Regulatory Alerts2020-12-22
Added · Updated
Recommendation of the European Systemic Risk Board of 22 December 2020 amending Recommendation ESRB/2015/2 on the assessment of cross-border effects of and voluntary reciprocity for macroprudential policy measures
The European Systemic Risk Board amends Recommendation ESRB/2015/2 to exclude the Finnish risk weight floor for residential mortgages from the list of measures recommended for voluntary reciprocity. The amended recommendation maintains recommendations for reciprocating macroprudential measures in Belgium, France, and Sweden, specifying their technical parameters and materiality thresholds. For Belgium, a risk weight add-on of 5 percentage points plus 33% of the exposure-weighted average applies with a EUR 2 billion materiality threshold. For France, a tightening of the large exposure limit to 5% of eligible capital for highly-indebted large non-financial corporations applies to G-SIIs and O-SIIs with combined materiality thresholds of EUR 2 billion, EUR 300 million, and 5% of eligible capital. For Sweden, a 25% floor for the exposure-weighted average of risk weights on retail exposures secured by immovable property applies to IRB-approach credit institutions. This Recommendation enters into force on 1 January 2021.