2016年-EBA欧洲银行管理局_EBA_Interim_report_on_MREL_90页_2mb

Summary of the EBA Interim Report on MREL

Core Content

The Minimum Requirement for Own Funds and Eligible Liabilities (MREL) is a critical component of the Bank Recovery and Resolution Directive (BRRD), designed to ensure that banks have sufficient loss-absorbing and recapitalisation capacity to allow for an orderly resolution process without the need for public funds. The EBA has prepared an interim report to support the European Commission in its legislative proposal on the harmonised application of MREL across the EU, and to provide input for the final EBA report due by 31 October 2016.

This report includes provisional recommendations, quantitative findings, and qualitative insights from resolution authorities. It outlines the current state of MREL implementation, the calibration of MREL requirements, eligibility criteria, and the relationship between MREL and other regulatory standards.

Main Findings

1. Quantitative Survey on MREL

• Sample: 26 out of 28 national resolution authorities and the SRB completed the survey.
• Data Limitations: Due to the early stage of MREL implementation, assumptions were made about the scope and calibration of MREL requirements.
• MREL Ratio: The average MREL ratio is expressed as a percentage of total liabilities and own funds (TLOF) and risk-weighted assets (RWA).
• Systemic Importance: The MREL ratio varies depending on the systemic importance of the bank, with higher ratios for more significant institutions.
• Financing Needs: Under different scenarios, the financing needs of banks vary, with the LA buffer scenario showing the highest demand.

2. MREL Calibration

• Calibration Basis: MREL should be closely linked to the institution's resolution strategy and prudential capital requirements.
• Business Model Consideration: While some resolution authorities consider business models in MREL calibration, most focus on systemic importance and resolution strategy.
• Minimum Bail-in Rule: The EBA recommends that a minimum bail-in rule be introduced to ensure access to resolution funds.
• Simplification of RTS: If the Level 1 text is amended, the EBA suggests simplifying the RTS on MREL to reduce complexity.

3. Reference Base for MREL

• Preferred Option: The EBA provisionally recommends changing the reference base from total liabilities and own funds (TLOF) to risk-weighted assets (RWA).
• Leverage Ratio Backstop: A leverage ratio exposure backstop should be introduced in parallel with the phase-in of the leverage ratio requirement.
• Alternative Option: If the reference base is not changed, the EBA recommends using the leverage ratio as a non-risk sensitive measure.
• Clarification Needed: If neither change is made, clarification of the existing denominator is necessary, either in Level 1 text or through a Level 2 mandate.

Key Recommendations

1. Reference Base for MREL Requirement

• Provisional Recommendation: Change the reference base to RWA with a leverage ratio backstop.
• Rationale: This aligns with CRR/CRD and FSB TLAC standards and reduces complexity.
• Alternative Option: If not changed, use the leverage ratio as a non-risk sensitive measure.
• Clarification: If no changes are made, the definition of the current denominator should be clarified.

2. Relationship with Regulatory Requirements

• Stacking of Capital Buffers: MREL should stack on top of capital buffers (e.g., CET1 capital) to preserve usability of regulatory capital.
• Interactions with NSFR: The EBA does not see a need for policy change in relation to the Net Stable Funding Ratio (NSFR).
• Voluntary Distributions: The interaction with automatic restrictions on voluntary distributions must be carefully considered.

3. Breach of MREL

• Responsibility of Resolution Authorities: They should have clear responsibility and a leading role in addressing MREL breaches.
• Accelerated Procedure: An accelerated procedure should be introduced to respond to MREL breaches without prejudice to proper consultation.
• Competent Authority Involvement: Competent authorities should also be able to respond to breaches, with their powers further strengthened.
• Stakeholder Input: The EBA invites stakeholders to comment on whether a breach of MREL should trigger an assessment of institutional failure.

4. Adequacy and Calibration

• Calibration Based on Strategy: MREL should be calibrated based on the resolution strategy and systemic importance.
• Retention of Current Framework: The current MREL assessment framework under BRRD Article 45 and the RTS on MREL should be retained.
• Pillar 2 Requirements: MREL should be set as the higher of the Pillar 2 requirement and any Pillar 1 requirement.

5. Eligibility Criteria

• Subordination of Liabilities: Mandatory subordination of MREL-eligible liabilities may be beneficial for some banks.
• Focus on Liabilities: Subordination requirements should focus on which liabilities need to be subordinated, not on the legal form.
• Information for Creditors: Relevant information on creditor hierarchies and national insolvency laws should be available to investors.
• Disclosure Needs: Stakeholders are invited to comment on the priority information for disclosure in three areas:
  • Disclosure of bank balance sheet structures.
  • Disclosure of MREL requirements.
  • Availability of standardised information on statutory creditor hierarchies.

6. Third Country Recognition

• Reduction of Compliance Burden: The EBA recommends reducing the burden of compliance with third country recognition requirements.
• Contractual Recognition: It suggests maintaining the effectiveness of contractual recognition for MREL liabilities.
• Stakeholder Input: Invites comments on practical difficulties and alternative approaches to improve the regime.

Key Issues and Next Steps

• Early Stage of Implementation: MREL implementation is still in its early phase, with no decisions made by EU resolution authorities yet.
• Ongoing Work: Further work is needed beyond the October 2016 deadline to assess the full impact of MREL across the EU.
• Qualitative Survey: Resolution authorities have not yet decided on subordination and calibration approaches.
• Final Report: The EBA will provide a final report to the European Commission by 31 October 2016, which will include a more comprehensive analysis and final recommendations.

Conclusion

The EBA interim report outlines the current state of MREL implementation and provides provisional recommendations for its reference base, calibration, eligibility, and interaction with other regulatory frameworks. It highlights the importance of subordination, stacking of capital buffers, and the need for consistency with prudential capital requirements. The report serves as a preliminary analysis to inform the European Commission's legislative proposal and the final EBA report, with further stakeholder input required for refinement.