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The Case for Borrower-Based Macroprudential 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 also 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 Duval 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 was 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- RECOMMENDED CITATION:Biljanovska, Nina and Laura Velderrama. “The Case for Borrower-BasedMacroprudential Measures in Spain.” IMF Selected Issues Paper (SIP/2026/055), European Department. SELECTED ISSUES PAPERS The Case for Borrower-BasedMacroprudential Measures in Spain Prepared by Nina Biljanovska, Laura Valderrama THE CASE FOR BORROWER-BASED 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 mortgage 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 urban 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 labor steadily since 2023 (Figure 1), suggesting some deterioration in the risk profile of recent originationseven as average leverage remained contained. 3.Despite relatively low household leverage, persistently strong house price growth andemerging signs of easing in lending standards raise the question of whether pre-emptiveborrower-based measures (BBMs) are warranted, and if so, how they should be calibrated. Sustained increases in valuations may, over time, create pressure to ease bank lending standards orencourage riskier lending behavior, as historical evidence suggests (Martín and others, 2021; Ducaand others, 2011; Justiniano and others, 2019). Over and above the role of micro-prudentialsupervision, one option to pre-empt such accumulation of vulnerabilities would be to introduceBBMs, an increasingly popular macro-prudential tool. Implementing such measures before theybecome strongly binding could also minimize their economic, social, and political costs, as they are 4.This Selected Issues paper provides analytical inputs to inform the potential designand calibration of BBMs should such measures be considered.It draws on three complementarybuilding blocks. First, it reviews international experience with BBMs—their objectives, benefits andcosts, design features, and calibration practices across euro area peers. Second, it uses loan-leveldata to assess how loan-to-value (LTV), loan-to-income (LTI), and loan-service-to-income (LSTI)ratios at origination affect the probability of mortgage default in Spain, and how these effects SPAIN B.Overview of BBMs and Complementary Macroprudential Measures 5.BBMs are regulatory limits on l