level), Banca Transilvania S.A. (consolidated level), Banca Comercială Română S.A. (consolidated level), BRD - Groupe Société Générale S.A. (consolidated level), Raiffeisen Bank S.A. (consolidated level), Alpha Bank România S.A. (individual level), OTP Bank S.A. (consolidated level), CEC Bank S.A. (individual level), Garanti Bank S.A. (individual level). Information on systemically important banks’ scores and the O-SII buffer in 2020 can be found on the National Committee for Macroprudential Oversight CNSM website. The measure was applied by the NBR, as the sectoral supervisory authority, following the issuance by the National Committee for Macroprudential Oversight of the Recommendation No. R/4/2019 on the capital buffer for other systemically important institutions in Romania Recommendation No. R/4/2019 on the capital buffer for other systemically important institutions in Romania and it was implemented by the National Bank of Romania Order No. 10/2019 regarding the buffer related to the credit institutions authorized in Romania which were identified as other systemically important institutions (O-SII) (Romanian only), published in the Official Monitor, Part I No. 933 of November 20, 2019.
• Starting 1 January 2019: Banca Transilvania S.A. (consolidated level), UniCredit Bank S.A. (consolidated level), Banca Comercială Română S.A. (consolidated level), BRD - Groupe Société Générale S.A. (consolidated level), Raiffeisen Bank S.A. (consolidated level), Alpha Bank România S.A. (individual level), CEC Bank S.A. (individual level), OTP Bank S.A. (consolidated level), Garanti Bank S.A. (individual level). Information on systemically important banks’ scores and the O-SII buffer in 2019 can be found on the National Committee for Macroprudential Oversight website. The measure was applied by the NBR, as the sectoral supervisory authority, following the issuance by the National Committee for Macroprudential Oversight of the Recommendation No. R/6/2018 on the capital buffer for other systemically important institutions in Romania and it was implemented by the National Bank of Romania Order No. 9/2018 regarding the buffer related to the credit institutions authorized in Romania which were identified as other systemically important institutions (O-SII) (Romanian only), published in the Official Monitor, Part I No. 1110 of December 28, 2018.
• Starting 1 January 2018: Banca Comercială Română S.A. (consolidated level), BRD - Groupe Societe Generale S.A. (consolidated level), UniCredit Bank S.A. (consolidated level), Raiffeisen Bank S.A. (consolidated level), Alpha Bank România S.A. (individual level), Bancpost S.A. (individual level), Banca Transilvania S.A. (consolidated level), CEC Bank S.A. (individual level) and Garanti Bank S.A. (individual level). Information on systemically important banks’ scores and the O-SII buffer in 2018 can be found on the National Committee for Macroprudential Oversight website. The macroprudential measure was implemented by the National Bank of Romania, as sectoral supervisory authority, following the NCMO Recommendation No. 5 of 9 Oct 2017 on the capital buffer for other systemically important institutions in Romania and was implemented through the NBR Order no.12/07.12.2017 [Romanian only] on the credit institutions authorized in Romania and identified by the National Bank of Romania as other systemically important institutions (O-SII).
• 1 Mar.- 31 Dec. 2017
  1% of the total risk exposure amount, applicable at the highest level of consolidation, as follows: Banca Comercială Română S.A. (consolidated level), BRD - Groupe Societe Generale S.A. (consolidated level), UniCredit Bank S.A. (consolidated level), Raiffeisen Bank S.A. (consolidated level), Alpha Bank România S.A. (individual level), Bancpost S.A. (individual level), Piraeus Bank S.A. (individual level), Banca Transilvania S.A. (consolidated level), CEC Bank S.A. (individual level), Garanti Bank S.A. (individual level) și OTP Bank S.A. (consolidated level).
  Communication on Systemic Banks identified during the assessment carried out based on data available at 30 June 2016 and additional capital requirements applicable to them as of 1 March 2017 .
• 1 Jan.2016 - 28 Feb. 2017
  1% of the total risk exposure amount, applicable at the highest level of consolidation, as follows: Banca Comercială Română S.A. (consolidated level), BRD - Groupe Societe Generale S.A. (consolidated level), UniCredit Bank S.A. (consolidated level), Raiffeisen Bank S.A. (consolidated level), Alpha Bank România S.A. (individual level), Bancpost S.A. (individual level), Banca Transilvania S.A. (consolidated level), CEC Bank S.A. (individual level), Garanti Bank S.A. (individual level).

Methodology for identifying systemic credit institutions and calibrating the O-SII buffer (overview)

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The systemic risk buffer (Systemic Risk Buffer - SyRB) aims to prevent and mitigate long-term structural systemic risk or macroprudential risk with potential negative consequences for the financial system and real economy, being a flexible instrument that can be used by the member states in order to reduce the risks identified within the national financial system. In Romania, the instrument has been used since 2018. From a methodological point of view, credit institutions determine the level of the capital buffer for systemic risk taking into account the indicators for assessing the quality of assets, respectively the rate of non-performing loans and the level of coverage with provisions of non-performing loans. Depending on the average recorded by above mentioned indicators for a period of 12 months prior to application, the SyRB buffer is set at the level of zero percent, 1 percent or 2 percent. The decision for each of these buffer rates is done by taking into account the established reference thresholds (5 percent for the NPL ratio and 55 percent for the NPL coverage ratio).

Implementation

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