Macroprudential regulation in the European Union in 1995-2014 : introducing a new data set on policy actions of a macroprudential nature.
Date: 2018-04-12
Institutions: European Central Bank
Subjects: European Union, banking policy, financial institution, financial policy, macroeconomics, monetary policy

Katarzyna Budnik, Johannes Kleibl 

Working Paper Series 

Macroprudential regulation in the 
European Union in 1995-2014: 
introducing a new data set on policy 
actions of a macroprudential nature 

No 2123 / January 2018 

Disclaimer: This paper should not be reported as representing the views of the European Central Bank 
(ECB). The views expressed are those of the authors and do not necessarily reflect those of the ECB. 

Abstract.  This  paper  introduces  a  new  comprehensive  data  set  on  policies  of  a 

macroprudential  nature  in  the  banking  sectors  of  the  28  member  states  of  the  European 

Union  (EU)  between  1995  and  2014.  The  Macroprudential  Policies  Evaluation  Database 

(MaPPED) offers a detailed overview of the “life-cycle” of policy instruments which are either 

genuinely macroprudential or are essentially microprudential but likely to have a significant 

impact  on  the  whole  banking  system.  It  tracks  events  of  the  introduction,  recalibration  and 

termination  of  eleven  categories  and  53  subcategories  of  instruments.  MaPPED  has  been 

based on a carefully designed questionnaire, which has been completed in cooperation with 

experts  from  national  central  banks  and  supervisory  authorities  of  all  EU  member  states. 

This  paper  describes  the  design  and  structure  of  the  new  data  set  and  presents  the  first 

descriptive analysis of the use of policy measures with a macroprudential nature in the EU 

over the last two decades. The results indicate that there has been a remarkable variation in 

the  use  of  policies  of  a  macroprudential  nature  both  across  EU  countries  and  over  time. 

Moreover,  the  analysis  provides  some  tentative  evidence  of  an  impact  of  capital  buffers, 

lending  restrictions  and  caps  on  maturity  mismatches  on  credit  to  the  non-financial  private 

sector  in  the  EU  as  well  as  of  the  relative  ineffectiveness  of  sectoral  risk  weights  in 

controlling credit growth.  

JEL codes: E50, E60, G28

Keywords: macroprudential policy, macroprudential instruments, financial stability, policy

assessment

ECB Working Paper No 2123 / January 20181Non-technical summary 

The  new  set  of  standards  issued  by  the  Basel  Committee  in  2010  and  2011  introduced  a 

distinct  toolbox  of  macroprudential  instruments.  Since  then,  governments  and  financial 

regulatory  authorities  in  the  European  Union  (EU)  and  elsewhere  around  the  globe  have 

been  actively  working  on  implementing  this  new  toolbox.  Yet,  although  macroprudential 

instruments  have  become  an  acknowledged  part  of  the  financial  regulatory  framework,  we 

still lack systematic data that would allow examining their effectiveness.  

This  paper  introduces  a  new  comprehensive  data  set  summarising  policies  of  a 

macroprudential  nature  in  the  banking  sectors  of  the  28  member  states  of  the  European 

Union  (EU)  between  1995  and  2014.  The  Macroprudential  Policies  Evaluation  Database 

(MaPPED) offers a detailed overview of the “life-cycle” of policy instruments which are either 

genuinely macroprudential or are essentially microprudential but likely to have a significant 

impact  on  the  whole  banking  system.  The  data  set  covers  eleven  categories  and  53 

subcategories  of  regulatory  instruments,  and  almost  1,700  policy  actions,  i.e.  events  of 

introduction, recalibration or cancellation of these instruments. The set of policy instruments 

includes  capital  requirements,  capital  buffers,  risk  weights,  leverage  ratios,  provisioning 

systems, lending standards restrictions, limits on credit growth, taxes on financial activities, 

limits  on  large  exposures,  liquidity  requirements,  and  limits  on  currency  and  maturity 

mismatch. 

MaPPED has been based on a carefully designed questionnaire, which has been completed 

in cooperation with experts from national central banks and supervisory authorities of all EU 

member  states.  The  paper  describes  the  data  collection  process  and  presents  a  first 

descriptive analysis of macroprudential policy actions in the EU member states over the last 

two  decades.  It  uncovers  both  common  trends  and  notable  country-specific  differences  in 

the  implementation  of  policies  with  a  macroprudential  character  and  helps  putting  the  new 

post-Basel III approach of regulating financial systems into historical perspective.  

The  descriptive  analysis  shows  that  there  has  been  significant  variation  in  the  use  of 

macroprudential instruments in the EU member states over the past two decades. The use 

of  different  macroprudential  instruments  follows  very  different  trends  over  time.  The 

application  of  some  instruments,  such  as  limits  on  credit  growth,  lending  standards 

restrictions, sectoral risk weights or liquidity requirements, seems to have responded to the 

financial cycle or to financial crisis events. In contrast, the use of other instruments, such as 

capital  requirements  and  limits  on  large  exposures,  has  in  turn  been  more  correlated  with 

regulatory initiatives at the European level. Furthermore, despite the EU-wide harmonisation 

of  many  regulatory  tools  the  analysis  reveals  a  surprising  degree  of  variation  in  the  use  of 

ECB Working Paper No 2123 / January 20182macroprudential  tools  across  countries.  New  member  states  that  joined  the  EU  only  in  or 

after 2004 have been, on average, much more active users of macroprudential instruments 

by both activating a greater number of instruments and by relying on a more diverse set of 

different instruments than existing member states.  

Finally, the analysis also provides tentative evidence that both targeted instruments such as 

limits  on  loan-to-value  ratios  and  broader  instruments  such  as  macroprudential  capital 

requirements may have an impact on credit growth in the EU member states.  

ECB Working Paper No 2123 / January 201831.

Introduction

As  early  as  in  2008,  the  Basel  Committee  on  Banking  Supervision  started  discussing  new 

regulatory  approaches  to  address  systemic  risk  and  reduce  the  probability  of  a  future 

financial crisis. The new set of standards issued by the Basel Committee in 2010 and 2011 

introduced  a  distinct toolbox  of  macroprudential  instruments.  Since  then, governments  and 

financial regulatory authorities in the European Union (EU) and elsewhere around the globe 

have been actively working on implementing this new toolbox. Yet, although macroprudential 

instruments  have  become  an  acknowledged  part  of  the  financial  regulatory  framework,  we 

still lack systematic data that would allow examining their effectiveness. As a consequence, 

assessing  the  impact  of  macroprudential  measures  has  been  one  of  the  most  challenging 

tasks currently faced by policy-makers in the EU. 

This  paper  introduces  the  new  Macroprudential  Policies  Evaluation  Database  (MaPPED), 

which aims at closing this gap. MaPPED offers a comprehensive data source of regulatory 

policy instruments and actions of a macroprudential nature targeting the banking sectors in 

the  EU  member  states  from  1995  to  2014.  The  data  set  covers  eleven  categories  and  53 

subcategories  of  regulatory  instruments,  and  almost  1,700  policy  actions,  i.e.  events  of 

introduction, recalibration or cancelation of these instruments. The set of policy instruments 

includes  capital  requirements,  capital  buffers,  risk  weights,  leverage  ratios,  provisioning 

systems, lending standards restrictions, limits on credit growth, taxes on financial activities, 

limits  on  large  exposures,  liquidity  requirements,  and  limits  on  currency  and  maturity 

mismatch. The new data set has been based on a carefully designed questionnaire, which 

has  been  completed  in  a  collective  effort  with  experts  from  the  national  central  banks  and 

supervisory authorities of the 28 EU member states. The paper describes the data collection 

process and provides detailed information on the types, coverage and definitions of policies 

included 

in 

the  data  set.  Furthermore, 

it  presents  a  first  descriptive  analysis  of 

macroprudential  policy  actions  in  the  EU  member  states  over  the  last  two  decades.  It 

uncovers  both  common 

trends  and  notable  country-specific  differences 

in 

the 

implementation of policies with a macroprudential character and helps putting the new post-

Basel III approach of regulating financial systems into historical perspective.  

The  notion  of  a  macroprudential  policy  instrument,  commonly  defined  as  a  prudential  tool 

that is designed to target systemic risk, is relatively new. Therefore, in order to document the 

history  of  relevant  banking  sector  regulation,  it  is  necessary  to  develop  an  operational 

definition of a policy instrument with a macroprudential nature. According to our definition, an 

instrument has to fulfil at least one of the following conditions to qualify as a policy tool with a 

macroprudential  nature:  (i)  it  has  been  dubbed  as  macroprudential  either  by  the  relevant 

ECB Working Paper No 2123 / January 20184legislation or by the authority applying the instrument; (ii) it has been implemented to reach 

specific  macroprudential  goals  (also  when  it  is  essentially  microprudential  or  a  monetary 

measure); or (iii) its conceptual design or transmission channels are comparable with those 

of  present macroprudential  measures (e.g. minimum  capital  requirements that share  broad 

similarity with macroprudential capital buffers) and it is likely to have a system-wide impact 

on the banking sector. These criteria have been used to develop a closed list of eleven types 

of  policy  instruments  that  have  been  covered  by  the  MaPPED  questionnaire.  The 

respondents were asked to provide a complete history of the use of instruments falling under 

the scope of the questionnaire in their jurisdiction. 

MaPPED covers both macroprudential policy instruments and their application in the form of 

specific policy actions. Thereby, it draws a clear distinction between the two concepts. While 

a  prudential  policy  instrument  refers  to  any  tool  that  can  be  used  to  impose  quantitative 

restrictions on the structure of banks’ assets or liabilities (e.g. minimum capital requirements) 

or on certain activities (e.g. the prohibition of foreign exchange loans), a policy action refers 

to an event of activation, change in the level or scope, or deactivation of a policy instrument. 

Furthermore, the linking of policy actions related to the same instrument allows following the 

full “life-cycle” of each instrument, from its implementation, via changes in its intensity, to its 

termination. 

Each policy action in MaPPED is described by a comprehensive set of attributes. First, each 

policy  action  is  characterised  as  having  a  loosening,  neutral  or  tightening  impact  on  the 

policy  stance.  This  attribute  allows  measuring  changes  in  the  intensity  of  macroprudential 

regulation  over  time.  Second,  each  policy  action  is  also  described  in  terms  of  its  objective 

such  as  controlling  excessive  credit  growth,  countering  maturity  mismatches  or  increasing 

the  resilience  of  the  banking  system  to  exchange  rate  volatility.  Finally,  the  data  set  also 

provides  information  on  the  scope  of  the  application  of  an  instrument  involved  in  a  policy 

action, i.e. the types of institutions, which have to comply with the measure, or the segments 

of banks’ activities, which are directly affected by a measure.  

In  addition  to  presenting  an  overview  of  the  most  relevant  attributes  of  policy  instruments 

and actions in the data set, this paper provides a first descriptive analysis of macroprudential 

policy  activity  in  the  EU  over  the  last  two  decades.  Specifically,  the  paper  (i)  analyses  the 

evolution  of  macroprudential  policy  in  terms  of  its  tightening  and  loosening  over  time,  (ii) 

examines  the  differences  in  the  intensity  and  scope  of macroprudential  policies  across  EU 

countries,  and  (iii)  provides  a  simple  analysis  of 

the  effectiveness  of  selected 

macroprudential  policy  instruments.  The  descriptive  analysis  shows  that  there  has  been 

significant variation in the use of macroprudential instruments in the EU member states over 

ECB Working Paper No 2123 / January 20185the past two decades. The use of different macroprudential instruments follows very different 

trends  over  time.  The  application  of  some  instruments,  such  as  limits  on  credit  growth, 

lending standards restrictions, sectoral risk weights or liquidity requirements, seems to have 

responded  to  the  financial  cycle  or  to  financial  crisis  events.  The  application  of  other 

instruments,  such  as  capital  requirements  and  limits  on  large  exposures,  has  in  turn  been 

more  correlated  with  regulatory  initiatives  at  the  European  level.  Furthermore,  despite  the 

EU-wide harmonisation of many regulatory tools the analysis reveals a surprising degree of 

variation in the use of macroprudential tools across countries. Thereby, new member states 

that  joined  the  EU  only  in  or  after  2004  have  been  much  more  active  users  of 

macroprudential  instruments  by  both  activating  a  greater  number  of  instruments  and  by 

relying on a more diverse set of different instruments than existing member states. Finally, 

the analysis also provides tentative evidence that both targeted instruments such as limits on 

loan-to-value  ratios  and  broader  instruments  such  as  macroprudential  capital  requirements 

may have an impact on credit growth in the EU member states.  

The remainder of the paper proceeds as follows. Section 2 reviews existing data collections 

of macroprudential policy measures. Section 3 describes the coverage of the new MaPPED 

data  set  and  provides  a  clear  definition  of  what  is  understood  as  a  “measure  of  a 

macroprudential  nature”.  Section  4  offers  information  on  the  data  collection  process,  while 

section  5  presents  basic  descriptive  statistics  on  the  number  of  policy  actions  covered  as 

well as several key attributes included in the data set. Section 6 provides a first descriptive 

analysis of the use of macroprudential measures in the EU between 1995 and 2014, while 

section  7  provides  a  first  descriptive  assessment  of  the  effectiveness  of  these  policy 

measures in controlling credit growth. Section 8 concludes and proposes directions for future 

research using the new data. Finally, the annex offers additional descriptive statistics as well 

as a detailed codebook for users of the data set.  

2. Existing data sets on macroprudential policy measures

To  date,  several  other  data  sets  have  been  collected  with  the  aim  of  capturing  policy 

measures  of  a  macroprudential  nature.  Similarly  to  MaPPED,  these  data  collections  have 

been based on official publications or surveys of regulators and central bank officials. Borio 

and Shim (2007) as well as Shim et al. (2013) construct a database of prudential measures 

as well as non-interest policy measures related to real estate exposures for a sample of 60 

countries (including 27 EU member states) from 1995 to 2012. The IMF (2011) and Lim et al. 

(2011) focus on a broader set of macroprudential measures including caps on loan-to-value 

ratios, ceilings on credit growth or countercyclical capital requirements, and summarize the 

ECB Working Paper No 2123 / January 20186experience of 49 countries (including 20 EU member states) from 2000 to 2010. Also Cerutti 

et al. (2016) provide data for a diverse set of measures including capital buffers, exposure 

limits,  loan  to  value  caps  and  reserve  requirements  for  64  countries  (including  27  EU 

member  states)  from  2000  to  2014.  The  IMF  Global  Macroprudential  Policy  Instruments 

Database  (GMPI),  a  new  IMF  initiative,  provides  very  detailed  information  on  policies  with 

macroprudential objectives for 135 countries (including 25 EU member states), but so far it 
covers only one data point, i.e. May 2013.2 Finally, in addition to these global data collection 

efforts, there are also several data sets of macroprudential measures with a regional focus. 

For example, Hilbers et al. (2005), Vandenbussche et al. (2012), Gersl and Jasova (2014), 

Zhang  and  Zoli  (2016)  and  Dimova  et  al.  (2016)  collect  data  on  monetary  and  prudential 

measures in Central and Eastern European countries (CEEC).   

That being said, existing data sets of macroprudential measures often suffer from common 

drawbacks. First, they typically capture the entering into force of policy instruments, but often 

underreport their further evolution or their termination. Second and maybe more importantly, 

actual  coverage  of measures  often  differs  by  countries. This  seems to  result from  different 

perceptions  of  survey  respondents  of  what  should  be  reported  as  a  macroprudential 
measure when responding to open-text questionnaires (such as Lim et al. 2011 or GMPI).3 

This creates data quality and cross-country comparability issues and may bias the analytical 

results based on the data sets.  

MaPPED  has  been  constructed  with  these  concerns  in  mind.  The  design  of  the 

questionnaire  and  repeated  consistency  checks  aimed  at  overcoming  comparability  issues 

across  measures  and  across  countries.  The  closed  list  of  types  of  instruments  covered  by 

the questionnaire ensured a uniform data coverage across countries. Thereby, to the degree 

possible,  the  data  collection  leveraged  on  the  fact  that  a  significant  part  of  regulatory 

instruments in EU member states originate in EU level regulations, which commonly have to 

be transposed into national law.  

2 In addition to these original data sets, there are also several analyses that combine information from these data 
sets  and  sometimes  complement  them  with  additional  information  sources  (see,  e.g.,  Akinci  and  Olmstead-
Rumsey 2015). 
3  These  differences  in  coverage  become  particularly  apparent  for  EU  countries.  In  data  collections  based  on 
largely open-text questionnaires (such as Lim et al. 2011 or GMPI) data sets usually include specific instruments 
only for some EU member states, although these instruments have been harmonised across the whole EU.  

ECB Working Paper No 2123 / January 201873. Data coverage

This section provides information on the country and time coverage of MaPPED as well as 

the  types  of  policy  measures  that  are  included  in  the  data  set.  In  addition,  the  annex 

provides a detailed list of all attributes collected for each policy action. 

3.1.  Country and time coverage 

The initial version of the data set includes policy actions from 1995 until 2014 for all 28 EU 

member  states.  It  also  covers  policy  measures  introduced  before  1995,  as  long  as  these 
measures were still in force in or after 1995.4  

3.2.  Coverage of policy instruments 

The  key  difficulty  in  any  historical  evaluation  of  macroprudential  policies  is  that  the  term 

“macroprudential  instrument”  is  a  rather  recent  invention,  formalised  in  detail  only  in  the 

Basel III standards. Basel III introduced a set of instruments, which can be used to address 

systemic risks, and as such can be regarded as part of the macroprudential toolbox. Yet, in 

order  to  learn  about  the  effects  of  this  new  set  of  tools,  it  is  necessary  to  analyse  country 

experiences over more than just the post-Basel III years and for a broader set of instruments 

than those defined in the standards. 

Authors working on the empirical evaluation of macroprudential policies have addressed this 

issue in various ways. In a careful study of macroprudential policies in the U.S., Elliott et al. 

(2013)  rely  on  the  objectives  of  policies  and  define  actions  of  a  cyclical  macroprudential 

nature  as  policy  actions  which  were  used  to  slow  or  accelerate  credit  growth  and  that 

respond  to  economic  or  financial  cycles  rather  than  represent  a  permanent  change  in 

regulation.   

In contrast, other data collection approaches such as the IMF (2011) or the GMPI Database 

put relatively less emphasis on the purpose of introducing a policy but construct an exclusive 

list of instruments which they consider as macroprudential. The exact scope of the various 

databases differs. However, with some simplification, they include instruments which fall into 

one of the following categories: general capital requirements, countercyclical capital buffers, 

4 Looking forward, by relying on regular reporting of macroprudential policy actions to the ECB, the data set will 
be  updated  on  a  bi-annual  basis  in  order  to  provide  an  always  up-to-date  data  source  for  policy  actions  of  a 
macroprudential nature in the EU.  

ECB Working Paper No 2123 / January 20188time-varying  provisioning,  sector  specific  capital  buffers,  lending  standards  restrictions, 

reserve  requirements,  limits  on  credit  growth,  limits  on  interbank  exposures,  concentration 

limits, liquidity requirements, levies and taxes on financial institutions, and limits on currency 

mismatches.  

The  data  collection  for  MaPPED  aimed  at  ensuring  that  the  data  set  allows  assessing  the 

effectiveness of macroprudential policies as defined in the Basel III standards. To this end, 

we have developed a coherent set of three criteria for defining what constitutes a measure of 

a  macroprudential  nature.  On  the  basis  of  these  three  criteria,  we  derived  the  list  of 

instruments to be included in the data set.  

First, the list of instruments includes tools which can be used to address systemic risks and 

have  been 

introduced  by 

the  EU’s  Capital  Requirements  Regulation  and  Capital 

Requirements Directive IV (CRR/CRDIV). These encompass a set of capital buffers (such as 

countercyclical  capital  buffers,  buffers  for  systemically  important  institutions,  and  systemic 

risk  buffers),  sectoral  risk  weights,  liquidity  requirements  (such  as  liquidity  coverage  ratios 

and net stable funding requirements), and large exposure limits (see e.g. ESRB 2014a). This 

list  has  been  complemented  with  other  instruments,  which  are  commonly  perceived  as 

macroprudential by national authorities applying them, even though they are (so far) outside 

the  scope  of  EU  legislation.  These  are,  e.g.,  loan-to-deposit  ratios,  limits  on  foreign 

exchange mismatch, or lending standards such as limits on loan-to-value (ESRB 2014b).  

Second,  the  list  of  instruments  includes  other  prudential  and  monetary  policy  tools,  which 

have been actually employed to reach macroprudential goals by national authorities. These 

include  a  set  of  microprudential  measures  (e.g.  loan-loss  provisioning  frameworks)  as  well 

as a few instruments of a monetary policy nature (e.g. marginal reserve requirements) or a 

fiscal  nature  (i.e.  taxes  on  financial  institutions  and  activities).  The  resulting  list  of 

instruments thus covers all instruments that have been commonly covered by data sets and 

analyses of macroprudential policy tools in the previous literatures, including capital-related 

instruments,  liquidity-related  instruments,  lender-based  credit-related  instruments  and 

borrower-based credit-related instruments (see, e.g., Lim et al. 2011 Dell'Ariccia et al. 2012, 

De Nicolò et al. 2012, and Claessens et al. 2013). 

Third  and  finally,  this  list  of  macroprudential  instruments  has  been  complemented  with 

prudential  tools  whose  structure  and  transmission  channels  closely  resemble  those  of 

macroprudential instruments  and  which  have  a  system-wide  impact.  Standard  examples of 

such  instruments  are  minimum  capital  requirements.  Although  these  instruments  are 

typically  not  considered macroprudential, they  can  offer  an  important  source  of  information 

on the likely impact of macroprudential measures. For instance, in order to study the impact 

ECB Working Paper No 2123 / January 20189of countercyclical capital buffers, one can assess the transmission of other changes in own 
funds requirements that are expressed with reference to risk weighted assets.5  

In  essence,  the  selection  of  instruments  for  the  data  set  aimed  at  covering  all  instruments 

which  can  affect  the  empirical  identification  and  consequently  also  the  assessment  of  the 

impact  of macroprudential  instruments  –  either  because  they  are explicitly  macroprudential 

or  because  they  have  a  similar  impact  and  can  thus  influence  empirical  estimates  of  the 

impact of macroprudential instruments.  

Following these principles, a final list of 53 types of instruments of a macroprudential nature 

was  defined.  These  instruments  can  be  grouped  into  eleven  broader  categories  of  tools. 

Table 1 presents the complete list of categories and subcategories that are included in the 

data set. 

Table 1: Categories and subcategories of policy instruments in the data set, 1995-2014. 

Category 

Subcategories 

Frequency:  
instruments 

Frequency: 
actions 

Minimum 
capital 
requirements 

Capital buffers 

Capital adequacy ratio (CAR) 

Tier 1 capital ratio 

Common Equity Tier 1 capital ratio (CET1) 

Core Tier 1 capital ratio 

Countercyclical capital buffer (CCyB) 

Capital conservation buffer 

Systemic risk buffer 

G-SII capital buffer

O-SII capital buffer
Other capital requirements targeting most important 
institutions 
Other capital surcharges and own funds requirements 

Profit distribution restrictions 

Risk weights for loans backed by residential property 

Risk weights 

Risk weights for loans backed by commercial property 

Other sectoral risk weights 

Leverage ratio 

Leverage ratio 

Loan-loss 
provisioning 

Loan classification rules 

Minimum specific provisioning 

General provisioning 

Capital treatment of loan loss reserve 

Lending 
standards 

Loan-to-value (LTV) limits 

Loan-to-income (LTI) limits 

31 

20 

21 

6 

2 

9 

4 

0 

0 

8 

14 

10 

34 

29 

7 

2 

19 

13 

10 

10 

24 

1 

155 

25 

23 

9 

2 

10 

4 

0 

0 

10 

19 

15 

85 

52 

15 

3 

55 

44 

26 

17 

53 

1 

% 
changes 
in stance 
71.6% 

92.0% 

100.0% 

100.0% 

0.0% 

80.0% 

100.0% 

. 

. 

100.0% 

94.7% 

86.7% 

83.5% 

50.0% 

80.0% 

100.0% 

63.6% 

79.6% 

80.8% 

70.6% 

94.3% 

100.0% 

5  This  idea  is  not  new  in  the  literature.  For  example,  Bridges  et  al.  (2014)  analyse  the  impact  of capital-based 
macroprudential measures by exploiting the variation in essentially microprudential minimum capital requirements 
across British banks. 

ECB Working Paper No 2123 / January 201810restrictions 

Limits on 
credit growth 
and volume 
Levies/taxes 
on financial 
institutions 

Debt-to-income (DTI) limits 
Debt-service-to-income (DSTI) limits incl. interest rate 
stress testing 
Limits on interest rates on loans 

Maturity and amortisation restrictions 

Other income requirements for loan eligibility 

Limits on the volume of personal loans 

Other restrictions on lending standards 

Reserve requirements related to banks’ liabilities 

Asset-based reserve requirements 

Tax on  assets/liabilities 

Tax on financial activities 

Single client exposure limits 

Intragroup exposure limits 

Limits on large 
exposures and 
concentration 

Sector and market segment exposure limits 

Funding concentration limits 

Liquidity 
requirements 
and limits on 
currency and 
maturity 
mismatch 

Limits on qualified holdings outside financial-sector 

Other exposure and concentration limits 

Loan to deposit (LTD) ratios 
Other stable funding req. incl. Net Stable Funding 
Requirement 
Short-term liquidity coverage ratios incl. Liquidity Coverage 
Ratio 
Liquidity ratios and deposit coverage ratios 

Limits on FX mismatches 

Other liquidity requirements 

Structural measures 

Margin requirements 

Other regulatory restrictions on financial activities 

Other 
measures 

Limits on deposit rates 

Debt resolution policies 

Crisis management tools 

Changes in regulatory framework 

Other 

Total 

0 

15 

7 

12 

4 

10 

26 

12 

11 

20 

2 

94 

29 

20 

3 

56 

15 

6 

7 

40 

14 

14 

15 

1 

6 

4 

4 

8 

8 

4 

20 

761 

0 

25 

8 

21 

4 

38 

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100.0% 

100.0% 

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7.7% 

45.0% 

81.6% 

Notes:  The  frequency  of  instruments  column  reports  the  number  of  distinct  policy  instruments  included  in  the  respective 
subcategory,  while  the  frequency  of  policy  actions  column  reports  the  number  of  policy  actions  that  have  been  taken  using 
these instruments. The % changes in stance column reports the share of tightening or loosening policy actions in the respective 
subcategory. 

3.3.  Policy actions as units of observation 

Existing  data  sets  of  macroprudential  policies  typically  rely  on  the  macroprudential  policy 

instrument  as  the  unit  of  observation.  The  MaPPED  data  set  follows  a  more  granular 

approach by relying on policy actions as the unit of observation. This allows keeping track of 

both specific policy instruments and the different policy actions that have been taken using a 

specific instrument. Using policy actions as the unit of observation allows capturing changes 

in  macroprudential  policy  stances  in  more  detail  and  enables  researchers  to  track  each 

ECB Working Paper No 2123 / January 201811 
 
action resulting in a tightening or loosening of prudential requirements. At the same time, the 

data  set keeps  track  of specific  instruments  by  linking  entries related to the  same tool  (i.e. 

providing  information  on  whether  an  action  was  preceded  or  followed  by  another  action). 

Lastly,  the  data  also  provide  information  on  links  between  actions  that  allow  selecting  out 

actions  and  instruments  which  were  introduced  in  the  same  policy  package  (i.e.  were 

introduced in tandem and aimed at achieving a common goal).  

4. Data collection

MaPPED  has  been  developed  in  a  collective  effort  of  ECB  staff  and  experts  from  national 

central  banks  and  supervisory  authorities  of  the  28  EU  member  states  during  2015–2016. 

The  data  collection  was  performed  via  a  detailed  questionnaire  that  was  sent  to  national 

authorities  and  asked  for  information  on  policy  actions  related  to  the  eleven  categories  of 

policy  instruments  listed  in  Table  1.  For  each  policy  action  the  questionnaire  asked  for, 

amongst  others,  the  month  and  year  of  entering  into  force  of  a  policy  action,  a  short 

description of the main provisions of the action, the impact of the policy action (whether they 

should  be  interpreted  as  a  tightening  or  loosening  of  prudential  requirements),  the  type  of 

policy action (e.g. activation, recalibration or termination of an instrument), the implemented 

level  of  the  instrument  (if  it  can  be  quantified),  the  sector  affected  by  the  action,  and  the 

consequences of non-compliance. The annex provides a complete list of all attributes, while 

descriptive statistics for selected ones are discussed in the next section.  

The  data  collection  process  followed  a  three-step  approach.  In  a  first  step,  country 

questionnaires were pre-filled with measures reported in existing data sets of a global (Borio 

and  Shim  2007;  IMF  2011;  Lim  et  al.  2011;  Shim  et  al.  2013)  or  regional  scope 

(Vandenbussche  et  al.  2012;  Gersl  and  Jasova  2014).  Moreover,  these  data  were  further 

supplemented  with  information  from  the  quarterly  questionnaire  of  the  ECB’s  Financial 

Stability Committee (FSC), from FSC and ESRB notifications, from official publications and 

policy  notes  published  by  central  banks  or  supervisory  authorities,  or  from  country-specific 

and regional studies. This step ensured that the data set covers all instruments and related 

actions captured by alternative sources.  

In  a  second  step,  national  central  banks  and  supervisory  authorities  verified  and  added 

information  on  any  other  measures  of  a  macroprudential  nature  that  had  been  in  place 

between 1995 and 2014.  

ECB Working Paper No 2123 / January 201812In  the  final  step,  systematic  completeness  tests  were  conducted  (e.g.  against  the  World 

Bank’s  Bank  Regulation  and  Supervision  Survey,  as  described  by  Barth  et  al.,  2001)  and 

comparison exercises to arrive at a consistent coverage of the cross-country data.  

5. Basic descriptive statistics

In total, the data set covers more than 750 single policy instruments and almost 1,700 single 

policy actions, which have been taken in the 28 EU member states between 1995 and 2014 

or  that  were  already  in  force  by  1995.  As  figure  1  indicates,  the  by  far  most  frequently 

reported  actions  are  related  to  limits  on  large  exposures  (with  more  than  400  actions) 

followed  by  minimum  capital  requirements,  liquidity  requirements,  and  lending  standards 

restrictions (with each around 200 actions). Moreover, a smaller but still significant number 

of more than 100 policy actions are reported for the categories of sectoral risk weights, loan-

loss  provisioning,  limits  on  credit  growth,  and  other  measures.  Finally,  also  more  than  60 

actions  are  reported  for  the  category  of  macroprudential  capital  buffers,  while  only  few 

countries report actions related to taxes on financial institutions and only one country reports 

the implementation of a leverage ratio.  

The  questionnaire  also  asked  respondents  to  classify  each  policy  action  according  to  its 

main  character, 

i.e.  whether 

its  character  was  perceived  as  macroprudential,  as 

microprudential,  as  both  at the  same time,  or  as  having  a  different  character (e.g. fiscal  or 

monetary).  Figure  1  classifies  the  policy  actions  in  each  category  according  to  their  main 

character.  As  the  figure  shows,  policy  actions  related  to  minimum  capital  requirements, 

sectoral  risk  weights,  loan-loss  provision  and  large  exposure  limits  usually  had  a  mainly 

microprudential character. In contrast, the majority of policy actions related to capital buffers, 

limits  on  credit  growth  and  taxes  on  financial  institutions  had  a  mainly  macroprudential 

character.  Finally,  for  lending  standards  restrictions,  liquidity  requirements  and  other 

measures,  both  policy  actions  with  a  macroprudential  character  and  policy  actions  with  a 

microprudential  character  were  reported  frequently.  Thus,  the  results  indicate  that  the 

perceptions  of  survey  respondents  on  which  types  of  instruments  have  a  rather 

macroprudential or microprudential character can vary significantly for some instruments.  

ECB Working Paper No 2123 / January 201813Figure 1. Frequency of reported policy actions by instrument category and main character of 

policy action.  

Notes: Chart based on responses to questionnaire items “Type of a tool – Category” and  “Main character of a policy action” 
(see annex for details). Data include all policy actions implemented or in force during 1995-2014. 

Figure  2  again  reports  the  frequency  of  reported  policy  actions  by  instrument  type,  but 

classifies policy actions into those that are based on national regulations and those that stem 

from regulatory initiatives at the EU level. As shown in the figure, the high number of actions 

related  to  exposure  limits  and  minimum  capital  requirements  typically  results  from  the 

regular  adjustment  of  exposure  limits,  capital  adequacy  ratios  and  other  capital  ratios  in 

response  to  the  Basel  Accords  and  standards,  the  EU’s  CRDs  and  other  EU  regulations 

such  as  the  1992  Directive  on  the  Monitoring  and  Control  of  Large  Exposures  of  Credit 

Institutions.  In  contrast,  the  application  of  lending  standards  restrictions  and  liquidity 

requirements reflects a national preference for the use of these tools, which – in the case of 

liquidity requirements – has been most strongly pronounced in the new member states that 

joined the EU in or after 2004.  

ECB Working Paper No 2123 / January 201814 
 
 
Figure  2.  Frequency  of  reported  policy  actions  by  instrument  category  and  regulation 

underlying the instrument. 

Notes:  Chart  based  on  responses  to  questionnaire  items  “Type  of a  tool  –  Category”  and  “General  regulation  underlying  the 
design of an instrument” (see annex for details). Data include all policy actions implemented or in force during 1995-2014. 

In addition to asking respondents whether the main character of a policy action was macro- 

or microprudential (see figure 1), the questionnaire also asked for the specific objectives with 

which a policy action was taken. Multiple objectives could be reported for the same action. 

Among  the  objectives  included  in  the  questionnaire,  most  can  be  considered  as 

macroprudential  policy  objectives.  These  include  objectives  related  to  addressing  general 

and  sectoral  credit  growth,  bank  and  household  leverage,  developments  in  asset  process 

and  foreign  currencies,  exposure  concentration,  interconnectedness,  maturity  mismatches 

on banks’ balance sheets and finally the resilience of the financial system as a whole. As the 

upper  part  of  figure  3  indicates,  a  great  majority  of  actions  in  the  database  were  taken  by 

authorities  following  one  of  these  macroprudential  objectives.  There  are  also  a  significant 

number  of  actions  that  were  introduced  only  for  microprudential  (bank-level  oversight) 

reasons,  which  relates  to  the  relatively  high  number  of  policy  actions  related  to  minimum 

ECB Working Paper No 2123 / January 201815 
 
capital requirements and large exposure limits. Moreover, a smaller number of actions were 

introduced to fulfil harmonisation objectives, competition objectives or other objectives. 

The lower part of figure 3 reports the specific macroprudential objectives that policy-makers 

took into account when pursuing a policy action. A significant share of actions followed the 

objective of mitigating exposure concentration as well as the general objective of enhancing 

the resilience of the financial system. Moreover, many other actions were taken in order to 

address  sectoral  credit  growth  or  general  credit  growth,  which  is  in  line  with  other  recent 

findings  on  the  main  motives  for  macroprudential  policy-making  in  Europe  and  around  the 

world  (see  ESRB  2015;  Lim  et  al.  2011).  In  addition,  several  actions  also  addressed  the 

interconnectedness  of  banks,  their  risk  taking,  maturity  mismatches,  currency  risks  and 

market  liquidity,  while  only  a  very  small  number  of  actions  addressed  household  leverage 

and asset price developments.  

Figure 3: Frequency of reported policy actions by their objective. 

Notes: Chart based on responses to questionnaire item “Objective of a measure” (see annex for details). The same action can 
have multiple objectives. In the upper part of the figure, an action was considered to have a macroprudential objective, if it had 
at least one specific macroprudential objective. Data include all policy actions implemented or in force during 1995-2014. 

ECB Working Paper No 2123 / January 201816Table 2 indicates the number of policy actions that pursued each of the different objectives 

across the different categories of policy instruments. In the upper part of the table grey cells 

report the most often reported general objective for each instrument. In the lower part grey 

cells  report  the  three  most  often  reported  specific  macroprudential  objectives  for  each 

instrument  type.  Moreover,  in  the  lower  part  frequencies  printed  in  bold  indicate  the  most 

often used instrument type for each of the specific macroprudential objectives. As the upper 

part  of  the  table  shows,  policy  actions  involving  all  instrument  types  were  mostly  taken  in 

order  to  pursue  macroprudential  objectives.  Only  actions  related  to  minimum  capital 

requirements  were  most  of  the  time  taken  in  order  to  pursue  microprudential  objectives. 

Moreover,  a  significant  number  of  policy  actions  in  the  categories  of  minimum  capital 

requirements,  sectoral  risk  weights  and  limits  on  large  exposures  were  taken  for 

harmonisation reasons rather than or in addition to addressing existing risks in the banking 

system.  These  actions  usually  aimed  at  implementing  common  EU  regulations  (see  also 

figure 2).   

As indicated in the lower part of the table, addressing financial system resilience belonged to 

the three most often pursued objectives for eight out of the eleven different instrument types. 

Addressing banks’ risk taking and addressing sectoral or general credit growth belonged to 

the  three  most  often  pursued  objectives  for  several  instrument  categories.  In  addition,  the 

lower  part  of  the  table  shows  that  specific  policy  objectives  were  often  pursued  using 

particular  types  of  instruments.  For  instance,  issues  of  exposure  concentration  and 

interconnectedness were almost always addressed using limits on large exposures; maturity 

mismatches  and  currency  risks  were  in  most  cases  addressed  by  relying  on  liquidity 

requirements; and sectoral credit growth, asset price developments and household leverage 

were most often addressed by using lending standards restrictions. Policy-makers seem to 

have  had  a  preference  for  particular  types  of  policy  instruments  when  trying  to  achieve 

specific policy goals. 

ECB Working Paper No 2123 / January 201817 
  
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ECB Working Paper No 2123 / January 201818 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Another key attribute, which has been collected for each policy action, is whether the impact 

of  the  policy  action  should  be  interpreted  as  a tightening,  as  a  loosening  or  as  ambiguous. 

Figure 4 shows that almost 60% of the reported policy actions have led to the tightening of 

policies,  whereas  the  remaining  policy  actions  had  a  loosening  or  ambiguous  impact. 

Moreover, the chart also shows that the tightening of policy instruments was almost always 

caused  by  the  activation  of  instruments  or  the  recalibration  of  existing  instruments.  In 

contrast,  the  loosening  of  instruments  was  typically  triggered  by  the  recalibration  or 

deactivation  of  existing  instruments.  Finally,  policy  actions  with  an  ambiguous  impact  were 

typically  linked  to  the  recalibration  or  the  maintenance  of  the  level  or  scope  of  existing 

instruments. 

Figure 4: Frequency of reported policy actions by the resulting impact of the action.  

Notes: Chart based on responses to questionnaire items “Strengthening / Loosening” and “Type of a policy action” (see annex 
for details). Data include all policy actions implemented or in force during 1995-2014. 

Figure  5  analyses  the  relative  tightening  and  loosening  of  policies  across  different  types  of 

instruments.  For  each  instrument  type,  the  x-axis  reports  the  number  of  tightening  policy 

actions,  while  the  y-axis  reports  the  number  of  loosening  policy  actions  that  have  been 

reported during the 1995-2014 period. Thereby, the size of the marker circles indicates the 

number of distinct policy instruments that have been employed in each category. The figure 

shows that on an aggregate level there has been no significant change in policy stance for 

sectoral risk weights, limits on credit growth, other measures and leverage ratios, as all four 

types of instruments are relatively close to the 45-degree line that indicates an equal number 

ECB Working Paper No 2123 / January 201819 
 
 
of tightening and loosening policy actions between 1995 and 2014. In contrast, a moderately 

tightened  policy  stance  can  be  observed  in  the  categories  of  loan-loss  provisioning  and 

lending  standards  restrictions,  and  a  strongly  tightened  stance  can  be  observed  for  capital 

buffers, liquidity requirements, minimum capital requirements and limits on large exposures. 

Figure 5: Frequency of tightening policy actions vs. frequency of loosening policy actions by 

type of instrument. 

Notes and legend: Chart based on responses to questionnaire item “Strengthening / Loosening” (see annex for details). Policy 
actions with an ambiguous impact are excluded from the chart. Data include all policy actions implemented or in force during 
1995-2014.  The  size  of  the  marker  circles  indicates  the  number  of  policy  instruments  that  have  been  used  for  a  particular 
instrument type. MCR – minimum capital requirements; CB – capital buffers; SRW – sectoral risk weights; LR – leverage ratios; 
LLP  –  loan-loss  provisioning;  LSR  –  lending  standards  restrictions;  LCG  –  limits  on  credit  growth;  TFI  –  taxes  on  financial 
institutions;  LLE  –  limits  on  large exposures;  LCRM  –  liquidity  requirements  and  limits  on currency  and maturity mismatches; 
OM – other measures. 

ECB Working Paper No 2123 / January 201820Figure 6 shows that close to 94% of the policy actions in the data set had a legally binding 

character. In contrast, only about 6% of the policy actions were issued as recommendations. 

For almost all legally binding actions there are significant consequences of non-compliance 

in  form  of  monetary  and  non-monetary  sanctions  or  restrictions  on  activities,  while  no 

significant sanctions are attached to most of the recommendations. 

Figure 6: Frequency of reported policy actions by legal character.  

Notes: Chart based on responses to questionnaire items “Legal character” and “Consequences of non-compliance” (see annex 
for details). Data include all policy actions implemented or in force during 1995-2014. 

One key new component of the new macroprudential framework that has been put in place in 

response  to  the  global  financial  crisis  has  been  the  introduction  of  countercyclical 

macroprudential instruments and most prominently the countercyclical capital buffer. Figure 7 

reports the number of policy actions related to instruments with explicit countercyclical design 
for the pre-crisis period (1995-2007) and for the (post-) crisis period (2008-2014).6 The figure 

shows that the use of countercyclical policy tools has already been relatively common prior to 

the financial crisis. However, the figure also indicates that prior to the crisis instruments with 

a  countercyclical  design  to  a  large  extent  consisted  of  limits  on  excessive  credit  growth 

(mostly used by the new EU member states), while in the later part of the sample a greater 

variety  of  instruments  including  capital  buffers  and  to  a  larger  extent  also  liquidity 

requirements have been used with an explicit countercyclical design.  

6  In  the  MaPPED  questionnaire,  an  instrument  has  been  defined  as  having  a  countercyclical  design  if  (i)  its 
formula ensures that its level automatically tightens when systemic risks intensify and loosens when they fade, or 
(ii)  if  its  calibration  is  regularly  (e.g.  quarterly)  revised  along  with  the  intensity  of  cyclical  systemic  risk,  e.g.  by 
linking the revisions of an instrument to the evolution of indicators of systemic risk. 

ECB Working Paper No 2123 / January 201821 
 
 
Figure 7: Frequency of reported policy actions with a countercyclical design by type of policy 

instrument.  

Notes: Chart based on responses to questionnaire items “Countercyclical design” and “Type of policy action – Category” (see 
annex for details). Data include all policy actions implemented or in force during 1995-2014. 

Figure  8  reports  the  number  of  policy  actions  broken  down  by  several  other  dimensions. 

Most of the policy actions (59%) were taken as an element of a broader policy package, i.e. 

jointly  with  other  actions  and  in  order  to  achieve  a  common  objective.  37%  of  the  policy 

actions  were  undertaken  targeting  specific  type  of  bank  exposures  or  activities  (such  as 

exposures to the real estate sector), while 63%  of the policy actions  were undertaken on a 

general basis. Furthermore, only 1% of the policy actions targeted only exposures to foreign 

counterparts.  16%  of  the  policy  actions  targeted  only  exposures  to  domestic  counterparts, 

most  of  those  actions  involving  instruments  falling  under  the  category  of  reserve 

requirements or lending standards. 16% of the policy actions selectively targeted exposures 

either in domestic (9%) or foreign currency (7%).   

ECB Working Paper No 2123 / January 201822Figure 8: Frequency of reported policy actions by implementation approach, targeted market 

segment, targeted countries of exposures and targeted currencies.   

Notes:  Chart  based  on  responses  to  questionnaire  items  “Other  policy  actions”,  “Market  segment”,  “Domestic  vs.  foreign 
exposure” and “Currency” (see annex for details). Data include all policy actions implemented or in force during 1995-2014. 

6.  EU  policies with a macroprudential nature in 1995-2014 

This  section  uses  the  newly  collected  data  set  for  several  descriptive  analyses  of  the 

implementation  of  policies  of  a  macroprudential  nature  in  the  EU  between  1995  and  2014. 

The  first  subsection  examines  the  evolution  of  tightening  and  loosening  policy  actions  for 

different  instruments  at the  EU  level  between  1995  and  2014,  while  the second  subsection 

provides  a  basic  cross-country  comparison  of  the  use  of macroprudential  policies  in  the  28 

EU member states over the past two decades.  

6.1.  A descriptive analysis of policy tightening and loosening of over time 

Macroprudential  policies  across  the  EU  may follow  common trends  because  of  correlations 

of  financial  cycles  across  countries  or  as  a  consequence  of  common  EU  directives  and 

regulations.  To  examine  these  common  trends  in  the  macroprudential  policy-making  in  the 

ECB Working Paper No 2123 / January 201823 
 
 
 
EU  countries,  this  subsection  analyses  the  evolution  of  tightening  and  loosening  policy 

actions for different macroprudential instruments at the EU level over time.  

Figure 9 shows the number of tightening and loosening policy actions at  the aggregate EU 

level  over  time. The  chart  combines  the  information  for  all  categories  of policy  actions  of a 

macroprudential nature. Thereby, the light blue bars indicate the number of tightening policy 

actions, while the dark blue bars indicate the number of loosening policy actions. The solid 

line  provides  a  simple  measure  of  policy  stance  by  showing  the  net  number  of  tightening 

policy  actions  (i.e.  tightening  actions  minus  loosening  actions).  Moreover,  the  dashed  line 

reports the total number of actions, which also includes actions with an ambiguous impact.  

The mid-1990s saw a gradual tightening of the macroprudential policy stance in the EU. This 

tightening to some extent reflects the late phasing in of the Basel I Accord via adoption of the 

relevant  EU  directives  in  several  EU  jurisdictions.  The  ensuing  period  of  moderate 

adjustments  in  the  policy  stance  2000-2005  was  followed  by  a  policy  tightening  during  the 

upswing  of  the  financial  cycle  until  2007  and  again  by  a  significant  relaxation  of  this 

tightening with the outbreak of the financial crisis in 2008. Since 2010, there has been again 

a  notable  tightening  of macroprudential  policies,  which  presumably  aimed  at  increasing  the 

resilience  of  banking  sectors  and  which  culminated in  the  significant tightening  observed  in 

2014 as a consequence of the introduction of the CRR/CRDIV package.  

ECB Working Paper No 2123 / January 201824 
 
 
Figure 9: Evolution of macroprudential policy stance in the EU between 1995 and 2014. 

Notes:  Chart  based  on  responses  to  questionnaire  item  “Strengthening  /  Loosening”  (see  annex  for  details).  Data  include  all 
policy actions implemented or in force during 1995-2014. 

When examining changes in policy stance for the different categories of instruments, a more 

nuanced  picture  emerges.  Figure  10  disaggregates 

the 

information  by 

type  of 

macroprudential instrument and reports eight charts showing the trends in policy stances for 

different categories of instruments.  

ECB Working Paper No 2123 / January 201825Figure  10:  Evolution  of  policy  stance  for  different  macroprudential  instruments  in  the  EU 

between 1995 and 2014.  

Notes:  Chart  based  on  responses  to  questionnaire  items  “Type  of  a  tool  –  Category”  and  “Strengthening  /  Loosening”  (see 
annex for details). Data include all policy actions implemented or in force during 1995-2014. The categories “leverage ratio” and 
“levies or taxes on financial institutions” are not displayed, as too few policy actions were reported for them. 

ECB Working Paper No 2123 / January 201826 
For  minimum  capital  requirements,  the  periods  of  net  tightening  in  2007  and  2014  clearly 

result from the introduction of the CRD I-III and the CRR/CRDIV packages (see figure 10a). 

In addition, a notable number of member states have started implementing additional capital 

requirements from 2008 on (see figure 10b). Moreover, the introduction of capital buffers (in 

CRDIV)  including  countercyclical  capital  buffers,  capital  conservation  buffers,  capital 

requirements  for  systemically  important  institutions  and  systemic  risk  buffers  has  led  to  a 

significant tightening of capital-based policies (see figure 10b)  starting in 2014. Altogether, 

the  data  show  that  there  has  been  a  significant  tightening  in  capital  requirements  over  the 

last years, which has been far stronger than earlier periods of policy tightening. 

Turning  to  sectoral  risk  weights  and  lending  standards,  a  moderate  policy  tightening  in  the 

boom  years  ahead  of  the  financial  crisis  can  be  observed,  which  suggests  a  somewhat 

countercyclical  pattern  of  their  application  (see  figures  10c  and  10d).  Moreover,  the  data 

show that lending standards restrictions have again been tightened significantly since 2010, 

which reflects an increasing acknowledgement of their role in curbing the housing cycle and 

a growing appreciation of these tools in preventing bubbles in the housing market (see figure 

10d).  

The use of limits on credit growth including reserve requirements clearly follows the financial 

cycle with a clear tightening during the late 1990s and mid-2000s, and a loosening during the 

recession of the early 2000s and in response to the financial crisis from 2008 on (see figure 

10e). In contrast, the implementation of policy actions related to loan-loss provisioning does 

not seem to follow a clear pattern (see figure 10f).  

Changes in the tightness of limits on large exposures seem to result mostly from the general 

harmonisation  of  these  limits  through  EU  directives  such  as  the  Second  Banking  Directive, 

the  1992  Directive  on  the  Monitoring  and  Control  of  Large  Exposures  of Credit  Institutions, 

and the different CRD packages (see figure 10g). In contrast, for liquidity requirements, it is 

clearly  visible  that  the  liquidity  crisis  starting  in  2007/2008  led  to  a  significant  tightening  of 

liquidity requirements in the EU (see figure 10h). Following 2007, member states have been 

actively  introducing  additional  liquidity  requirements,  thus  anticipating  the  introduction  of  a 

harmonised liquidity coverage ratio across the EU from 2015 on. 

ECB Working Paper No 2123 / January 201827Altogether,  the  descriptive  analysis  reveals  that  there  has  been  significant  variation  in  the 

use of macroprudential instruments in the EU over the past two decades. This variation can 

be  observed  both  over  time  and  across  the  different  categories  of  instruments.  For  some 

instruments  such  as  sectoral  risk  weights,  lending  standards,  limits  on  credit  growth  and 

liquidity  requirements,  macroprudential  policy-making  seems  to  have  responded  to  the 

financial  cycle  or  to  financial  crisis  events.  For  other  types  of  instruments  such  as  capital 

requirements  or  limits  on  large  exposures,  policy-making  seems  to  largely  reflect  the 

introduction  of  harmonised  requirements  at  the  European  level.  Altogether,  there  seems  to 

be systematic variation in macroprudential policy-making in the EU.  

6.2.  A descriptive analysis of macroprudential policy-making across countries 

This  subsection  provides  a  comparative  analysis  of 

the 

intensity  and  scope  of 

macroprudential  policies  that  have  been  used  in  the  EU  member  states.  To  illustrate  the 

differences  in  the  intensity  of  macroprudential  policy  actions  across  countries,  figure  11 

reports  the  number  of  activated  instruments  of  a  macroprudential  nature  for  each  country 

until 2014. The figure shows that there is significant variation in the intensity with which EU 

countries have used macroprudential tools. For example, Greece, Bulgaria, Croatia, Cyprus, 

Slovakia,  Poland,  Latvia,  Ireland,  Slovenia  and  Hungary  activated  more  than  30  policy 

instruments  until  2014,  while  the  Czech  Republic,  Estonia,  Germany,  Denmark,  the  United 

Kingdom and Italy activated less than 15 instruments. Thereby, figure 11 highlights that new 

member states that joined the EU in 2004 or later have been on average much more active 

users of macroprudential tools than existing member states. This is likely related to the fact 

that some of these countries experienced a financial crisis during the 1990s (e.g. the Czech 

Republic or Hungary), and almost all of them faced post-transition challenges such as high 

volatility of macroeconomic and credit aggregates, occasional outflows of capital (or a risks 

thereof),  sudden  corrections  in  exchange  rates  or  risks  related  to  high  dollarisation  of  the 

economy.  

ECB Working Paper No 2123 / January 201828 
 
 
 
Figure  11:  Number  of  activated  policies  of  a  macroprudential  nature  across  EU  member 

states until 2014. 

Notes:  Chart  based  on  responses  to  questionnaire  item  “Type  of  a  policy  action”  (see  annex  for  details).  Data  cover  total 
number  of  policy  activations  and  thus  also  include  instruments  that  have  been  activated  and  at  a  later  point  in  time  been 
deactivated again. Data include all policy actions implemented or in force during 1995-2014. 

Figure  12  adds  a  time  dimension  to  this  comparison  by  plotting  the  average  number  of 

activated instruments per year during the pre-crisis period (1995-2007, on the x-axis) against 

the average number of activated instruments per year during the  (post-)crisis period (2008-

2014,  on  the  y-axis).  Thereby,  countries  located  below  the  45°  line  activated  more  policies 

prior  to  the  crisis,  while  countries  located  above  the  line  activated  relatively  more  policies 

between  2008  and  2014.  The  figure  shows  that  most  countries  activated  a  significantly 

higher  number  of  policies  of  a  macroprudential  nature  per  annum  during  and  following  the 

crisis  than  prior  to  the  crisis.  This  holds  in  particular  for  countries  whose  financial  sectors 

were relatively strongly affected by the crisis e.g. Cyprus, Hungary, Ireland and Portugal. Yet, 

there  are  also  a  few  countries  that  clearly  deviate  from  this  trend.  Bulgaria,  the  Czech 

Republic,  Greece,  Romania  and  Slovenia  were  almost  equally  active 

in  setting 

macroprudential  policies  during  both  periods.  Thereby,  Greece  introduced  a  very  high 

number of macroprudential measures both prior to the crisis, including a significant number 

of credit growth limits and lending standards restrictions, and following the crisis. 

ECB Working Paper No 2123 / January 201829 
 
Figure 12: Average number of activated policies per year across EU member states during 

1995-2007 and during 2008-2014. 

Notes:  Chart  based  on  responses  to  questionnaire  item  “Type  of  a  policy  action”  (see  annex  for  details).  Data  cover  total 
number  of  policy  activations  and  thus  also  include  instruments  that  have  been  activated  and  at  a  later  point  in  time  been 
deactivated again. Data include all policy actions implemented during 1995-2014. Black line indicates 45° line. 

In addition to comparing the intensity with which member states have used macroprudential 

tools, it is also possible to compare countries according to the scope of tools that they have 

used.  To  do  so,  figure  13  reports  the  share  of  subcategories  from  which  a  country  has 

reported at least one policy action. Thereby, a higher share of subcategories indicates that a 

country  has  used  a  greater  variety  of  instruments  of  a  macroprudential  nature.  Again, 

significant  differences  across  EU  member  states  emerge.  While  Greece,  Bulgaria,  Latvia, 

Slovakia, Croatia, Ireland and Hungary have used instruments from more than 40 out of the 

53 different subcategories, Austria, Germany, the Czech Republic, Estonia, Spain, Sweden, 

ECB Working Paper No 2123 / January 201830 
 
 
Finland and Italy used  instruments from less than 25 subcategories. Also in this case, new 

EU member states have on average been using a much greater variety of macroprudential 

tools than existing member states. 

Figure  13:  Share  of  subcategories  with  at  least  one  reported  policy  action  across  EU 

member states until 2014 

Notes: Chart based on responses to questionnaire item “Type of a tool - Subcategory” (see annex for details). Data include all 
policy actions implemented or in force during 1995-2014. 

Figure 14 plots the share of subcategories with at least one reported policy action during the 

1995-2007  period  (on  the  x-axis)  against  the  same  share  during  the  2008-2014  period  (on 

the y-axis). The figure clearly shows that the variety of types of macroprudential policies has 

expanded during and in the aftermath of the financial crisis. Most countries lie above the 45° 

line, indicating that they have used a more diverse set of tools of a macroprudential nature 

during  the  2008-2014  period  than  prior  to  2008.  The  only  clear  exception  to  this  pattern  is 

Greece,  which  however  has  used  a  relatively  large  variety  of  different  instruments  during 

both  sample  periods.  Altogether,  the  variety  of  tools  that  have  been  employed  has 

significantly expanded over time. Specifically, the period from 2008 to 2014 has seen a much 

more active use of instruments related to minimum capital requirements (Tier 1 capital ratio, 

ECB Working Paper No 2123 / January 201831 
 
 
CET  1  capital  ratio  and  Core  Tier  1  capital  ratio),  capital  buffers  (countercyclical  capital 

buffer,  capital  conservation  buffer,  systemic  risk  buffer  and  other  capital  requirements 

targeting most important institutions), lending standards restrictions (DSTI limits and limits on 

interest rates of loans), taxes on financial institutions, and selected other subcategories such 

as  LTD  ratios,  debt  resolution  policies  or  crisis  management  tools.  This  greater  variety  of 

tools seems to reflect both the introduction of the new macroprudential toolkit at the EU level 

as part of the CRR/CRDIV package and the use of a wider set of instruments at the national 

level to respond to the financial crisis .  

Summing up, the descriptive analysis reveals a significant variation in the intensity and scope 

of  macroprudential  policy-making  across  EU  member  states.  Interestingly,  new  member 

states  that  joined  the  EU  in  or  after  2004  both  tend  to  activate  a  higher  number  of 

instruments  of  a  macroprudential  nature  and  tend  to  use  a  greater  variety  of  different 

instruments. Moreover, the analysis shows that with the outbreak of the financial crisis most 

countries increased both their policy activity in terms of the number of activated policies and 

the  scope  of  used  policies  in  terms  of  the  variety  of  different  instruments  applied.  This 

variation  in  the  use  of  policy  instruments  across  countries  and  over  time  once  again 

highlights the need for future analyses to improve our understanding of both the sources and 

the  consequences  of  differences  in  macroprudential  policy-making  across  EU  member 

states.  

ECB Working Paper No 2123 / January 201832 
 
 
Figure  14:  Share  of  subcategories  with  at  least  one  reported  policy  action  across  EU 

member states during 1995-2007 and during 2008-2014.  

Notes: Chart based on responses to questionnaire item “Type of a tool - Subcategory” (see annex for details). Data include all 
policy actions implemented during 1995-2014. Black line indicates 45° line. 

7. A bivariate analysis of the effectiveness of macroprudential policy tools

This section presents a simple analysis of the impact of selected policy instruments on credit

growth, which – when becoming excessive – is typically considered as a source of systemic

risk.  The  analysis  considers  the  bivariate  correlation  between  the  tightening  of  policy

instruments and measures of credit growth. The tightening of policy instruments is measured

in two different ways: (i) as an activation of new instruments (a narrow measure), (ii) as either

an activation of new instruments or recalibration of existing instruments (a broader measure).

Due  to  its  bivariate  nature,  the  analysis  does  not  allow  drawing  any  conclusions  on  the

causality of the relationships. Yet, it may be indicative of a potential impact of various policy

ECB Working Paper No 2123 / January 201833instruments on credit developments and provides an intuitive sense of the possible effects of 

the macroprudential policy tools. 

The first four rows of figure 15 show the relationship between annual credit growth and the 

tightening  of  capital-based  policy  instruments,  namely  the  introduction  of  minimum  capital 

requirements,  other  capital  buffers  including  profit  distribution  restrictions,  regulatory  loan-

loss provisioning standards and sectoral risk weights. The solid lines in the two columns of 

charts  on  the  left-hand  side  present  the  annual  growth  in  MFI  credit  to  non-financial 

corporations (NFCs) before and after the tightening of an instrument, while the solid lines in 

the two columns of charts on the right-hand side illustrate the annual growth in MFI credit to 

household. Moreover, dashed lines show the average credit growth in the four years prior to 

the tightening and in the four years after the tightening. 

On  average,  the  growth  in  MFI  credit  to  NFCs  and  households  declined  notably  with  the 

introduction  of  new  minimum  capital  requirements,  capital  buffers  or  new  loan-loss-

provisioning  standards.  However,  it  remained  largely  unaffected  by  the  introduction  of  new 

sectoral  risk-weights.  The  decline  in  credit  following  a  tightening  resulting  from  only 

activations of new instruments was either similar or larger compared to the decline in credit 

following  a  tightening  resulting  from  either  activations  or  recalibrations.  Moreover,  in  most 

cases where credit growth was on average lower after a policy change, it started to decline 

already a year prior to the entering into force of a measure, which could be due to possible 

announcement effects.  

ECB Working Paper No 2123 / January 201834Figure 15: Average growth in credit to NFCs and households before and after the tightening 

of macroprudential measures. 

Legend  and  notes:  Solid  line  indicates  the  average  annual  growth  in  MFI  loans.  Dashed  line  indicates  the  average  annual 
growth  in  MFI  loans  four  years  before  and  following  a  policy  change.  Charts  based  on  responses  to  questionnaire  items 
“Strengthening / Loosening” and “Type of a policy action” (see annex for details). Data include all policy actions implemented or 
in force during 1995-2014. Credit data are Quarterly Sector Accounts data on total MFI loans to NFCs and total MFI loans to 
households from the ECB Statistical Data Warehouse. 

ECB Working Paper No 2123 / January 201835Rows  5  to  7  of figure  15  present  the  results  of similar  bivariate  analyses  for  three  types  of 

borrower-based measures. The average growth of credit to NFCs declined significantly with 

the introduction or recalibration of LTV, LTI, DTI or DSTI limits and other lending standards 

restrictions, providing tentative evidence that these macroprudential tools may be effective in 

mitigating credit growth. 

Finally, the last three rows of figure 15 present the results of the analyses for large exposure 

limits  and  liquidity-based  measures,  distinguishing  between  caps  on  short-term  maturity 

mismatches  on  banks’  balance  sheets  (similar  to  the  Liquidity  Coverage  Ratio)  and  other 

measures  limiting  maturity  mismatches.  While  credit  growth  was  not  affected  by  the 

tightening of large exposure limits, it declined markedly following the tightening of measures 

targeting banks maturity mismatches. 

8.  Conclusions  

This paper introduces the  Macroprudential Policies Evaluation Database  (MaPPED), a new 

data set on policies of a macroprudential nature in the 28 EU member states between 1995 

and  2014.  Compared  to  other  existing  data  sets  with  a  similar  scope,  the  new  data  set 

provides  for  a  significantly  higher  degree  of  comprehensiveness  and  cross-country 

comparability  for  a  number  of  advanced  economies.  The  latter  has  been  achieved  through 

extensive  cross-checks  and  involvement  of  experts  of  national  authorities  in  all  28  EU 

member  states.  Looking  forward,  the  data  set  is  envisaged  to  be  regularly  (bi-annually) 

updated with information on new macroprudential measures taken in the EU member states, 

extending the reach of MaPPED beyond 2014. 

The  newly  collected  data  set  makes  an  important  contribution  to  the  discussion  on  the 

effectiveness  of  different  macroprudential  instruments  in  addressing  systemic  risk.  In 

particular,  the  descriptive  analyses  presented  in  this  paper  reveal  that  there  has  been 

significant  variation  in  the  use  of  instruments  of  a  macroprudential  nature  both  across  EU 

countries  and  over  time.  Moreover,  the  analyses  suggest  that  a  share  of  instruments 

available in the present macroprudential toolbox, such as capital buffers, regulatory lending 

standards or liquidity caps, may have had an impact on credit to non-financial private sector 

in  the  EU. These  early  results  confirm the  validity  of  the  newly  collected  data  and  highlight 

their  usefulness 

for 

the  empirical  analysis  of  macroprudential  policy-making.  Most 

ECB Working Paper No 2123 / January 201836 
importantly, they call on policy-makers and researchers to make use of the new data source 

in order to improve our understanding or macroprudential policy-making in the EU.  

Overall, the new data set aims at facilitating macroprudential policy assessments in the form 

of  case  studies,  cross-country  comparisons,  time-series  and  panel  data  analyses  of  the 

effectiveness  of  macroprudential  policies.  In  particular,  future  research  in  this  area  could 

proceed in at least three ways. First, the new data set will allow for more detailed descriptive 

analyses  of  the  use  of  different  macroprudential  instruments  in  order  to  better  understand 

how  different  tools  have  been  used  across  countries  and  over  time,  and  which  tools  are 

typically  used  as  complements  or  substitutes.  Second,  future  research  should  use  the  new 

data  to  examine  the  determinants  of macroprudential  policy-making  across  EU  countries  in 

order to identify the economic, financial, political and institutional factors that may influence 

the use and selection of macroprudential instruments or that may constrain policy-makers in 

using them. Finally and most importantly, the new data set will allow for systematic analyses 

of  the  effectiveness  of  different  macroprudential  measures  in  addressing  systemic  risk  and 

financial sector developments in the EU, which will provide policy-makers with much needed 

guidance on which instruments to use and when to apply them.  

ECB Working Paper No 2123 / January 201837 
 
 
 
 
 
 
 
 
 
 
9. References

Akinci,  O.,  and  J.  Olmstead-Rumsey  (2015):  “How  Effective  are  Macroprudential  Policies?

An Empirical Investigation.” International Finance Discussion Paper 1136.

Barth,  J.  R.,  G.  Caprio,  and  R.  Levine  (2001):  “The  Regulation  and  Supervision  of  Banks 

Around the World: A New Database.” World Bank Policy Research Working Paper No. 2588. 

Borio,  C.  and  I.  Shim  (2007):  “What  can  (macro-)prudential  policy  do  to  support  monetary 

policy?” BIS Working Papers No. 242. 

Bridges J., D. Gregory, M. Nielsen, S. Pezzini, A. Radia, and M. Spaltro (2014): “The impact 

of capital requirements on bank lending.” Bank of England Working Paper No. 486. 

Cerutti,  E.,  S.  Claessens,  and  L.  Laeven.  2017a.  “The  Use  and  Effectiveness  of 

Macroprudential Policies: New Evidence,” Journal of Financial Stability, vol. 28, pp. 203-224  

Cerutti,  E.,  R.  Correa,  E.  Fiorentino,  and  E.  Segalla.  2017b.  “Changes  in  Prudential  Policy 

Instruments: A New Cross-Country Database.” International Journal of Central Banking, vol. 

13  (1),  pp.  477-503.Claessens,  S.,  S.  R.  Ghosh,  and  R.  Mihet.  2013.  “Macro-Prudential 

Policies  to  Mitigate  Financial  System  Vulnerabilities.”  Journal  of  International  Money  and 

Finance 39(C):153-185. 

De Nicolò, G., G. Favara, and L. Ratnovski. 2012. “Externalities and Macroprudential Policy.” 

IMF Staff Discussion Note 12/05. 

Dell'Ariccia, G., D. Igan, L. Laeven, and H. Tong. 2012. “Policies for Macrofinancial Stability: 

Options to Deal with Credit Booms.” IMF Staff  Discussion Note SDN/12/06. 

Dimova,  D.,  P.  Kongsamut,  and  J.  Vandenbussche.  2016.  “Macroprudential  Policies  in 

Southeastern Europe.” IMF Working Paper 16/29. 

Elliott D., G. Feldberd, and A. Lehnert (2013): “The history of cyclical macroprudential policy 

in the United States.” Federal Reserve Board Discussion Series No. 2013-29. 

ESRB  (2014a):  “The  ESRB  Handbook  on  Operationalising  Macro-prudential  Policy  in  the 

Banking Sector”. ESRB. 

ESRB (2014b): “Flagship Report on Macro-prudential Policy in the Banking Sector”. ESRB. 

ECB Working Paper No 2123 / January 201838ESRB (2015): “A review of macro-prudential policy in the EU one year after the introduction 

of the CRD/CRR.” ESRB. 

Gersl,  A.,  and  M.  Jasova  (2014):  “Measures  to  tame  credit  growth:  Are  they  effective?” 

Economic Systems 38(1): 7-25. 

Hilbers,  P.,  I.  Otker-Robe,  C.  Pazarbasioglu,  and  G.  Johnsen  (2005):  “Assessing  and 

Managing  Rapid  Credit  Growth  and  the  Role  of  Supervisory  and  Prudential  Policies.”  IMF 

Working Paper 05/15. 

IMF (2011): “Macroprudential Policy: An Organizing Framework – Background Paper.” March 

2011. 

IMF (2013): “Global Macroprudential Policy Instruments Database.” May 2013. 

Lim,  C.,  F.  Columba,  A.  Costa,  P.  Kongsamut,  A.  Otani.  M.  Saiyid,  T.  Wezel,  and  X.  Wu 

(2011):  “Macroprudential  Policy:  What  Instrument  and  How  to  Use  Them?  Lessons  from 

Country Experiences.” IMF Working Paper 11/238. 

Reinhardt,  D.,  and  R.  Sowerbutts.  2015.  “Regulatory  Arbitrage  in  Action:  Evidence  from 

Banking Flows and Macroprudential Policy.” Bank of England Staff Working Paper 546. 

Shim,  I.,  B.  Bogdanova,  J.  Shek,  and  A.  Subelyte  (2013):  “Database  for  policy  actions  on 

housing markets.” BIS Quarterly Review, September 2013. 

Vadenbussche,  J.,  U.  Vogel,  and  E.  Detragiache  (2012):  “Macroprudential  Policies  and 

Housing  Prices:  A  New  Database  and  Empirical  Evidence  for  Central,  Eastern,  and  South-

eastern Europe.” IMF Working Paper 12/303. 

Zhang,  L.,  and  Zoli,  E.,  (2016):  “Leaning  against  the  wind:  Macroprudential  policy  in  Asia”, 

Journal of Asian Economics, 42, issue C, p. 33-52. 

ECB Working Paper No 2123 / January 201839 
 
10. Annex 

10.1.  Comparison of MaPPED with existing databases 

Table A1: Overview of previous data sets on macroprudential policy actions. 

Category 

Sub-Category 

1. Minimum 
capital 
requirements 

1.1. Capital adequacy ratio (CAR) 

1.2. Tier 1 capital ratio 

1.3. Common Equity Tier 1 capital ratio (CET 1) 

1.4. Core Tier 1 capital ratio 

2.1. Countercyclical capital buffer (CCyB) 

2.2. Capital conservation buffer 

2. Capital buffers 

2.3. Systemic risk buffer 

2.4. G-SII capital buffer 

2.5. O-SII capital buffer 

2.6. Other capital requirement targeting most important institutions 

2.7. Other capital surcharges and own funds requirements   

2.8. Profit distribution restrictions 

3.1. Risk weights for loans backed by residential property 

3. Risk weights  

3.2. Risk weights for loans backed by commercial property  

3.3. Other sectoral risk weights 

4. Leverage ratio 

5.1. Loan classification rules 

5. Loan-loss 
provisioning 

5.2. Minimum specific provisioning 

5.3. General provisioning 

5.4. Capital treatment of loan loss reserve 

6.1. Loan-to-value (LTV) limits 

6.2.  Loan-to-income (LTI) limits 

6.3. Debt-to-income (DTI) limits 

6.4. Debt-service-to-income (DSTI) limits (incl. interest rate stress testing) 

6. Lending 
standards 
restrictions 

6.5. Limits on interest rates on loans 

6.6. Maturity and amortisation restrictions 

6.7. Other income requirements for loan eligibility 

6.8. Limits on the volume of personal loans 

6.9. Other restrictions on lending standards 

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● 8 

● 5  ● 

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ECB Working Paper No 2123 / January 201840 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Category 

Sub-Category 

7. Limits on credit
growth and 
volume 

7.1. Reserve requirements related to banks’ liabilities 

7.2. Asset-based reserve requirements 

8. Levy / Tax on 
financial 
institutions and 
activities 

8.1. Tax on  assets/liabilities 

8.2 Tax on financial activities 

9.1. Single client exposure limits  

9.2. Intragroup exposure limits 

9. Limits on large
exposures and 
concentration 

9.3. Sector and market segment exposure limits 

9.4. Funding concentration limits 

9.5. Limits on qualified holdings outside the financial sector 

9.6. Other exposure and concentration limits 

10.1. Loan-to-deposit (LTD) limits 

10. Liquidity 
requirements and 
limits on currency 
mismatches 

10.2. Other stable funding requirements incl. Net Stable Funding Requirement (NSFR)  

10.3. Short-term liquidity coverage ratios incl. Liquidity Coverage Ratio (LCR) 

10.4. Liquidity ratios and deposit coverage ratios 

10.5. Limits on FX mismatches 

10.6. Other 

11.1.Structural measures 

11.2. Margin requirements 

11.3. Other regulatory restrictions on financial activities  

11. Other 
measures

11.4. Limits on deposit rates 

11.5. Debt resolution policies 

11.6. Crisis management tools 

11.7. Changes in regulatory framework 

11.8. Other 

Sample 

EU countries 

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6
0
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-
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9
9
1

0
1
0
2
-
0
0
0
2

*
8
0
0
2
-
8
9
9
1

2
1
0
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9
9
1

3
1
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3
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3
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4
1
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10 

14 

19* 

28 

24 

28 

15 

25 

Legend and notes: ● Included in the database. ● Partially included in the database. (1) “Caps on foreign currency 
lending”  including  higher  risk  weights  on  FX  exposures;  (2)  “Time  varying/Dynamic  provisioning”;  (3)  Jointly 
referred to as “Limits on maturity mismatch”, “Liquidity requirements“ or “Liquidity tools“ or “Liquidity“ depending 
on  the  source;  (4)  Focusing  on  provisioning  of  loans  for  housing  or  to  households,  or  on  mortgage  loans;  (5) 
Limits on FX loans; (6) Levy/tax on financial institutions; (7) Limits on interbank exposures; (8) Jointly referred to 
as  “Other  lending  restrictions“;  (9)  Related  to  the  property  market;  (10)  ‘Ceilings  on  credit  growth’;  (11)  Jointly 
referred to as “Exposure / credit concentration limits“; (12) Relates to exposures to the housing sector. * Estimate 
due to no exact information provided.  

ECB Working Paper No 2123 / January 201841 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
10.2.  Descriptive statistics by country 

Figure  A1:  Evolution  of  macroprudential  policy  stance  in  the  EU  member  states  between 

1995 and 2014. 

ECB Working Paper No 2123 / January 20184210.3.  Codebook and coding rules 

Table A2: List of attributes, response categories and questionnaire instructions. 

ID 

Attribute name 

Definition of attribute and questionnaire 
instructions 

Response categories 

GENERAL INFORMATION 

R.1 

A.1 

A.2 

ID of the policy 
action 
Type of a tool - 
Category 
Type of a tool - 
Subcategory 

A.3 

Description of a tool 

Type of a policy tool  

See Table A3 below 

Type of a policy tool 

See Table A3 below 

Description of the tool including any 
important characteristics not captured 
elsewhere in the questionnaire.  

Single choice 
Select which applies: 
1.  Activation of a new tool 
2.  Change in the level of an existing tool 
3.  Change in the scope of an existing tool7 
4.  Deactivation of an existing tool 
5.  Maintaining the existing level and scope of 

a tool8 

Single choice 
Select which applies: 
1.  Policy tightening 
2.  Policy loosening 
3.  Other (e.g. harmonisation of rules) and 

with ambiguous impact  

Single choice 
Select which applies: 
1.  Yes 
2.  No 

A.4 

Type of a policy 
action 

Type of policy action undertaken. 

A.5 

Strengthening / 
Loosening 

The (intended) change in prudential policy 
stance triggered by the action.  

A.6 

Reciprocated 
measure 

Country code of the 
jurisdiction that 
introduced the 
reciprocated 
measure 

ID of the original 
measure 

Announcement – 
Year 

Announcement – 
Quarter 

Announcement – 
Month 

Announcement – 
Day 

A.6.
1 

R.6 

B.1.
Y 

B.1.
Q 

B.1.
M 

B.1.
D 

Is the action a reciprocation of a measure 
introduced in another jurisdiction? If "1. 
Yes", proceed to A.6.1 and A.6.2 

Applies to answer "1. Yes" in A.6.  

Indicate the country code of the jurisdiction 
that introduced the reciprocated measure. 
A country code list according to ISO 2-letter 
country standards is available under: 
https://www.iso.org/obp/ui/#search 

Applies to answer "1. Yes" in A.6.  

The date when a law, regulation or 
recommendation becomes enacted, i.e. its 
final formulation and date of its entry into 
force is known to all affected parties. 
Depending on the level of legislation 
(primary, delegated act or 
recommendation), the following dates 
should be reported as the announcement 
date: 
(1) 

If known, the date of approval of the 
legislation (by parliament or 

Date format (YYYY) 
Please specify 

Date format (Q) 
Please specify  

Date format (M) 
Please specify  

Date format (D) 
Please specify 

7  A  change  in  the  scope  of  an  existing  tool  relates  to  measures  where  the  calibration  of  the  tool  remains 
unchanged but a policy action modifies institutional coverage, or extends or narrows exposures to which the tool 
applies. Examples include: (i) the broadening of the base for calculation of capital requirements; (ii) the enlarged 
scope for DSTI regulations to include non-bank financial institutions; or (iii) increases in the scope to incorporate 
foreign liabilities. 
8  Maintaining  an  existing  tool  applies  to  cases  when,  e.g.,  (i)  a  temporary  measure  has  been  prolonged;  (ii)  a 
policy tool is periodically reviewed (e.g. on the basis of CRR/CRD IV); or (iii) only the legal basis of a tool has 
been changed.  

ECB Working Paper No 2123 / January 201843 
 
 
 
 
 
 
ID 

Attribute name 

(2) 

Definition of attribute and questionnaire 
instructions 
government); or if this is not known 
the date of publication of the 
legislation in a government gazette; or 
the date of publication of the 
legislation on government agencies’ 
webpages; or if it is not published  
the date of circulation of the legislation 
to affected parties. 

(4) 

(3) 

Response categories 

B.2.
Y 

B.2.
Q 

B.2.
M 

B.2.
D 

In force since – 
Year 

In force since – 
Quarter 

In force since – 
Month 

In force since – Day 

The date when a law, regulation or 
recommendation legally becomes effective. 
Commonly this date is stipulated directly in 
the law or regulation. When a certain 
threshold regarding capital or liquidity 
requirements and buffers has to be met 
before the date stipulated in the 
corresponding law, regulation or 
recommendation, this date should be 
treated as the date of entry into force.   

Date format (YYYY) 
Please specify 

Date format (Q) 
Please specify  

Date format (M) 
Please specify  

Date format (D) 
Please specify 

B.4 

Envisaged duration  

The envisaged duration of a measure. 

For a deactivated measure select “Does not 
apply”.  

Single choice 
Select which applies: 
1.  A measure with an indefinite duration  
2.  A measure with regularly revised 

calibration 

3.  A stage in the phase-in of a measure  
4.  A temporary measure with known duration 
5.  A temporary measure with unknown 

duration 
6.  Does not apply 

Text 

Applies to answers "2. A measure with 
regularly revised calibration", "3. A stage in 
the phase-in of a measure", and "4. A 
temporary measure with known duration" in 
B.4. 

For answer "2", specify the frequency of 
revisions (monthly, quarterly, annual); for 
answer "3", specify the duration of the 
phase-in stage; for answer "4", specify the 
date or the event (e.g. entry into force of a 
new legislation) when a measure will 
become deactivated. 
Does not apply for answer 1 (activation of a 
new tool) in A.4.  

Provide the ID of the last action related to 
the tool.  
Does not apply for answer 4 (deactivation 
of an existing tool) in A.4.  

Provide the ID of the next action related to 
the tool. 
Only applies for answer 4 (deactivation of 
an existing tool) in A.4. Otherwise does not 
apply. 

Provide the ID of the newly introduced tool 
envisaged to replace the deactivated tool. 

DESCRIPTION OF THE MEASURE 

Calibration 

Does not apply to answer "1. Activation of a 
new tool" in A.4. 

Specify the earlier level(-s) of the 
instrument. 
Does not apply to answer "4. Deactivation 
of an existing tool" in A.4.  

Text or numeric 

Text or numeric 

B.4.
1 

Envisaged duration 
– additional 
information 

R.2 

Preceded by  

R.3 

Followed by  

R.4 

Replaced by  

C.1 

Earlier level 

C.2 

New level 

ECB Working Paper No 2123 / January 201844 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
ID 

Attribute name 

Definition of attribute and questionnaire 
instructions 

Response categories 

C.3 

Type of a change in 
the scope of a tool 

Specify the new level(-s) of the instrument.  
Does not apply to answer "4. Deactivation 
of an existing tool" in A.4.  

Specify other details of the present 
calibration of the tool following the policy 
action, e.g., modifications in institutional 
coverage or extensions of exposures to 
which the tool applies. 
Does the measure have a countercyclical 
design? 

Text  

C.4 

Countercyclical 
design 

2) 

A measure has a countercyclical design 
when:  
1) 

its formula ensures that its level 
automatically tightens when systemic 
risks intensify and loosens when they 
fade, e.g. dynamic provisioning where 
the general provisioning coefficient 
increases in line with credit expansion; 
its calibration is regularly (e.g. 
quarterly) revised along with the 
intensity of cyclical systemic risk, e.g. 
by linking the revisions of an 
instrument to the evolution of 
indicators of systemic risk (e.g. CCyB).  

Scope 

financial 

Types  of 
that  are 
required  to  comply  with  the  policy  action 
(following ESA2010 classification). 

institutions 

D.1 

Sector 

Response  “1.  Credit  institutions”  refers  to 
undertakings  whose  business  is  to  receive 
deposits  or  other  repayable  funds  from the 
public  and  to  grant  credits  for  their  own 
includes  amongst  others 
account.  This 
commercial  banks, 
corporate  banks, 
savings banks, credit cooperatives, building 
societies,  and  banks 
in 
mortgage lending (if they accept deposits). 

specialised 

than  credit 

types  of  brokers 

Response  “4.  Other  financial  corporations 
(different 
institutions,  other 
MFIs,  insurance  corporations  and  pension 
funds)” refers to credit providers that do not 
investment 
accept  deposits,  non-MMF 
(like 
funds,  various 
securities  brokers),  dealers, 
financial 
service  consultants,  investment  advisers, 
private  portfolio managers, market makers, 
payments 
institutions,  electronic  money 
institutions,  financial  leasing  companies, 
funds  or  mutual 
managers  of  pension 
funds, 
plate 
estates, 
trusts, 
companies,  and  units  providing  financial 
services with own funds. In some countries, 
many of these other financial intermediaries 
are  summarised  under 
terms  such  as 
“investment  firms”  (e.g.  in  LU),  “financial 
enterprises”  (e.g. 
in  HU)  or  “financial 
services institutions” (e.g. in DE). 

brass 

Single choice 
Select which applies: 
1.  Yes 
2.  No 

Multiple choice 
Select all that apply: 
1.  Credit institutions 9 
2.  Money market funds (MMF)10 
Insurance corporations or pension funds11 
3. 
4.  Other financial corporations (different than 

credit institutions, other MFIs, insurance 
corporations and pension funds)12 

D.1.
1 

D.2 

Sector – additional 
information 

Supplementary information to question D.1. 

Text 

Consolidation basis 
of institutions 

At what consolidation level does the 
instrument apply? 

Multiple choice 
Select all that apply: 
1.  Consolidated basis 

9 Corresponding to S.122 of ESA2010. 
10 Corresponding to S.123 of ESA2010. 
11 Corresponding to S.128 and S.129 of ESA2010. 
12 Corresponding to S.124, S.125, S.126 and S.127 of ESA2010. 

ECB Working Paper No 2123 / January 201845 
 
 
 
 
 
 
 
ID 

Attribute name 

Definition of attribute and questionnaire 
instructions 

D.3 

Legal status of 
institutions 

Legal form of resident financial institutions 
that have to comply with the regulation. For 
measures that apply to all institutions 
providing services in a jurisdiction, please 
select all types of institutions.  

Response categories 

2.  Sub-consolidated basis 
3.  Solo basis 
4.  Does not apply  
Multiple choice 
Select all that apply: 
1. 
2.  Subsidiaries of institutions headquartered 

Institutions headquartered domestically  

in another EU country 

3.  Branches of institutions headquartered in 

another EU country 

4.  Subsidiaries of institutions headquartered 

in a non-EU country 

5.  Branches of institutions headquartered in 

a non-EU country 

6.  Does not apply  

D.3.
1 

Institutions – 
additional 
information 

Selection criteria 

D.4 

Supplementary information to question D.3. 

Text 

Does a measure apply only to a specific 
sub-group of institutions in the sector (i.e. 
sectors pointed at in field D.1)?  

If a measure applies to all institutions select 
“1. Does not apply”.  

Multiple choice 
Select all that apply: 
1.  Does not apply 
2.  Systemically important or large 
3.  Not systemically important or small 
4.  Applying internal rating-based (IRB) 

approach  

5.  Applying standardised approach (SA)  
6. 
Listed at stock exchange 
7.  Not listed at stock exchange 
8.  Other differentiation within the sector 

D.4.
1 

Selection criteria – 
Other  

Text field for answer “Other differentiation 
within the sector” in field D.4 or any 
supplementary information for other 
answers. 

Text 

D.5  Market segment 

Balance sheet items targeted by a 
measure. 

If “1. General measure” is selected, none of 
the other response categories should be 
selected. 

D.5.
1. 

Market segment – 
Other  

D.6.  Currency 

D.6.
1 

Foreign currency – 
additional 
information 

D.7 

Domestic vs foreign 
exposure 

Text field for answer “8. Other” in D.5 or 
any supplementary information for other 
answers. 
The currency of denomination of 
instruments/activities targeted by the 
measure. If the measure applies 
irrespectively of the currency of 
denomination, select both options. 
Text field for answer “2. Foreign-currency 
targeted measures” in D.6.  Additional 
information on the targeted currencies and 
whether a measure applies to instruments 
in foreign currencies or indexed to foreign 
currencies. 
Domestic exposures are understood as 
exposures to counterparties resident in a 
member state irrespective of the currency 
of the contract. Foreign exposures are 
defined as exposures to counterparties not 
resident in the member state.  

In case a measure applies to any type of 
exposures, both domestic and foreign 

Multiple choice 
Select all that apply: 
1.  General  
2.  Exposures to financial corporations (incl. 

credit institutions) 

3.  Exposures backed by commercial real 

estate (CRE)  

4.  Other loans to non-financial corporations 
5.  Other exposures to non-financial 

corporations 

6.  Exposures backed by residential real 

estate (RRE)  

7.  Consumer loans (incl. car loans and 

personal loans for durable goods and 
services) 

8.  Exposures to government 
9.  Other  

Text 

Multiple choice 
Select all that apply: 
1.  Domestic-currency targeted measures 
2.  Foreign-currency targeted measures 

Text 

Multiple choice 
Select all that apply: 
1.  Domestic exposures  
2.  Foreign exposures  

ECB Working Paper No 2123 / January 201846 
 
 
 
 
ID 

Attribute name 

Definition of attribute and questionnaire 
instructions 

exposures should be selected. 

Response categories 

D.7.
1 

Foreign exposure – 
additional 
information 

Text field for answer “2. Foreign exposures” 
in D.7.  Additional information on the 
targeted exposures. 

Text 

Underlying regulation 

The initial regulation which specifies the 
design of an applied policy instrument. 

If an instrument has been included in 
CRDIV or other EU directives, which have 
been transposed into national law without 
exercising the relevant national discretion 
option, select “2. Transposition of CRDIV” 
or “4. Transposition of other directives incl. 
CRDI-III” (whichever applies). If significant 
national discretion was exercised, select 
also “5. National regulation or 
recommendation”. If a tool is largely 
country-specific, only the latter option 
should be chosen. 
Is a measure legally binding? 

A legally binding measure is commonly 
introduced via a legislative act, central bank 
regulation or decree, and breaching it often 
involves the imposition of fines or 
undertaking administrative procedures (incl. 
withdrawal of licence). Recommendations 
and guidelines are commonly issued on a 
comply-or-explain basis, though they may 
enter the criteria used in on-site inspections 
and setting of Pillar II requirements.  
Please indicate the consequences of non-
compliance with a measure for a financial 
institution.  

The following list provides examples to be 
included in each of the categories: 
1)  Does not apply: no consequences of 

non-compliance 

2)  Comply or explain, warning, 

reprimand: soft measures which do 
not yet impose sanctions but may 
have reputational effects 

3)  Additional reporting requirements: 
submission of action plan for 
compliance, additional on-site 
inspections, additional prudential 
reporting requirements, etc. 

4)  Non-monetary sanctions and 

restrictions on activities: restrictions on 
current and new activities, restrictions 
on distribution of capital, imposition of 
more stringent prudential limits and 
requirements, replacement of 
directors, revocation of licenses, etc. 
5)  Penalties, fines: monetary sanctions 
6)  Other 
Text field for answer “6. Other” in E.3 or 
any supplementary information for other 
answers. 
Title of the legal or customary act serving 
as a basis for the introduction of a 
measure. 
Name of authority issuing the regulation, 
decision or recommendation.  
Type of the authority issuing the regulation, 
decision or recommendation.  

If the measure was based on a law that 
was further specified by e.g. a central bank 

E.1 

General regulation 
underlying the 
design of an 
instrument 

E.2 

Legal character 

E.3 

Consequences of 
non-compliance  

E.3.
1 

Consequences of 
non-compliance – 
Other  

E.4 

Legal basis 

E.5 

Name of the issuing 
authority 

Type of issuing 
authority 

E.6 

Multiple choice 
Select all that apply: 
1.  CRR 
2.  Transposition of CRDIV 
3.  Basel III (if different than CRDIV/CRR) 
4.  Transposition of other directives incl. 

CRDI-III (and Basel I-II), or other EU/SSM 
regulations and recommendations 
5.  National regulation or recommendation  

Multiple choice 
Select which applies: 
1. 
2.  Recommendation or guidance  

Legally binding 

Multiple choice 
Select all that apply: 
1.  Does not apply (no consequences) 
2.  Comply or explain, warning, reprimand 
3.  Additional reporting requirements 
4.  Non-monetary sanctions and  
restrictions on activities 

5.  Fines, penalties 
6.  Other 

Text 

Text 

Text 

Multiple choice 
Select all that apply: 
1.  Central bank 
2.  Financial supervisory authority, if other 

than central bank 

ECB Working Paper No 2123 / January 201847 
 
 
 
 
 
 
 
 
 
 
 
ID 

Attribute name 

E.6.
1 

Type of the issuing 
authority – Other  

Definition of attribute and questionnaire 
instructions 
directive or other regulation, select both “4. 
Parliament” and “1. Central bank”. Option 
“6. EU institution if no transposition 
required” may be used for regulations 
issued by the Council and the European 
Parliament or for recommendations by the 
ESRB that are directly applicable in 
member states. 
Text field for answer “8. Other” in field F.5 
or any supplementary information to field 
F.5. 

E.7 

Intended reciprocity  

Was a measure requested to be recognised 
by other national authorities (within 
reciprocity or cross-border supervisory 
cooperation)? 

Response categories 

3.  Macroprudential Committee 
4.  Parliament 
5.  Government ministry 
6.  EU institution if no transposition required 
7.  Self-regulation by the sector 
8.  Other  

Text 

Single choice 
Select which applies: 
1.  Mandatory reciprocity 
2.  Optional reciprocity: requested and 

recognised 

3.  Optional reciprocity: requested and not 

recognised 

4.  Optional reciprocity: not requested  
5.  Does not apply 

E.8 

Reasons for 
reciprocity  

E.9 

Reciprocity – 
Outcome  

Applies only for answers "2", "3", and "4" in 
E.7, i.e. where reciprocity was optional. 
Otherwise leave the field blank. 

Stipulate the reasons for requesting or not 
requesting the reciprocation of the 
measure. 
Applies only for answers "2" and "3" in E.7, 
i.e. where reciprocity was optional and 
requested. Otherwise leave the field blank. 

Describe the outcome of the reciprocation 
request. 

Objective 

Text 

Text 

F.1 

Main character of a 
policy action 

Does the measure have a macro- or 
microprudential character? 

Multiple choice 
Select all that apply: 
1.  Macroprudential 
2.  Microprudential  
3.  Other  

F.1.
1 

Other character of a 
policy action – Yes  

Applies for answer “3. Other” in F.1. 
Otherwise leave blank. 

Text 

F.2 

The objective of a 
measure 

Specific objective, which the measure is 
intended to achieve or the risk the measure 
is intended to address. 

Multiple choice  
Select all that apply:  
1.  General credit growth 
2.  Sectoral credit growth 
3.  Bank leverage 
4.  Household leverage 
5.  Developments in asset prices 
6.  Market liquidity  
7.  Maturity mismatches on banks’ balance 

sheets  

Interconnectedness/and contagion risks 

8.  Currency risks  
9. 
10.  Exposure concentration 
11.  Level playing field / competition 
12.  Other addressing the resilience of the 

financial system 

13.  Bank-level oversight (microprudential) 
14.  Harmonisation 
15.  Other 

F.2.
1 

The objective of the 
measure - Other 

F.3.   Target outcomes 

F.4. 

Indicators 

F.5 

Other policy actions 

Text field for answer "15. Other" in F.2 or 
for a more detailed description of the 
objective. 
Optional: what outcomes are expected from 
the action? 
Optional: which indicators have been used 
to identify the relevant risk, or the 
appropriateness of the existing calibration 
of the measure? 
Has a policy action been taken in tandem 
with another action, so that their impact 

Text 

Text 

Text 

Single choice 
Select which applies: 

ECB Working Paper No 2123 / January 201848 
 
 
 
 
ID 

Attribute name 

Definition of attribute and questionnaire 
instructions 

should be assessed jointly, i.e. they 
constitute a congruent policy package?  

1.  Yes 
2.  No  

Response categories 

Examples: (i) a set of minimum capital 
requirements in CRR (CET1, Tier 1 and 
CAR capital ratios) can be considered as a 
policy package; (ii) the above set of capital 
requirements and the provisions of CRR 
regarding exposure limits should be 
considered separately. 
Applies for answer "1. Yes" F.5. Otherwise 
leave blank. 

F.5.
1 

Other policy actions 
– if not included in 
the questionnaire  

R.5 

Other policy actions 
if included in the 
questionnaire – ID   

Provide a description of the action(-s) 
referred to in F.5. and the tools applied. If 
the action(-s) is already described 
elsewhere in the questionnaire use the next 
field. 
Applies for answer "1. Yes" F.5. Otherwise 
leave blank. 

Specify the ID of the action(-s) referred to in 
F.5 if already assigned in the questionnaire. 

Text 

Text  

F.6 

Leakages  

Please specify whether there have been 
any leakages after the introduction of the 
measure. 

Note that “1. Does not apply” should be 
used for the deactivation of a measure. “No 
assessment available” may be selected if 
no information on leakages is (yet) 
available. 

Multiple choice 
Select all that apply:  
1.  Does not apply 
2.  No assessment available 
3.  Shifting risk across border / to parent 

foreign financial institution 

4.  Shifting risk domestically off the balance 

sheet 

5.  Shifting risks domestically to unregulated 

bank-like institutions 

6.  Shifting risk domestically to non-banking 

institutions 
Introduction of new products 

7. 
8.  Other 

F.6.
1 

F.7 

G.1 

Leakages - Other 

Other 

Text field for answer “8. Other” in field F.6 
or any supplementary for other answers. 
Any other relevant characteristics of a 
policy action not explained above.  

Text 

Text 

SOURCE 

Additional 
information 
available under  

Text (and if available URL link to the document) 

G.2.  Source of the entry 

Text 

ECB Working Paper No 2123 / January 201849 
 
 
 
 
 
 
 
 
 
Table  A3:  Categorisation  of  policy  tools  and  description  of  categories  (see  questions  A.1 

and A.2 in Table A2). 

Category 

Sub-Category 

Description  

1. Minimum 
capital 
requirements 

2. Capital 
buffers 

3. Risk 
weights  

4. Leverage 
ratio 

5. Loan-loss 
provisioning 

1.1. Capital adequacy ratio 
(CAR) 
1.2. Tier 1 capital ratio 
1.3. Common Equity Tier 1 
capital ratio (CET 1) 
1.4. Core Tier 1 capital ratio 
2.1. Countercyclical capital 
buffer (CCyB) 
2.2. Capital conservation 
buffer 
2.3. Systemic risk buffer 

2.4. G-SII capital buffer 

2.5. O-SII capital buffer 

2.6. Other capital 
requirements targeting most 
important institutions 

2.7. Other capital surcharges 
and own funds requirements   

2.8. Profit distribution 
restrictions 

3.1. Risk weights for loans 
backed by residential 
property 

3.2. Risk weights for loans 
backed by commercial 
property  

3.3. Other sectoral risk 
weights 

5.1. Loan classification rules 

5.2. Minimum specific 
provisioning 

Own funds as a percentage of risk weighted assets. The 
category includes mostly microprudential Pillar I gone-concern 
capital requirements.  

The countercyclical capital buffer, as defined in Article 130, 
135-140 CRD.   
The capital conservation buffer, as referred to in Article 458 
CRR.  
The systemic risk buffer, as defined in Article 133-134 CRD. 

The O-SII buffer, as defined in Article 131 CRD (Basel III on 
SIFIs).  
Other capital surcharges on most important institutions. These 
can include Pillar II requirements or additional capital 
guidelines targeting only most important institutions, capital 
buffers resulting from stress-test type of exercises and 
covering selectively important banks.   
E.g. Pillar 2 capital add-ons other than in 2.5, capital 
surcharges on excessive trading activities; capital surcharges 
on large internationally active banks; capital add-ons to 
account for risks stemming from foreign currency-denominated 
exposures; additional capital requirements for banks with 
business models focused on serving non-residents, etc. (This 
category should not include the uniform provisions under 
ICAAP and SREP that are implemented in all EU countries 
and based on common EBA guidelines.) 
Restrictions on the distribution of profits that are typically 
calibrated depending on the amount of minimum capital an 
entity has available.  
Calibration of risk weights for loans backed by residential 
property under the Standardised Approach, or regulatory 
requirements regarding LGD and PDs of these loans under 
IRB approach.   
Calibration of risk weights for loans backed by commercial 
property under the Standardised Approach, or regulatory 
requirements regarding LGD and PDs of these loans under 
IRB approach.   
Calibration of risk weights for exposures other than to 
residential or commercial real estate,  such as retail 
exposures, FX exposures, exposures to unhedged borrowers, 
direct exposures to regional or local authorities, or exposures 
guaranteed by regional or local authorities.  
Any ratio limiting the leverage of a financial institution, i.e. 
introducing a cap on the amount of its total assets in relation to 
its equity. This category includes, but is not limited to, the 
application of a recent macro-prudential leverage ratio as 
proposed by Basel III. 
Regulatory definitions and classification of impaired loans and 
loan risk categories, if relevant for loan-loss provisioning 
purposes (and not only for reporting purposes). E.g. 
classification of loans into categories such as standard, 
standard special mention, substandard, doubtful and loss.  
Regulatory minima on the level of provisioning for loans with 
different loss probability (provisioning coefficients). E.g. 
standard - 0%, standard special mention - 0%, substandard - 
20%, doubtful - 40% and loss - 100%.  

ECB Working Paper No 2123 / January 201850 
 
Category 

Sub-Category 

Description  

5.3. General provisioning 

5.4. Capital treatment of loan 
loss reserve 

6.1. Loan-to-value (LTV) 
limits 

6.3. Loan-to-income (LTI) 

limits 

6.3. Debt-to-income (DTI) 
limits 

6.4. Debt-service-to-income 
(DSTI) limits (incl. interest 
rate stress testing) 

6. Lending 
standards 
restrictions 

Statistical and other general loan-loss provisioning rules.  
Regulations concerning treatment of provisions in the 
regulatory capital.  
LTV limits restrict the size of loans relative to the value of the 
underlying collateral. The LTV cap generally applies at the 
time of the loan origination and includes also down-payment 
requirements. The calibration of LTVs can also take into 
account factors other than the value of the collateral.  
LTI limits restrict the size of a loan to a fixed multiple of 
income.  
DTI limits restrict the size of total household debt to a fixed 
multiple of the borrowers’ income (or to similar income 
measures such as income less the average national wage). 
DSTI limits restrict the size of total debt service payments 
(including interest rate payments) to a fixed multiple of 
household income or, in some cases, to a fixed multiple of 
household income less household expenditure. The 
subcategory includes also criteria based on stress-testing 
factors such as interest rate risk and foreign exchange risks 
which impact maximum household indebtedness level.  

6.5. Limits on interest rates 
on loans 

Caps or additional restrictions on interest rate setting for 
private sector borrowers.  

6.6. Maturity and amortisation 
restrictions 

6.7. Other income 
requirements for loan 
eligibility 
6.8. Limits on the volume of 
personal loans 
6.9. Other restrictions on 
lending standards 

7.1. Reserve requirements 
related to banks’ liabilities 

7. Limits on 
credit growth 
and volume 

7.2. Asset-based reserve 
requirements 

8. Levy / Tax 
on financial 
institutions 
and activities 

8.1. Tax on  assets/liabilities 

8.2 Tax on financial activities 

9. Limits on 
large 
exposures 
and 
concentration 

9.1. Single client exposure 
limits  

9.2. Intragroup exposure 
limits 

9.3. Sector and market 
segment exposure limits 

9.4. Funding concentration 
limits 

Maximum maturity restrictions (e.g. maximum maturity of 
mortgages set to 30 years) or regulations concerning loan 
amortisation periods. 
Income based criteria of creditworthiness such as minimum 
disposable income, permanent source of income in the 
currency of a loan.  

Reserve requirements are the amount of funds that a 
depository institution must hold in reserve against specified 
deposit liabilities. These required reserves are normally in the 
form of deposits made with a central bank, or cash stored 
physically in the bank vault (vault cash).  
E.g. requirements for banks whose credit growth exceeds a 
certain limit per annum (or per quarter) to invest in low-yield 
central bank bills; obligations to set up custody accounts for 
non-resident portfolio investors; or compulsory purchases by 
banks of central bank bills when the growth  or volume of 
loans exceeds a specified threshold, e.g. marginal reserve 
requirements. 
A levy or tax on specific assets or liabilities, including those on 
(large) systematically important financial institutions. 
A levy or tax on specific financial transactions such as stock 
purchases, real estate transactions, high-frequency trading or 
naked sovereign credit default swaps. 
Large exposure limits to clients or a group of connected clients 
(as in Article 395 CRR) excluding those to a parent or related 
undertaking.  
Large exposure limits to clients, which are parent or other 
related undertakings.   
Limits which put a ceiling on exposures to particular sectors or 
asset classes, e.g., mortgage credit to households; exposure 
limits to other banks, investment firms, insurers, a range of 
investment funds and other regulated and unregulated 
financial institutions; general exposure limits for all interbank 
exposures. 

ECB Working Paper No 2123 / January 201851  
 
 
Category 

Sub-Category 

Description 

9.5. Limits on qualified 
holdings outside the financial 
sector 
9.6. Other exposure and 
concentration limits 

10.1. Loan-to-deposit (LTD) 
limits 

10.2. Other stable funding 
requirements incl. Net Stable 
Funding Requirement (NSFR)  

10. Liquidity
requirements
and limits on
currency
mismatches

10.3. Short-term liquidity 
coverage ratios incl. Liquidity 
Coverage Ratio (LCR) 

10.4. Liquidity ratios and 
deposit coverage ratios 

10.5. Limits on FX 
mismatches 

10.6. Other 

11.1.Structural measures 

11.2. Margin requirements 

11.3. Other regulatory 
restrictions on financial 
activities  

11.4. Limits on deposit rates 

11.5. Debt resolution policies 

11.6. Crisis management 
tools 
11.7. Changes in regulatory 
framework 

11.8. Other 

11. Other
measures

Limits on the volume of loans expressed in reference to bank’s 
stable funds, including deposits and securities issued. These 
limits may be accompanied by additional reporting 
requirements for banks exceeding the reference ratio. 
Limits aimed at curbing maturity mismatches, by preventing an 
over-reliance on short-term liabilities to finance longer-term 
assets. Include NSFR defined by Article 412 CRR or limits on 
long-term or illiquid assets in relation to stable funds.  
Limits aimed at curbing maturity mismatches, by ensuring 
availability of short-term liabilities (liquidity inflows) to cover 
short-term commitments (liquidity outflows). Include LCR as 
defined by Article 413 CRR. These include ’maturity ladders’ 
i.e. liquidity mismatch ratios between assets and liabilities for
different time horizons, ranging from the “sight to 7 days” to
“the sight to 1 month”.
Requirement for banks to maintain a minimum ratio of liquid 
assets to total assets (liquidity ratios) or borrowings, incl. 
deposit coverage ratios.  
Limits on net open FX positions incl. limits on the FX exposure 
of a bank relative to its capital. 
E.g. introduction of qualitative requirements for the
management of liquidity or FX risks; additional reporting
requirements of banks’ liquidity or FX positions.
Structural measures such as measures based on the Volcker 
rule, the Vickers report or the Liikanen report that aim at 
reducing the complexity or size of financial institutions. 
Requirements on margins / haircuts on collateralised financial 
transactions. Includes restrictions on credit for the purchase of 
equities, by individuals and legal entities. 

E.g. restrictions on short selling or securitisation of assets.

Regulatory ceilings or recommended caps on deposit rates. 
Including caps imposed as own fund requirements for banks 
trespassing the thresholds.  

Internal and external capital controls. 

Regulatory solutions e.g. resolution policies, or the creation of 
new supervisory institutions. 
Other measures not covered by the listed categories. This 
category includes e.g. the adoption of new accounting 
standards with a likely impact on the overall functioning of the 
banking sector, measures related to deposit guarantee 
scheme.  

ECB Working Paper No 2123 / January 201852Acknowledgements 

The views expressed in this paper are those of the authors and do not necessarily reflect those of the European Central Bank. We 
would like to thank Eóin Thomas Flaherty, Martina Jasova and Raluca Maran for their crucial role in building MaPPED, as well all 
contributors to the data collection exercise, in particular Marc Marechal, Michel Colinet, Jürgen Janssens, Nicolas Staner and Guy Van 
Den Eynde (Nationale Bank van België / Banque nationale de Belgique), Mihail Mihaylov, Nikolay Yolov, Silvia Prokopieva and Viliyana 
Novoselska (Bulgarian National Bank), Lukáš Pfeifer, Libor Holub (Česká národní banka), Ianna Georgieva Yordanova and Morten Niels 
Haastrup (Danmarks Nationalbank), Christian Glebe (Deutsche Bundesbank), Jana Kask (Eesti Pank), Niamh Hallissey, Conor Kelly, 
Jean Quin, Geraldine McWeeney, Maria Woods (Central Bank of Ireland / Banc Ceannais na hÉireann), Maria Vergeti, Spiros Pantelias, 
Ioannis Tsikripis, Konstantinos Zavantis, Konstantinos Kanellopoulos, Nikos Stavrianou, Ekaterini Korbi (Bank of Greece), Clara 
González and Francisco Javier Mencia Gonzalez (Banco de España), Anne-Laure Kaminski, Jean-Luc Thevenon, Sébastien Diot 
(L’Autorité de contrôle prudentiel et de resolution), Mirna Dumicic, Ivana Martinjak, Ksenija Gogic, Ana Martinis (Hrvatska Narodna 
Banka), Marianna Caccavaio (Banca d'Italia), Jelena Zubkova, Alexia Joanne Yiangou, Akos Marios Filippou and Constantinos Trikoupis 
(Central Bank of Cyprus), Arnis Jankovskis, Velga Vilne and Dace Antuza (Latvijas Banka), Tomas Reichenbachas, Mantas 
Mendelevičius and Agnė Bukavickaitė (Lietuvos Bankas), Vania Tinoco Pereira and Michael Rademacher (Commission de Surveillance 
du Secteur Financier), Tamás Borkó, Ágnes Tőrös and Gyöngyvér Szakál (Magyar Nemzeti Bank), Raniero Polidano (Central Bank of 
Malta / Bank Ċentrali ta' Malta), Rob Nijskens, Shahin Kamalodin, Remco van der Molen, Gera Kiewiet, Koen Holtring, Cees Rensen, 
Dan Alexandru, Peter Wierts and Jon Frost (De Nederlandsche Bank), Roland Salomon (Oesterreichische Finanzmarktaufsicht), 
Jeremiasz Nowakowski, Krzysztof Gajewski, Anna Nowak, Piotr Bańbuła (Narodowy Bank Polski), Diana Vieira and Vítor Oliveira 
(Banco de Portugal), Anca Diniță, George Popescu, Marian Cașcaval, Petruţa Elena Istrate Petruţa Elena, Anca Tudor, Irina Bălașa 
(Banca Naţională a Românie), Meta Ahtik, Karmen Berdnik, Tibor Hren, Damjana Hudnik Drmaž, Damjana Iglič, Lidija Janevska, Helena 
Kastelic, Karmen Kunčič, Martina Erika Markelj, Saša Rubin (Banka Slovenije), Pavol Jurca (Národná banka Slovenska), Sampo 
Alhonsuo, Juha Savela, Tülin Bedretdin, Jan Nokkala, Peik Granlund (Suomen Pankki), Staff of the Swedish FSA (Finansinspektionen), 
Christine Boykiw, Marc Hinterschweiger, Gurmaj Dhillon, Lynnette Withfield (Bank of England).   

Katarzyna Budnik 
European Central Bank, Frankfurt am Main, Germany; email: katarzyna.budnik@ecb.europa.eu 

Johannes Kleibl 
European Central Bank, Frankfurt am Main, Germany; email: johannes.kleibl@ecb.europa.eu 

© European Central Bank, 2018 

Postal address 
Telephone 
Website 

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+49 69 1344 0
www.ecb.europa.eu

All rights reserved. Any reproduction, publication and reprint in the form of a different publication, whether printed or produced 
electronically, in whole or in part, is permitted only with the explicit written authorisation of the ECB or the authors.  

This paper can be downloaded without charge from www.ecb.europa.eu, from the Social Science Research Network electronic library or 
from RePEc: Research Papers in Economics. Information on all of the papers published in the ECB Working Paper Series can be found 
on the ECB’s website. 

ISSN 
ISBN 

1725-2806 (pdf) 
978-92-899-3228-8 (pdf)

DOI 
EU catalogue No 

10.2866/875405 (pdf) 
QB-AR-18-003-EN-N (pdf)