## 1autea2020004 - EXECUTIVE SUMMARY

## Source details

**Canonical URL:** [1autea2020004 - EXECUTIVE SUMMARY](https://www.imf.org/-/media/files/publications/cr/2020/english/1autea2020004.pdf)

## Other formats

- [Markdown version](/-/media/files/publications/cr/2020/english/1autea2020004.pdf.md)
- [Structured JSON version](/-/media/files/publications/cr/2020/english/1autea2020004.pdf.json)

---

### Overview and main findings
- The Financial Market Stability Board (FMSB) — established in 2014 — discusses facts relevant to financial stability and issues expert opinions, policy action recommendations, and warnings about financial stability risks.
- The Financial Market Authority (FMA) is designated by law as the competent authority for applying macroprudential instruments and implements FMSB recommendations on a "comply-or-explain" basis.
- The Austrian National Bank (OeNB) is obliged to monitor and conduct analysis of systemic risks, inform the FMSB, and provides the FMSB secretariat.
- FMSB updates:
  - Macroprudential policy strategy updated in 2017.
  - Borrower-based measures for residential real estate lending added to the macroprudential toolkit in 2018.
- Capital and sizing:
  - Banks represent "over 75 percent" of the financial system's total assets and have "doubled their capital levels since 2008."
- Structural vulnerabilities:
  - CESEE exposures account for "over 40 percent" of Austrian banks' consolidated profits.
  - Domestic house prices are overvalued; new mortgages have high LTV and high DSTI ratios.
  - Nonbank exposures to real estate are increasing and bank lending to nonfinancial corporates has grown strongly, driven by real-estate-related activities.
  - High interconnectedness and decentralized banking structures (Raiffeisen, Sparkassen, Volksbanken) can amplify shock transmission.

### Institutional framework — strengths and weaknesses
- Strengths:
  - Clear mandate, well-defined objectives, and sufficient powers to the FMSB.
  - The Austrian "committee model" secures broad support for policy actions and fosters cooperation across institutions.
  - Macroprudential policy strategy is evaluated and, if necessary, updated every two years.
- Weaknesses / areas to strengthen:
  - The OeNB’s role in decision making is limited; increasing OeNB representation could harness its monitoring/analysis strengths and increase accountability where OeNB and FMA recommendations can currently be outvoted without disclosure.
  - The MoF plays a very strong role in FMSB decision-making relative to other committee-model countries.
  - Two out of six voting members come from the AFAC, which does not have a financial stability mandate.
  - Communication of systemic risk assessment and policy decisions in macroprudential publications could be improved.

### Governance, powers, and information sharing
- Governance and powers summary:
  - The FMSB issues recommendations and risk warnings; the FMA must follow or explain within three months.
  - Under the Banking Act (BWG), MoF consent is necessary for FMA macroprudential regulations, but the law is ambiguous on whether this covers substance or only legal compliance.
  - The OeNB assesses implementation of FMSB recommendations by the FMA.
- Information-collection and data-sharing:
  - Adequate information-collection powers; data-collection and data-sharing arrangements enshrined in national law.
  - OeNB must provide the FMA with microprudential and macroprudential banking data; the FMA must provide the OeNB with relevant data on request.
  - When reporting is inadequate, OeNB and FMA can adjust reporting requirements and collect additional data via topical bank surveys.
- Coordination and international engagement:
  - Risk monitoring centered on quarterly FMSB meetings; OeNB acts as Secretariat and prepares draft risk assessments and policy recommendations.
  - Regular Risk Workshops (about eight weeks before FMSB meetings); Steering Committee approves presentations and draft recommendations.
  - Integrated data system shared by OeNB and FMA; active engagement with ECB, ESRB, and CESEE supervisors; Vienna Initiative participation.

### Accountability and communication
- Accountability:
  - FMSB obliged to prepare an annual report to the Finance Committee of the National Council; macroprudential policy strategy requires at least annual evaluation of intermediate objectives.
- Communication shortcomings:
  - FMSB press releases and annual reports are factual but often lack references to key indicators and assessments of changes in financial stability risks since the last meeting; the OeNB Financial Stability Report (FSR) similarly does not prioritize among risks.
  - Voting decisions and actions proposed by OeNB and FMA are not public, creating potential accountability risks.
- Recommendations (governance & communication):
  - Increase OeNB voting representation in the FMSB and consider OeNB chairing FMSB meetings; proposed increase from one to two voting members with an equal decline in MoF and AFAC voting members.
  - Clarify or drop MoF consent requirement for adoption of FMA macroprudential regulations; if retained, limit MoF role to assessing legal compliance.
  - Streamline macroprudential publications; strengthen FSR by centering it on assessment of risks to financial stability; use a set of core indicators more frequently in communications.
  - Review adequacy of resources devoted to macroprudential policy coordination at the EU level given expanded responsibilities over the last 5–6 years and stable staff numbers since 2014.

### Operational framework for risk monitoring and data gaps
- Monitoring process and methods:
  - OeNB conducts daily systemic risk monitoring; FMA contributes to NBFI monitoring.
  - OeNB analyzes variables from six risk categories to construct an aggregate systemic-risk measure: financial markets, mispricing of risks, strength of bank balance sheets, credit and debt developments, price pressures, and external imbalances.
  - Indicators for borrower segments analyzed individually; network model techniques applied regularly to assess interconnectedness and contagion from CESEE exposure.
  - Simulation and stress-testing techniques applied; OeNB's large-scale Austrian Quarterly Projection model used for ex-ante cost-benefit assessment of SRB.
- Data initiatives and remaining gaps:
  - Anacredit implementation increased corporate loan-level data granularity.
  - Additional regulatory reporting on residential real estate lending standards effective from 2020.
  - Bank surveys implemented on foreign currency lending in CESEE subsidiaries and mortgage lending standards.
  - Remaining data gaps:
    - Collection of commercial real estate (CRE) data—little data on prices and transactions.
    - Limited granularity of residential real estate data: lack of buy-to-let and first-time-buyer data, no regional level data, no mortgage stocks by market segment (to be partly addressed by 2020 reporting and Anacredit next phase).
    - Corporate lending data not available by entity size (SMEs versus large companies); corporate debt issuance monitored at very aggregate level.
- Analytical gaps:
  - Need to strengthen work on nonfinancial corporate sector vulnerabilities and analysis of drivers of real estate prices.
- Recommendations (monitoring & data):
  - Close data gaps: collect CRE data, granular residential real estate data, and enhanced nonfinancial corporate data (credit quality, profitability, debt characteristics by maturity/grade/industry, firm characteristics).
  - Deepen analysis of real estate-related risks, enhance suite of valuation models for real estate, analyze interlinkages across financial sector segments through common exposures to real estate and CESEE, and produce more disaggregated indicators for the nonfinancial corporate sector.

### Systemic risks and macroprudential policy stance — broad-based indicators
- Credit and cyclical indicators:
  - 2019Q1 year-on-year credit growth: 4.5 percent.
  - Credit-to-GDP ratio: broadly stable at around 140–145 percent over the last 10 years.
  - Countercyclical capital buffer (CCyB): zero percent justified by expected weakening of credit demand and still negative credit-to-GDP gap.
- Bank capital, asset quality, liquidity:
  - Aggregate CET1: increased from 11.6 percent in 2013 to 15.4 percent in 2018, though below Euro Area average.
  - Less significant institutions (LSIs) CET1: 17 percent; systemic institutions (SIs) CET1: 14.3 percent.
  - System-wide NPLs: fell from 8.6 percent in 2013 to 2.6 percent in 2018.
  - CESEE subsidiaries’ NPLs: declined from 14.0 percent in 2013 to 3.2 percent in 2018.
  - LCR at end-2018: 151 percent.
  - NSFR at end-2018: 132 percent.
  - FSAP stress tests: banks’ capital buffers sizeable relative to potential losses but most banks would be forced to draw down capital conservation buffers under severe macrofinancial shocks; liquidity buffers sufficient to withstand sizeable funding outflows.

### Household sector risks
- Household indebtedness:
  - Household indebtedness broadly stable and below EA average.
  - Growth of bank lending to households: annual growth rate of 4.2 percent in 2019Q1.
  - Share of new variable-rate household loans: 44 percent (as of 2019Q1).
  - FX loans: 9 percent of total outstanding loans; of FX loans, 96 percent denominated in Swiss francs; more than 3/4 of FX loans are bullet loans linked to repayment vehicles.

### House price valuation and risks
- Valuation and transactions:
  - House prices "overvalued by around 10–15 percent nationally, and by over 20 percent in Vienna."
  - Real estate transaction volume grew by "13 percent in 2018."
  - FSAP at-risk analysis: house price growth susceptible to macrofinancial shocks; "the likelihood of a price correction has increased recently."
- Growth-at-Risk (GaR) and House Price at Risk (HaR) scenario:
  - Further easing in financial conditions by "two standard deviations" increases median future house price growth but worsens tail risks.
  - HaR values: "Before shock HaR: -5.6" and "After shock HaR: -6.4" (5 percent probability decline).
- Mortgage lending deterioration:
  - Loans with LTV ≥ 80 percent: "nearly 38 percent of new mortgages in 2018."
  - Over "40 percent of new loans had a DSTI of 30 percent or more."
  - FMSB guidance (September 2018, nonbinding) recommended: minimum down payment "20 percent"; DSTI limits "30-40 percent"; loan tenors "35 years."
  - Bank survey: considerable fraction of mortgages in the year after guidance remained above recommended limits.
- Financial sector exposures to real estate:
  - Housing loans in total assets rose from "8 percent in 2008 to 16 percent in 2018."
  - Austrian insurance sector allocates "about 8 percent of their total assets to real estate—the highest in the European Union."
  - Real estate investment funds doubled; sector AuM: "EUR 174 billion"; real estate funds AuM: "EUR 8.3 billion in 2018."
  - Open real estate investment funds pose liquidity risks given illiquid underlying assets and same-day redemptions.
- Macroeconomic and corporate links:
  - Domestic bank credit to NFCs growth: "over 7 percent on an annual basis in 2019Q1," driven by real estate-related activities.
  - 2018 lending to real estate sector: "8.2 percent" vs. "6.5 percent" for entire NFC sector.
  - Austrian corporates’ debt to equity ratio is "20 percentage points" higher than the EA average.
  - Debt-to-income ratio (debt as a share of gross operating surplus) remains consistently below the EA average.
  - High share of new variable rate loans in NFCs: "85 percent."
  - FX loans in NFCs: "2 percent" of total loans.

### Macroprudential measures, buffers, and SRB calibration
- O-SII and SRB structure:
  - O-SII buffer targets institution-specific risks; SRB captures institutions' exposure to system-wide risks including common CESEE exposures.
  - O-SII application: as of January 1, 2019, seven banks subject to O-SII buffer (ranging from "0.5 to 2 percent of RWA") at consolidated level; seven others at unconsolidated level.
  - SRB composition: systemic vulnerability buffer up to "1 percent of RWA" (interconnectedness and equity cross-holdings); systemic cluster risk buffer up to "1 percent of RWA" (CESEE exposure concentration).
  - As of January 1, 2019, 13 banks subject to SRB at consolidated level; 7 also at unconsolidated level.
  - Complementarities become fully operational when buffers become additive under planned amendments to CRD V.
- SRB maximum level change:
  - In 2015, FMSB lowered maximum applicable SRB from 3 percent to 2 percent.
  - Drivers: Unicredit Austria restructuring reduced "systemic cluster" component; OeNB-measured risk profiles of CESEE exposures declined; higher SREP capital requirements cited though they have declined since then.
- CESEE exposures and profit dependence:
  - Intragroup liquidity transfers share declined from "15 percent of subsidiaries' assets in 2011 to below 9 percent in 2018."
  - Share of FX loans in total CESEE assets fell from "33 percent to 14.5 percent."
  - NPLs in CESEE declined to "3 percent of total CESEE loans in 2018."
  - CESEE accounted for "24 percent" of total Austrian banking sector's assets in 2018, but for "over 42 percent of consolidated banking net profits."
  - High market shares of Austrian subsidiaries in several CESEE countries (over "20 percent" in Czech Republic, Croatia, Romania, and Slovakia) increase sensitivity to CESEE cycles.
  - SRB calibration captures exposure and macroeconomic risk in CESEE but does not explicitly capture high profit-dependence via elevated net interest margins (NIM) of Austrian subsidiaries.
- Recommendations on SRB and CESEE:
  - In the next biannual SRB review, consider reflecting high profit-dependence on CESEE in SRB calibration.
  - Options: include the share of CESEE profits in total bank profits in institution-specific buffer calculations; increase the maximum level of the SRB to encourage banks to retain more volatile earnings from CESEE exposures.

### Key policy recommendations (institutional, monitoring, and macroprudential stance)
- Institutional Framework:
  - Increase the voting representation of the OeNB in the FMSB and make the OeNB chair the FMSB meetings. — Authority: MoF — Time: ST
  - Clarify in law that the consent of the Ministry of Finance (MoF) as a precondition for the adoption of FMA regulations concerning macroprudential measures should only be required regarding the determination of whether FMA regulations comply with legal requirements. — Authority: MoF — Time: I
  - Streamline macroprudential publications around risks to financial stability. — Authority: FMSB, OeNB — Time: I
  - Review adequacy of resources devoted to macroprudential policy coordination at the EU level. — Authority: OeNB, FMA — Time: I
- Operational Framework for Risk Monitoring and Analysis:
  - Close remaining data gaps, including in the real estate and nonfinancial corporate sectors. — Authority: OeNB, FMA, MoF — Time: ST
  - Enhance the analysis of corporate sector vulnerabilities, and the drivers of prices in the real estate sector. — Authority: OeNB — Time: I
- Systemic Risks and Macroprudential Policy Stance:
  - Monitor the effectiveness of the FMSB guidance on sustainable lending standards and prepare further regulatory actions—such as binding borrower-based limits—if the risk profile of new residential real estate lending does not improve. — Authority: FMSB — Time: ST
  - In the next biannual SRB review, consider reflecting the high profit-dependence on the CESEE region in the calibration of the SRB. — Authority: OeNB, FMSB — Time: ST
- Definition of timing used in Table 1:
  - I Immediate (within 1 year); ST Short term (within 1–2 years); MT Medium Term (within 3–5 years).

### Recommendations — residential real estate lending and corporate sector
- Residential real estate:
  - Authorities should consider further regulatory action because a considerable share of new loans does not comply with soft limits announced in September 2018 and house prices are increasingly overvalued.
  - Suggested actions:
    - Closely monitor effectiveness of guidance on sustainable lending standards and prepare further regulatory actions if new lending risk profile does not improve.
    - Introduce hard borrower-based limits to ensure household balance-sheet vulnerabilities remain contained.
    - Consider a combination of LTV-DSTI limits with speed limits to control volume of loans with high indebtedness indicators while allowing banks flexibility (example speed limit: 10 percent of new mortgage flows exempt from macroprudential limits).
  - FSAP model finding: combined limits could cut expected losses on new loans in a tail risk event by over a half.
- Corporate lending and sectoral buffers:
  - Strong growth of domestic bank lending to NFCs since 2017 warrants attention—monitor credit, indebtedness, and other risk indicators of NFCs, especially real estate and construction-related corporate finance.
  - Planned introduction of sectoral macroprudential capital buffers under CRR/CRD IV reform may help address sector-specific risks.

### Annex I — Structural Model of Mortgage Risk (purpose, method, and results)
- Purpose:
  - Extend Reserve Bank of New Zealand (2008) model to study impact of borrower-based macroprudential tools; simulate mortgage default rates and losses in a tail risk event.
- Core assumptions and drivers:
  - Borrowers continue servicing loans if they can afford scheduled payments even with negative equity.
  - Drivers: house prices; income; unemployment rate; mortgage interest rates.
  - Macroprudential tools affect risk profile of new mortgages.
- Simulation and calibration:
  - Three-stage simulation: (1) assess tail risks using GaR and HaR; (2) introduce macroprudential tools 4 or 8 quarters before tail event affecting LTV/DSTI/DTI distributions of new mortgages; (3) simulate defaults and losses in tail event.
  - GaR/HaR calibrated via quantile regressions on 1993Q3–2018Q4 data; HaR explanatory variables: house price growth, financial conditions index, private sector credit growth, house price misalignment, GDP growth; GaR explanatory variables: lagged GDP growth and financial conditions index.
  - Defaults determined by borrower distress probability and negative net collateral value after disposal costs.
  - LGD computed with sale at s = 1.75 years, discounted at r_f + sspremium, incorporating transaction cost δ.
  - System-wide PDs and LGDs simulated across LTV-vintage buckets with 10,000 house price draws per draw set; bucket simulations repeated 2,000 times.
- Policy experiments and key result:
  - Alternatives: ranges of LTV limits; DSTI limits; combinations of LTV-DSTI(-DTI); hard limits vs. speed limits.
  - Key model result: reasonable calibrations of combined LTV-DSTI or LTV-DSTI-DTI limits with speed limits could cut the expected losses on the new loans in a tail risk event by over a half.
- Model caveats:
  - Calibration of macroprudential tools should incorporate broader cost-benefit analysis capturing impacts on bank credit and house prices, which remains beyond this model's scope.

*International Monetary Fund — AUSTRIA: EXECUTIVE SUMMARY (content unit 1autea2020004)*

### EXECUTIVE SUMMARY __________________________________________________________________________ 5

### 1autea2020004 - EXECUTIVE SUMMARY

### Overview and main findings
- The Financial Market Stability Board (FMSB) — established in 2014 — plays the central role in macroprudential oversight and "fulfills its mandate by discussing facts relevant to financial stability and issuing expert opinions, policy action recommendations, and warnings about financial stability risks."
- The Financial Market Authority (FMA) is designated by law as the competent authority for applying macroprudential instruments and implements FMSB recommendations on a "comply-or-explain" basis.
- The Austrian National Bank (OeNB) is obliged to monitor and conduct analysis of systemic risks, inform the FMSB, and provides the FMSB secretariat.
- The FMSB updated the macroprudential policy strategy in 2017; borrower-based measures for residential real estate lending were added to the macroprudential toolkit in 2018.
- A Systemic Risk Buffer (SRB) and an Other Systemically Important Institutions (O-SII) buffer were introduced in 2016 and are applied at both consolidated and unconsolidated levels.
- Banks represent "over 75 percent" of the financial system's total assets and have "doubled their capital levels since 2008."
- Structural vulnerabilities: CESEE exposures remain important — the CESEE region accounts for "over 40 percent" of Austrian banks' consolidated profits — and domestic house prices have become overvalued with a high share of new mortgages characterized by high LTV and high DSTI ratios.
- Nonbank exposures to real estate are increasing and bank lending to nonfinancial corporates has grown strongly, driven by real-estate-related activities.
- High interconnectedness and decentralized banking structures (Raiffeisen, Sparkassen, Volksbanken) can amplify adverse shock transmission.

### Institutional framework — strengths and weaknesses
- Strengths:
  - Clear mandate, well-defined objectives, and sufficient powers to the FMSB.
  - The Austrian "committee model" secures broad support for policy actions and fosters cooperation across institutions.
  - The macroprudential policy strategy is evaluated and, if necessary, updated every two years.
- Weaknesses / areas to strengthen:
  - The OeNB’s role in decision making is limited; increasing OeNB representation could harness its monitoring/analysis strengths and increase accountability where OeNB and FMA recommendations can currently be outvoted without disclosure.
  - The MoF plays a very strong role in FMSB decision-making relative to other committee-model countries.
  - Two out of six voting members come from the AFAC, which does not have a financial stability mandate.
  - Communication of systemic risk assessment and policy decisions in macroprudential publications could be improved.

### Operational framework for risk monitoring and data gaps
- The systemic risk monitoring process is well organized around FMSB meetings and facilitates exchange of views.
- The OeNB monitors a broad range of indicators and uses sophisticated analytical methods.
- Data gaps that should be closed:
  - Collection of commercial real estate (CRE) data.
  - More granular data on residential real estate.
  - Enhanced data on the nonfinancial corporate sector.
- Analytical gaps:
  - Work on nonfinancial corporate sector vulnerabilities could be strengthened.
  - Enhanced analysis of drivers of prices in the real estate sector is recommended.

### Systemic risks and macroprudential policy stance
- Broad-based vulnerabilities are described as "contained" but real estate sector risks are building up.
- A considerable share of new loans do not comply with the recommended limits in the September 2018 guidance on "sustainable lending in real estate financing" (recommended LTV and DSTI limits, and loan tenors).
- Given continued overvaluation pressures in housing and the prospect of low Euro Area interest rates in the near to medium term, "further regulatory actions might be needed."
- Policy options and observations:
  - A combination of LTV-DSTI limits, with speed limits, would allow the FMSB to control the volume of loans with high indebtedness indicators while allowing banks flexibility in granting loans.
  - Strong growth of bank lending to corporates involved in real estate-related activities warrants close monitoring.
- Structural vulnerability framework:
  - Complementarities between O-SII and SRB are used: O-SII buffer targets risks an individual institution poses; SRB captures exposure of the institution to system-wide risks, including common CESEE exposures.
  - The SRB calibration approach is advanced but could more explicitly reflect high profit-dependence on CESEE.
  - Options to address CESEE profit dependence:
    - Include the share of CESEE profits in total bank profits in institution-specific buffer calculations.
    - Increase the maximum level of the SRB to encourage banks to retain more volatile earnings from CESEE exposures.

### Key policy recommendations (from Table 1)
- Institutional Framework
  - Increase the voting representation of the OeNB in the FMSB and make the OeNB chair the FMSB meetings. — Authority: MoF — Time: ST
  - Clarify in law that the consent of the Ministry of Finance (MoF) as a precondition for the adoption of FMA regulations concerning macroprudential measures should only be required regarding the determination of whether FMA regulations comply with legal requirements. — Authority: MoF — Time: I
  - Streamline macroprudential publications around risks to financial stability. — Authority: FMSB, OeNB — Time: I
  - Review adequacy of resources devoted to macroprudential policy coordination at the EU level. — Authority: OeNB, FMA — Time: I
- Operational Framework for Risk Monitoring and Analysis
  - Close remaining data gaps, including in the real estate and nonfinancial corporate sectors. — Authority: OeNB, FMA, MoF — Time: ST
  - Enhance the analysis of corporate sector vulnerabilities, and the drivers of prices in the real estate sector. — Authority: OeNB — Time: I
- Systemic Risks and Macroprudential Policy Stance
  - Monitor the effectiveness of the FMSB guidance on sustainable lending standards and prepare further regulatory actions—such as binding borrower-based limits—if the risk profile of new residential real estate lending does not improve. — Authority: FMSB — Time: ST
  - In the next biannual SRB review, consider reflecting the high profit-dependence on the CESEE region in the calibration of the SRB. — Authority: OeNB, FMSB — Time: ST

(Definition of timing used in Table 1: I Immediate (within 1 year); ST Short term (within 1–2 years); MT Medium Term (within 3–5 years).)

### Additional contextual analysis from the Introduction
- Since the global financial crisis:
  - Financial sector resilience in Austria has improved significantly.
  - "Austrian banks—representing over 75 percent of financial system's total assets—have doubled their capital levels since 2008, and credit quality has improved too."
  - Initiatives including the Austrian sustainability package (2012), guidance on lending in foreign currency, and active use of macroprudential measures by CESEE regulators have reduced the riskiness and size of direct CESEE exposures of Austrian banks.
- Current concerns:
  - Banks’ low efficiency and resulting low profitability of domestic operations.
  - CESEE accounts for "over 40 percent" of Austrian banks' consolidated profits; profits of subsidiaries have been sustained by increasing loan volumes rather than NIM.
  - Domestic house prices are overvalued and a high share of new mortgages have high LTV and high DSTI ratios.
  - Exposure to real estate sector increasing for both banks and nonbanks.
  - Strong pickup in domestic bank credit to nonfinancial corporates is driven by real-estate-related activities.
  - High interconnectedness and decentralized banking structures can amplify shock transmission.

*International Monetary Fund — AUSTRIA: EXECUTIVE SUMMARY (content unit 1autea2020004)*

### 10.      The FMSB has powers of recommendations to take policy actions and can issue risk

### 10.      The FMSB has powers of recommendations to take policy actions and can issue risk warnings

### Governance and Powers
- The FMSB has powers of recommendations to take policy actions and can issue risk warnings.
- The FMA is the designated authority for applying macroprudential instruments and follows the FMSB’s recommendations on a comply-or-explain basis.
- The FMA must follow the FMSB’s recommendation as soon as it is practical (but within three months at the latest) or explain in writing as to why it has not done so.
- According to the Banking Act (BWG), the MoF’s consent is necessary for the adoption of an FMA regulation concerning macroprudential measures, but the law does not specify whether MoF approval is limited to legal requirements or applies also to the substance of the FMA regulation.
- The OeNB is tasked with the assessment of the implementation of FMSB recommendations by the FMA.

### Information-collection and Data-sharing Powers
- The macroprudential authorities have adequate information-collection powers.
- Data-collection and data-sharing arrangements for macroprudential purposes are enshrined in various articles of national law.
- The OeNB is required to provide the FMA with access to both microprudential and macroprudential data on banking supervisions.
- The FMA has to provide the OeNB (upon request) with all relevant data from financial institutions needed for monitoring and assessment of financial stability risks.
- Closing of data gaps is included as one of the intermediate objectives in the Austrian macroprudential policy strategy.
- When supervisory reporting data is inadequate for macroprudential policy purposes, the OeNB and the FMA can adjust the reporting requirements, and often collect additional data through topical bank surveys.

### Effective Coordination and Cooperation
- Risk monitoring and analysis are centered around preparations for the FMSB meetings; the preparation process is formalized and well structured and led by the OeNB in close collaboration with the FMA.
- FMSB meeting practices:
  - The FMSB meetings take place on a regular, quarterly frequency.
  - The OeNB, which also acts as the FMSB Secretariat, is responsible for preparing draft assessments of key risks in the financial system, and policy recommendations that are voted by the FMSB. The FMA contributes to the analysis of the nonbank sector.
  - The agenda for the FMSB meetings is proposed by the Secretariat, but it can be amended by any member of the FMSB.
  - About eight weeks before each FMSB meeting, the OeNB and the FMA hold a Risk Workshop, during which staff presents the latest assessment of financial stability risks and discusses special topics.
  - Following the Risk Workshop, the presentations and draft recommendations for the FMSB meeting are approved by the Steering Committee, consisting of senior management from both the OeNB and the FMA.
  - The MoF contributes to the preparations of the FMSB meetings by providing updates on relevant changes in national and EU-level regulations.
- Current data-sharing and cooperation arrangements between the OeNB and the FMA work well; the OeNB and the FMA share an integrated data system.
- The FMA's supervisory expertise is used when designing and managing additional datasets—such as bank surveys—for macroprudential policy purposes.
- International engagement:
  - Austrian authorities participate in macroprudential policy development and coordination at the EU level and are engaged in frequent dialogue with CESEE supervisors.
  - The OeNB and the FMA both contribute to policy coordination with the ECB and the European Systemic Risk Board (ESRB).
  - The OeNB has established a macroprudential supervisory dialogue with six CESEE countries with a large presence of Austrian banks.
  - Cooperation with CESEE supervisors is also continued through the Vienna Initiative: via annual meetings and working groups devoted to specific topics.

### Accountability and Communication
- Accountability arrangements:
  - The FMSB is obliged to prepare an annual report on its activities and the state of financial stability to the Finance Committee of the National Council. This report is then published on the FMSB website.
  - The macroprudential policy strategy obliges the FMSB to regularly evaluate—at least once a year—whether the intermediate macroprudential objectives have been reached and whether the measures taken have been effective.
- Communication tools and shortcomings:
  - The FMSB communicates with the public through press releases (published after each of its meetings) and annual reports.
  - The OeNB publishes a semi-annual Financial Stability Report (FSR).
  - The macroprudential policy strategy is evaluated every two years and is published on the FMSB website.
  - The FMSB’s press releases and annual reports currently provide a factual description of the macroprudential policy decisions and of developments in the financial sector, but references to key indicators providing a basis for FMSB decisions, as well as an assessment of the level of financial stability risks (including changes since the last FMSB meeting) are often missing. The same applies to the FSR, which does not prioritize among risks.
- Governance risk:
  - The OeNB and the FMA’s weak role in decision making could undermine the framework's accountability. Given their weak voting representation in the FMSB, the OeNB and the FMA can propose a policy action to the FMSB based on their expertise and be outvoted.
  - Neither the actions proposed by the OeNB and the FMA to the FMSB, nor the voting by individual FMSB members are public information, creating a potential risk to accountability.

### Recommendations (Institutional and Communication)
- Institutional recommendations:
  - Increase the voting representation of the OeNB in the FMSB to strengthen the framework and benefit from the OeNB’s political independence and role in monitoring and analyzing financial stability risks.
  - The FMSB could be chaired by the OeNB.
  - OeNB representation should be increased from one to two voting members, with an equal decline in the total number of voting members from the MoF and the AFAC.
  - Alternatively, consider making public the policy proposals that are subject to FMSB vote, or at least reflect in the FMSB press releases the fact that a proposal was considered and voted upon.
- Limitations on MoF approval:
  - The requirement of the MoF’s consent as a precondition for the adoption of FMA regulations concerning macroprudential measures (Banking Act, Articles 21–23) should be dropped, or it should be clarified in law that the MoF’s consent is only required when determining whether FMA regulations comply with legal provisions.
- Communication improvements:
  - Streamline macroprudential publications to improve clarity and consistency.
  - Strengthen the FSR’s role by centering it around the assessment of risks to financial stability in Austria.
  - Both the FSR and the FMSB's publications (press releases and annual reports) could improve their focus by prioritizing among risks and providing normative commentary on changes in key risks since the last assessment.
  - Use a set of core indicators more frequently in FMSB communications to better explain FMSB decisions to the public.
- Resource adequacy:
  - Review adequacy of resources devoted to macroprudential policy coordination at the EU level: the EU framework of macroprudential policy has expanded considerably over the last 5–6 years, while the number of staff working on macroprudential policy at the OeNB and at the FMA has been stable since 2014. Ensure that new responsibilities related to pan-European policy coordination do not negatively affect day-to-day systemic risk monitoring and analysis.

### Operational Framework for Risk Monitoring
- Effective macroprudential policy depends on comprehensive monitoring of systemic risks and the ability to translate risk assessment into policy actions, supported by:
  - Easy access to good-quality data.
  - A well-defined functional process involving a broad range of indicators.
  - The use of different econometric and modelling methods.
  - Thorough cost-benefit analysis and frequent ex-post evaluation.

### Risk Monitoring (Roles and Methods)
- The OeNB is responsible for conducting systemic risk monitoring on a daily basis, with the FMA contributing to monitoring of NBFIs.
- The operational process of risk monitoring and analysis is centered around preparations for the FMSB meetings; it is well structured and provides sufficient opportunities for exchange of views between different institutions.
- The systemic risk monitoring framework is advanced in terms of indicators and analytical methods used:
  - The OeNB follows the ESRB’s recommendations and analyzes variables from six risk categories to construct an aggregate measure of systemic risk.
    - The six categories include; financial markets, mispricing of risks, strength of bank balance sheets, credit and debt developments, price pressures, and external imbalances.
  - Indicators for different borrower segments are analyzed individually.
  - Network model techniques are applied regularly to assess the level of interconnectedness in the financial system and to study the scope for contagion from CESEE exposure.
  - In the nonbank financial sector:
    - The OeNB prepares a quarterly update on the developments in the asset management sector (based on supervisory data), while the FMA conducts stress tests of the asset management sector.
    - In the insurance sector, the FMA identifies systemically important insurance companies, monitors exposures to the CESEE region, and conducts stress-tests.
  - Additional in-depth analysis is conducted on a regular basis and usually presented in "Special Topics" and in Boxes in the FSR.
- Analytical methods:
  - Simulation and stress-testing techniques are used to assess vulnerability of borrowers and financial institutions to tail risk events and to estimate the impact of macroprudential tools. Micro-level data is often applied.
  - Calibration of macroprudential tools is informed by technical analysis: network methods have been used to identify banks subject to the SRB and to map buffer size to individual institutions. The OeNB's large-scale Austrian Quarterly Projection model (Dynamic Stochastic General Equilibrium model) has been applied for an ex-ante cost-benefit assessment of the effects of the SRB on the economy.

### Data and Information
- Initiatives and progress:
  - The recently implemented Analytical Credit Database (Anacredit) has increased granularity of corporate loan-level data collected through the credit register.
  - The FMA and the OeNB have introduced additional regulatory reporting on residential real estate lending standards (to be effective from 2020).
  - The OeNB has implemented bank surveys on various topics, including on foreign currency lending in CESEE subsidiaries and on mortgage lending standards.
  - Significant progress has been made on data regarding bank interconnectedness and derivatives markets.
- Remaining data gaps:
  - Material gaps remain in some areas, including CRE where little data on prices and transactions is available for systemic risk monitoring purposes.
  - Limited granularity of residential real estate data: lack of data for the buy-to-let and first-time-buyer markets, no data at regional level, or for mortgage stocks by market segment—these should be at least partially addressed by additional reporting effective 2020 and through the next phase of the Anacredit project.
  - Data on corporate lending is not available by entity size (small and medium enterprises versus large companies), while monitoring of corporate debt issuance is done mostly at a very aggregate level.

### Recommendations (Monitoring and Data)
- Enhance monitoring and analysis:
  - Deepen analysis of real estate-related risks given the increasing importance of the real estate sector.
  - Enhance the suite of models applied for the assessment of real estate valuations.
  - Conduct a more systematic analysis of interlinkages between different financial sector segments through common exposures (to real estate and CESEE region).
  - Produce more disaggregated indicators for the nonfinancial corporate sector and conduct more frequent analysis of resilience to different types of shocks.
- Continue efforts to address data gaps:
  - Collect CRE data and granular data on residential real estate to identify and assess risks from increasing common exposure to the real estate sector.
  - Enhance data collection on the nonfinancial sector, including on credit quality, profitability, debt characteristics (by maturity, grade, and industry), and firm characteristics.

### Systemic Risks and Macroprudential Policy Stance

#### Broad-Based Vulnerabilities
- Private credit growth and credit-to-GDP:
  - During 2019Q1, the year-on-year credit growth rate was 4.5 percent.
  - The credit-to-GDP ratio has remained broadly stable at around 140–145 percent over the last 10 years.
  - The easing of underwriting standards observed in the first half of 2018 decreased in the second half of 2018 and 2019.
  - The expected weakening of credit demand on the back of slowing economic growth and still negative credit-to-GDP gap justify the current level of the countercyclical capital buffer (CCyB) of zero percent.
- Bank capital and asset quality:
  - The aggregate capital level increased from 11.6 percent Common Equity Tier 1 (CET1) in 2013 to 15.4 percent in 2018, although it remains below the Euro Area (EA) average.
  - Less significant institutions (LSIs), which account for 40 percent of system assets, have a CET1 capital ratio of 17 percent relative to 14.3 percent for systemic institutions (SIs).
  - System-wide nonperforming loans (NPLs) fell from 8.6 percent in 2013 to 2.6 percent in 2018.
  - Subsidiaries in CESEE: NPLs declined from 14.0 percent in 2013 to 3.2 percent in 2018.
  - Liquidity indicators: Liquidity Coverage Ratio (LCR) at 151 percent as of end-2018 and Net Stable Funding Ratio (NSFR) at 132 percent as of end-2018 remain high.
  - FSAP stress tests suggest banks’ capital buffers are sizeable relative to potential losses under stress, though most banks would be forced to draw down their capital conservation buffers in response to severe macrofinancial shocks; banks hold sufficient liquidity buffers to withstand sizeable funding outflows.

#### Household Sector Risks
- Household indebtedness and lending:
  - Household indebtedness remains broadly stable and below the EA average.
  - Growth of bank lending to households: annual growth rate of 4.2 percent in 2019Q1.
  - The share of new variable-rate household loans has been declining, but remains high at 44 percent (as of 2019Q1), exposing households to interest rate risk.
  - Foreign currency (FX) loans have continued to decline and currently stand at 9 percent of total outstanding loans.
  - Of FX loans: 96 percent are denominated in Swiss francs, and more than 3/4 of FX loans are bullet loans linked to repayment vehicles.

*Source: 1autea2020004 - 10.      The FMSB has powers of recommendations to take policy actions and can issue risk warnings (PDF).*

### 33.      House prices have become overvalued in recent years. House prices have grown rapidly

### 33.      House prices have become overvalued in recent years. House prices have grown rapidly

### House price valuation and risks
- House prices are "overvalued by around 10–15 percent nationally, and by over 20 percent in Vienna."
- Real estate transaction volume grew by "13 percent in 2018," described as historically high and indicative of overheating.
- FSAP at-risk analysis: house price growth in Austria is susceptible to macrofinancial shocks and "the likelihood of a price correction has increased recently."
- Growth-at-Risk scenario (Adrian et. al, 2018 methodology):
  - Predictive distribution of one-year-ahead house price growth shows that a further easing in financial conditions by "two standard deviations" increases median future house price growth but worsens tail risks.
  - House Price at Risk (HaR): "Before shock HaR: -5.6" and "After shock HaR: -6.4" (5 percent probability decline).

### Mortgage lending and borrower risk
- Deterioration signs in new mortgage loan risk profile:
  - Loans with LTV ≥ 80 percent accounted for "nearly 38 percent of new mortgages in 2018."
  - Over "40 percent of new loans had a DSTI of 30 percent or more."
- FMSB guidance (September 2018) on “sustainable lending in real estate financing” (nonbinding) recommended:
  - minimum down payment "20 percent";
  - limits on DSTI ratios "30-40 percent";
  - loan tenors "35 years".
- Bank survey data: a considerable fraction of mortgages granted in the year after the guidance remained above the recommended limits.

### Financial sector exposures to real estate
- Increased real estate exposure across sectors:
  - Housing loans in total assets of Austrian banks rose from "8 percent in 2008 to 16 percent in 2018."
  - Austrian insurance sector allocates "about 8 percent of their total assets to real estate—the highest in the European Union."
  - Real estate investment funds in the asset management industry "have doubled in recent years."
  - A large part of new borrowing by nonfinancial corporates (NFC) has been due to loans toward construction activities.
- Nonbank financial sector and real estate funds:
  - Aggregate fund volume of Austrian management sector: "EUR 174 billion."
  - Real estate funds: AuM reached "EUR 8.3 billion in 2018" and fund assets of real estate funds "have almost doubled in the last five years."
  - Open real estate investment funds pose liquidity risks because of illiquid underlying assets and allowance for same-day redemptions; such funds could face suspension of redemptions or liquidation in a sudden downturn.

### Macroeconomic and corporate-sector links to real estate
- Domestic bank lending to NFCs:
  - Domestic bank credit to NFCs grew by "over 7 percent on an annual basis in 2019Q1," driven primarily by real estate-related activities.
  - In 2018, lending to the real estate sector grew "8.2 percent" vs. "6.5 percent" for the entire NFC sector.
- NFC sector leverage and vulnerabilities:
  - Austrian corporates’ debt to equity ratio is "20 percentage points" higher than the EA average.
  - Debt-to-income ratio (debt as a share of gross operating surplus) remains consistently below the EA average.
  - High share of new variable rate loans: "85 percent" exposes the sector to interest rate risk.
  - FX loans stand at "2 percent" of total loans.

### Structural features and buffers
- Mitigating characteristics of the Austrian housing market:
  - Unitary market structure and well-developed rental market; "45 percent" of the population rents rather than owns homes.
  - High share of own equity in housing finance historically, and alternative housing finance arrangements (regional mortgage banks, contract savings banks, housing construction banks) reduce dependence on conventional banks.
  - Housing cost share in household consumption historically low relative to peers.
  - Social housing and regulated rental market, with public and private actors (federation, states, municipalities, LPHAs, commercial developers) active in supply and subsidies.
  - Social housing eligibility and high-quality social housing foster inclusion for low- and middle-income households.
- Structural vulnerabilities in the financial system:
  - Large exposure to CESEE, high concentration and interconnectedness in banking, and low domestic profitability.
  - The five largest banking groups account for "over 80 percent of the domestic market share" (treating the Raiffeisen sector as one banking group).
  - Significant equity cross-holdings and collaboration arrangements (for example, IPS in the Raiffeisen sector and cross-guarantee schemes) increase potential for domestic spillovers.

### Macroprudential and regulatory responses
- FMSB guidance on sustainable lending issued September 2018 (nonbinding) with specified recommendations (see Mortgage lending and borrower risk).
- OeNB aggregate systemic-risk indicator (based on six risk categories following ESRB recommendations) does not point to a broad-based build-up of vulnerabilities.
- Complementarities between O-SII and SRB buffers:
  - O-SII buffer: identification based on EBA guidelines; extended in 2018 to the unconsolidated level. As of January 1, 2019, seven banks were subject to an O-SII buffer (ranging from "0.5 to 2 percent of RWA") at the consolidated level, and seven others also at unconsolidated level.
  - SRB buffer: two parts—(i) systemic vulnerability buffer up to "1 percent of RWA" (interconnectedness and equity cross-holdings); (ii) systemic cluster risk buffer up to "1 percent of RWA" (concentration of exposures in the CESEE region). As of January 1, 2019, 13 banks were subject to an SRB buffer at the consolidated level, and 7 also at unconsolidated level.
  - Built-in complementarities become fully operational when buffers become additive under planned amendments to CRD V.

### Exposures to CESEE and systemic considerations
- CESEE exposure trends and improvements since the GFC:
  - Share of intragroup liquidity transfers between Austrian parent banks and CESEE subsidiaries declined from "15 percent of subsidiaries' assets in 2011 to below 9 percent in 2018."
  - Share of FX loans in total CESEE assets fell from "33 percent to 14.5 percent" over the same period.
  - NPLs declined to "3 percent of total CESEE loans in 2018."
- CESEE remains a source of systemic risk due to profit dependence:
  - CESEE accounted for "24 percent" of total Austrian banking sector's assets in 2018, but for "over 42 percent of consolidated banking net profits."
  - High market shares of Austrian subsidiaries in several CESEE countries (over "20 percent" in Czech Republic, Croatia, Romania, and Slovakia) increase sensitivity to CESEE cycles.
  - The SRB calibration captures exposure and macroeconomic risk in CESEE but does not explicitly capture high profit-dependence via elevated net interest margins (NIM) of Austrian subsidiaries.

*AUSTRIA, INTERNATIONAL MONETARY FUND (content unit 33)*

### 49.      In 2015, the FMSB lowered the maximum applicable level of the SRB from the initially

### 1autea2020004 - 49.      In 2015, the FMSB lowered the maximum applicable level of the SRB from the initially

### Change in SRB and drivers
- In 2015, the FMSB lowered the maximum applicable level of the SRB from the initially planned 3 percent to 2 percent.
- Key factors cited for the reduction:
  - The restructuring of Unicredit Austria played a role in reducing the "systemic cluster" component of the SRB. (In 2015, the Unicredit decided to consolidate its CESEE subsidiaries in Italy rather than in Austria.)
  - The risk profiles of CESEE exposures—as measured by the OeNB methodology—declined.
  - The FMSB also motivated its decision by the higher SREP capital requirements imposed on Austrian banks by the ECB, but these have declined since then.

### Recommendations — residential real estate lending
- Authorities should consider further regulatory action on residential real estate lending because:
  - A considerable share of new loans does not comply with the soft limits announced in September 2018.
  - Continued and increasing overvaluation pressures in the housing market increase collateral values and loan sizes needed for house purchase.
  - High likelihood of interest rates remaining low in the EA in the near to medium term reduces DSTI ratios despite increasing loan sizes.
  - The still high share of variable rate loans in new mortgage loans could lead to large increases in debt-servicing costs once interest rates normalize.
- Suggested actions for the FMSB:
  - Closely monitor effectiveness of guidance on sustainable lending standards and prepare further regulatory actions if the risk profile of new residential real estate lending does not improve.
  - Introduce hard borrower-based limits to ensure household balance-sheet vulnerabilities remain contained.
  - Consider a combination of TV-DSTI limits with speed limits to control volume of loans with high indebtedness indicators while allowing banks flexibility.
    - Example: A speed limit of 10 percent means that 10 percent of new mortgage flows do not have to comply with the macroprudential limits.
  - The FSAP's analysis based on a semi-structural model (see Annex I) suggests such combined limits could cut the expected losses on the new loans in a tail risk event by over a half.

### Recommendations — corporate lending and sectoral buffers
- Strong growth of domestic bank lending to nonfinancial corporates since 2017 warrants attention.
  - Continue close monitoring of credit, overall indebtedness, and other risk indicators of NFCs, including real estate and construction sector-related corporate finance where demand for credit is supported by price overvaluation.
- The planned introduction of sectoral macroprudential capital buffers to the European macroprudential framework (under CRR/CRD IV reform package) may help address sector-specific risks from credit growth.

### SRB calibration and CESEE exposure considerations
- High profit-dependence on the CESEE region should be reflected in SRB calibration:
  - CESEE is vulnerable to financial market volatility, capital outflows, and FX swings.
  - A slowdown in CESEE would hit Austrian banks’ profitability via exposure size (extensive margin) and NIM (intensive margin).
  - Higher cyclical volatility in CESEE implies larger volatility of returns.
- Possible approaches:
  - Include the share of CESEE profits in total bank profits in the calculation of institution-specific buffers.
  - Increase the maximum level of the SRB. A higher SRB would encourage banks to retain more (volatile) earnings from CESEE exposures.

### Annex I — Structural Model of Mortgage Risk for Austria: purpose and approach
- Purpose:
  - Study impact of borrower-based macroprudential tools by extending the Reserve Bank of New Zealand (2008) model.
  - Simulate mortgage default rates and losses in a tail risk event.
- Core assumptions and drivers of borrowers' debt servicing capacity:
  - Borrowers continue servicing loans if they can afford scheduled interest and principal, even with negative equity.
  - Drivers: (i) house prices; (ii) income; (iii) unemployment rate; (iv) mortgage interest rates.
- Model extensions:
  - Incorporates Austria-specific characteristics.
  - Allows macroprudential tools to affect risk profile of new mortgages.

### Annex I — Simulation stages and calibration
- Three-stage simulation procedure:
  1. Assessment of tail risks to the macroeconomic outlook using Growth-at-Risk (GaR) and House Price-at-Risk (HaR) methodology.
  2. Introduction of macroprudential tools assumed to be implemented 4 or 8 quarters before the tail risk materializes; these affect distributions of LTV, DSTI, and DTI of new mortgages during that period.
  3. Simulation of mortgage defaults and losses in the tail risk event for different macroprudential limit levels.
- GaR/HaR calibration details:
  - Downside risks proxied by the fifth percentile of forecasted distributions of future GDP and house prices.
  - Quantile regression estimation on macrofinancial data between 1993Q3–2018Q4 to calculate predicted distribution one year ahead.
  - Explanatory variables for HaR: house price growth, financial conditions index, private sector credit growth, house price misalignment, and GDP growth.
  - Explanatory variables for GaR: lagged GDP growth and financial conditions index.
  - Estimated GaR and HaR inform size of income and house price declines in the tail risk event.
  - Increase in unemployment estimated from past relationship with GDP growth; increase in interest rate on housing loans calibrated from past recessions.
- Timing and pre-tail assumptions:
  - Macroprudential policies introduced 4 or 8 quarters before tail event; during this period macroprudential limits bind and affect new mortgage flows.
  - In absence of measures, new mortgage flows assumed similar to average flows observed in last four quarters of data.
  - Income and house prices assumed to grow at median values predicted from GaR and HaR; unemployment and mortgage interest rate assumed unchanged before tail event.

### Annex I — Default, LGD, and system simulations
- Default conditions (borrower defaults if both hold):
  1. Borrower is in distress: probability Pr(FFFD_t) is a function of initial DSTI, change in debt servicing capacity ΔDSTI (from income and interest rate changes), unemployment rate U, and growth in unemployment ΔU.
     - Parameters β0, β1, β2, β3 and D are as calibrated in RBNZ (2008) with D matching Austria-specific average mortgage default probability in normal times.
  2. Net value of collateral after disposal costs is less than value of loan:
     - House price net of fees, H_t^*, less transaction cost C is less than net present value of loan NPV(L_t, r_t, T, t).
- Loss-given-default (LGD):
  - Sale occurs at time t+s with s calibrated at 1.75 years.
  - Sale proceeds net of transaction costs, δ, are discounted at rate reflecting risk premium of foreclosed asset (r_f + sspremium).
  - LLR_D_t formula: LLR_D_t = NPV(L_t) + C − (1 − δ) × H_t^* / [1 + r_f + sspremium]^s
- System-wide PD and LGD generation:
  - Use system-wide distributions of LTVs, DSTIs, DTIs to simulate PDs and LGDs for each LTV-vintage bucket.
  - For each bucket, the model generates 10,000 draws of individual house prices (from a normal distribution with mean equal to the fifth percentile estimate from HaR).
  - For each house price draw, the model determines default and computes LGD.
  - Each bucket simulated 2,000 times; averages across iterations produce bucket-specific PDs and LGDs; system-wide PDs and LGDs are weighted averages.

### Annex I — Scenarios, policy experiments, and results
- Alternative calibrations studied:
  - Range of LTV limits; DSTI limits; combinations of LTV-DSTI; combinations of LTV-DSTI-DTI.
  - Distinction between hard limits and speed limits (pre-defined share of loans allowed not to comply with limit).
- Key model result:
  - Reasonable calibrations of combined LTV-DSTI or LTV-DSTI-DTI limits with speed limits could cut the expected losses on the new loans in a tail risk event by over a half.
- Model features and caveats:
  - Distinguishes between fixed and floating-rate loans when considering interest rate increase impacts.
  - Updates LTV and DSTI values for vintages to reflect house price, real income, and repayment changes since origination.
  - Important limitation: calibration of macroprudential tools should incorporate a broader cost-benefit analysis capturing impacts on bank credit and house prices, which remains beyond this model's scope.

*International Monetary Fund — AUSTRIA (extracted content unit)*

---


_Source: https://www.imf.org/-/media/files/publications/cr/2020/english/1autea2020004.pdf_