EBA issues Opinion on new measure introduced by the National Bank of Belgium to address macroprudential risk

17 March 2022

The European Banking Authority (EBA) today published an Opinion following the notification by the National Bank of Belgium (NBB) of its intention to activate a new systemic risk buffer (SyRB). The measure is introduced in light of the macroprudential risks in the Belgian economy related to the substantial level of systemic risk in banks’ mortgage portfolios and the related financial system vulnerabilities. The EBA does not object to the introduction of the measure.

In its Opinion, addressed to the European Commission, the EBA acknowledges the macroprudential vulnerability concerns in the Belgian economy raised by the NBB in relation to the substantial level of systemic risk in banks’ mortgage portfolios.

Based on this analysis, the EBA welcomes the introduction of the new sectoral SyRB of 9%, which will enter into force on 1 May 2022. The intended SyRB applies to nine institutions in Belgium and a specific subset of exposures, i.e. retail exposures to natural persons calculated under the internal ratings based (IRB) approach and secured by residential property for which the collateral is in Belgium.

The EBA welcomes the replacement of the existing Article 458 CRR measure by the new sectoral SyRB and the compliance of the notified measure to identify the subset of sectoral exposures according to the applicable EBA Guidelines.

As part of its assessment, the EBA invites the competent authority to continue reminding Belgian IRB banks of the need to review their internal models and to address any potential deficiencies affecting their resilience in the event of a severe downturn in the Belgian residential real estate market.

Legal basis and background

  • According to Article 133(12) of the Capital Requirements Directive (CRD), the EBA may issue an opinion on the introduction of a new systemic risk buffer in case one or more systemic risk buffers result in a combined systemic risk buffer rate higher than 5 %. The EBA decided to provide an opinion to the European Commission.
  • The measure replaces an existing macroprudential measure under Article 458 of the Capital Requirements Regulation (CRR).

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Franca Rosa Congiu

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