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

(ESRB/2020/16)

(2021/C 43/01)

THE GENERAL BOARD OF THE EUROPEAN SYSTEMIC RISK BOARD,

Having regard to the Treaty on the Functioning of the European Union,

Having regard to Regulation (EU) No 1092/2010 of the European Parliament and of the Council of 24 November 2010 on European Union macro-prudential oversight of the financial system and establishing a European Systemic Risk Board (1), and in particular Articles 3 and 16 to 18 thereof,

Having regard to Regulation (EU) No 575/2013 of the European Parliament and of the Council of 26 June 2013 on prudential requirements for credit institutions and investment firms and amending Regulation (EU) No 648/2012 (2), and in particular Article 458(8) thereof,

Having regard to Decision ESRB/2011/1 of the European Systemic Risk Board of 20 January 2011 adopting the Rules of Procedure of the European systemic Risk Board (3), and in particular Articles 18 to 20 thereof,

Whereas:

(1) In order to ensure effective and consistent national macroprudential policy measures, it is important to complement the mandatory reciprocity required under Union law with voluntary reciprocity.

(2) The framework on voluntary reciprocity for macroprudential policy measures set out in Recommendation ESRB/2015/2 of the European Systemic Risk Board (4) aims to ensure that all exposure-based macroprudential policy measures activated in one Member State are reciprocated in the other Member States.

(3) On 8 January 2018, pursuant to Recommendation ESRB/2018/1 of the European Systemic Risk Board (5), Recommendation ESRB/2015/2 was amended in order to recommend the reciprocation of a 15 per cent floor for the average risk-weight on residential mortgage loans secured by a mortgage on housing units in Finland, which was applied by Finanssivalvonta (the Finnish Financial Supervisory Authority), in accordance with Article 458(2)(d)(vi) of Regulation (EU) No 575/2013 of the European Parliament and of the Council (hereinafter the ‘CRR’), to credit institutions authorised in Finland which use the Internal Ratings Based (IRB) Approach for calculating regulatory capital requirements.

(4) In response to Finanssivalvonta’s decision of 30 September 2020 not to renew, from 31 December 2020, the risk weight floor, the General Board of the European Systemic Risk Board (ESRB) has decided to exclude the Finnish measure from the list of macroprudential policy measures which are recommended to be reciprocated under Recommendation ESRB/2015/2.

(5) Therefore, Recommendation ESRB/2015/2 should be amended accordingly,

HAS ADOPTED THIS RECOMMENDATION:

SECTION I

AMENDMENTS

Recommendation ESRB/2015/2 is amended as follows:

1. in Section 1, sub-recommendation C(1) is replaced by the following: ‘1. The relevant authorities are recommended to reciprocate the macroprudential policy measures adopted by other relevant authorities and recommended for reciprocation by the ESRB. It is recommended that the following measures, as further described in the Annex, be reciprocated: Belgium: — a risk-weight add-on for retail exposures secured by residential immovable property located in Belgium applied in accordance with Article 458(2)(d)(vi) of Regulation (EU) No 575/2013 to credit institutions authorised in Belgium which use the IRB Approach for calculating regulatory capital requirements and composed of: (a) a flat risk-weight add-on of 5 percentage points; and (b) a proportionate risk-weight add-on consisting of 33 per cent of the exposure-weighted average of the risk-weights applied to the portfolio of retail exposures secured by residential immovable property located in Belgium; France: — a tightening of the large exposure limit provided for in Article 395(1) of Regulation (EU) No 575/2013, applicable to exposures to highly-indebted large non-financial corporations having their registered office in France to 5 per cent of eligible capital, applied in accordance with Article 458(2)(d)(ii) of Regulation (EU) No 575/2013 to global systemically important institutions (G-SIIs) and other systemically important institutions (O-SIIs) at the highest level of consolidation of their banking prudential perimeter; Sweden: — a credit institution-specific floor of 25 per cent for the exposure-weighted average of the risk weights applied to the portfolio of retail exposures to obligors residing in Sweden secured by immovable property in accordance with Article 458(2)(d)(vi) of Regulation (EU) No 575/2013 to credit institutions authorised in Sweden which use the IRB Approach for calculating regulatory capital requirements.’;

2. The Annex is replaced by the Annex to this Recommendation.

SECTION II

ENTRY INTO FORCE

This Recommendation shall enter into force on 1 January 2021.

Done at Frankfurt am Main, 22 December 2020. The Head of the ESRB Secretariat, on behalf of the General Board of the ESRB Francesco MAZZAFERRO

(1) OJ L 331, 15.12.2010, p. 1.

(2) OJ L 176, 27.6.2013, p. 1.

(3) OJ C 58, 24.2.2011, p. 4.

(4) Recommendation ESRB/2015/2 of the European Systemic Risk Board of 15 December 2015 on the assessment of cross-border effects of and voluntary reciprocity for macroprudential policy measures (OJ C 97, 12.3.2016, p. 9).

(5) Recommendation ESRB/2018/1 of the European Systemic Risk Board of 8 January 2018 amending Recommendation ESRB/2015/2 on the assessment of cross-border effects of and voluntary reciprocity for macroprudential policy measures (OJ C 41, 3.2.2018, p. 1).