西班牙基于借款人的宏观审慎措施案例

The Case for Borrower-Based MacroprudentialMeasures in Spain Nina Biljanovska, Laura Valderrama SIP/2026/055 IMF Selected Issues Papers are prepared by IMF staff asbackground documentation for periodic consultations withmember countries.It is based on the information available atthe time it was completed on May 4, 2026. This paper is alsopublished separately as IMF Country Report No 26/103. 2026JUN IMF Selected Issues Paper European Department The Case for Borrower-Based Macroprudential Measures in Spain*Prepared by Nina Biljanovska and Laura Valderrama Authorized for distribution by Romain DuvalJune 2026 IMF Selected Issues Papersare prepared by IMF staff as background documentation for periodicconsultations with member countries.It is based on the information available at the time it wascompleted on May 4, 2026. This paper is also published separately as IMF Country Report No 26/103. ABSTRACT:House prices in Spain have risen rapidly since the pandemic, and the share of riskier mortgagesat issuance has increased, suggesting a potential buildup of mortgage-related vulnerabilities. This paperprovides analytical inputs to inform the potential design and calibration of borrower-based measures (BBMs),currently not activated in Spain. It first reviews international experience with BBMs, then uses Spanish loan-level data and scenario-based stress tests to assess alternative calibrations. The results suggest that loan-to-value caps would deliver the largest reduction in default risk and mortgage portfolio losses, with additionalgains from income-based caps. BBMs would complement capital buffers by addressing risks at origination. RECOMMENDED CITATION:Biljanovska, Nina and Laura Velderrama. “The Case for Borrower-BasedMacroprudential Measures in Spain.” IMF Selected Issues Paper (SIP/2026/055), European Department.Washington, DC: International Monetary Fund. SELECTED ISSUES PAPERS The Case for Borrower-BasedMacroprudential Measures inSpain Spain Prepared by Nina Biljanovska, Laura Valderrama1 THE CASE FOR BORROWER-BASEDMACROPRUDENTIAL MEASURES IN SPAIN1 House prices in Spain have grown rapidly since the COVID-19 pandemic, and while householdleverage remains low by euro area standards, the share of risky mortgage loans at issuance has risen.Against this backdrop, this paper provides analytical inputs to inform the potential design andcalibration of borrower-based measures (BBMs)—currently not activated as part of the Bank of Spain'stoolkit—should such measures be considered. It combines a review of international experience withtwo complementary empirical analyses using Spanish data: a loan-level analysis assessing howlending standards at issuance affect the subsequent probability of mortgage default, and a scenario-based stress analysis quantifying how alternative BBM calibrations would affect bank mortgageportfolio losses under adverse macroeconomic conditions. Both approaches point in the same direction:a collateral-based measure, such as a loan-to-value (LTV) cap, would be associated with the largestreduction in default probabilities at origination and in portfolio losses under stress, with further gains ifcomplemented by an income-based cap. The evidence also suggests that BBMs and existing capital-based measures—such as the ongoing phasing-in of the counter-cyclical buffer—could act ascomplementary instruments, addressing risk ex ante at origination and ex post through banks' loss-absorption capacity. A.Introduction 1.House prices in Spain have been rising over the past decade, with a sharp increasesince the COVID-19 pandemic.After the major correction that followed the global financial crisis(GFC), the housing market stabilized and gradually recovered, but prices have accelerated markedlysince 2020—including amid the unprecedented ECB monetary policy tightening episode (Figure 1).The post-pandemic rebound has been broad-based, with especially large price gains in large urbanareas and touristic regions where supply is more rigid. While the current buoyancy does not poseimmediate macro-financial risks, affordability pressures are mounting (2025 Spain Article IVConsultation), and financial vulnerabilities could build over time. 2.Notwithstanding subdued growth in household mortgage credit, the share of riskyloans at issuance has been steadily increasing over the past few years.Households havecontinued to deleverage, extending a decade-long trend, and the stock of mortgage credit has onlyrecently begun to rise modestly. Spain's overall household debt-to-income ratio is now well belowthe euro area average, reflecting healthy household balance sheets on the back of a strong labormarket and prudent lending standards. Yet these aggregate indicators can mask shifts in thecomposition of new lending: the share of loans with loan-to-value ratios above 80 percent has risen steadily since 2023 (Figure 1), suggesting some deterioration in the risk profile of recent originationseven as average leverage re