ESP CB decided to reciprocate macroprudential measure requiring a systemic risk buffer (SyRB), with effect from Dec. 31, 2024.
2 banking groups (Santander and BBVA) must comply with SyRB requirement because of their credit risk exposures and counterparty credit risk exposures in Italy.
EU voluntary reciprocity framework, in CRD and Rec 2015/2, aims to strengthen effectiveness of national macroprudential measures, minimize potential regulatory arbitrage by credit firms, ensuring same risk receives equivalent regulatory treatment.
The above, irrespective of Member State to which credit institutions concerned belong and also aims to build up resilience of the EU’s financial system as a whole.
ESP CB analyses on case-by-case basis requests for reciprocation of measures adopted by authorities of other EU States affecting banking sector and endorsed by ESRB.
Context
ITA CB adopted a SyRB of 0.5% from Dec. 31, 2024 to Jun. 29, 2025 and of 1% from Jun. 30, 2025 onwards, to be applied to all credit risk exposures and counterparty credit risk exposures in Italy, on individual and consolidated basis.
Measure was notified by ITA CB to ESRB, requesting it recommend reciprocation in EU.
In response, ESRB issued Recommendation ESRB/2024/2, inviting relevant authorities of other States to adopt reciprocating measures, on individual and consolidated basis.
As guidance for authorities, the recommendation sets an institution-specific materiality threshold of €25 billion so entities with exposures below may be exempted from it.
Decision
ESP CB, as designated authority for adopting measures on macroprudential capital buffer requirements, considered it advisable to act on ESRB’s recommendation.
That, taking into account materiality of Spanish banks’ exposures to the Italian market and on the grounds of contributing to the effectiveness of the measure in Italy.
Thus, decided to set SyRB rate of 0.5% from Dec. 31, 2024 to Jun. 29, 2025 and of 1% from Jun. 30, 2025 onwards for 2 banks, on individual and consolidated basis.
It is applicable to all credit risk exposures, counterparty credit risk exposures in Italy.
Analysis found banks affected by measure have capital headroom over their regulatory requirements with which to comply with buffer, not expected to affect activity in Spain.
Pursuant to art 16 RD 102/2019 ESP CB notified proposed measure to Spanish macroprudential authority (AMCESFI) that issued favourable opinion on the measure.
ESRB was notified of the measure in accordance with art 134.2 CRD and also ECB.
Effectiveness
New buffer must be in place in banks affected on Dec. 31, 2024.
