Regulatory Alerts2020-06-02
Added · Updated
Recommendation of the European Systemic Risk Board of 2 June 2020 amending Recommendation ESRB/2015/2 on the assessment of cross-border effects of and voluntary reciprocity for macroprudential policy measures (ESRB/2020/9)
The European Systemic Risk Board excludes the Estonian systemic risk buffer measure from the list of measures recommended for voluntary reciprocation, following Eesti Pank's reduction of the buffer rate to 0 per cent. The document updates the list of reciprocated macroprudential measures to include specific requirements for Finland, Belgium, and France. For Finland, it recommends reciprocating a 15 per cent floor for the average risk-weight on residential mortgage loans for IRB credit institutions, subject to a EUR 1 billion materiality threshold. For Belgium, it recommends reciprocating a risk-weight add-on composed of a 5 percentage point flat add-on and a 33 per cent proportionate add-on for retail exposures secured by residential property, subject to a EUR 2 billion materiality threshold. For France, it recommends reciprocating a tightening of the large exposure limit to 5 per cent of eligible capital for exposures to highly-indebted large non-financial corporations, applicable to G-SIIs and O-SIIs with a combined materiality threshold of EUR 2 billion in total exposures and EUR 300 million for single exposures.