EBA欧洲银行-Quantitative-update-of-the-EBA-MREL-Report_25页_1mb

Summary of EBA MREL Report (December 2016 Data)

Core Content

The European Banking Authority (EBA) has updated its quantitative analysis of the Minimum Requirement for Own Funds and Eligible Liabilities (MREL) for 112 EU banks as of end December 2016. This update builds upon previous reports from June 2016 and December 2016, and provides insights into the MREL ratios, MREL capacity, MREL quality, and estimated MREL funding needs of the banks. Additionally, a consistent sample of 100 banks is used to track changes over the year 2016.

Main Points

MREL Ratios

• Average MREL ratio: 37.9% of RWAs for the full sample of 112 EU banks.
• Median MREL ratio: 29.3% of RWAs, indicating significant variance across banks.
• G-SILs: Average MREL ratio is 33.6% of RWAs, with median at 29.9%.
• O-SILs: Average MREL ratio is 41.9% of RWAs, with median at 29.0%.
• Other banks (non-G-SILs and non-O-SILs): Average MREL ratio is 50.6% of RWAs, with median at 23.0%.
• Retail deposit-funded banks: Median MREL ratio is 21.1% of RWAs, with many below 21%.
• Variance: Box plots illustrate significant variance in MREL ratios across the sample, especially among non-G-SILs.

Estimated MREL Funding Needs

• Baseline scenarios:
  • LA buffer scenario: Funding needs range from EUR 131.5 billion to EUR 284.6 billion.
  • Buffer/8% scenario: Funding needs range from EUR 206.8 billion to EUR 284.6 billion.
• Partial subordination requirements:
  • G-SILs: Additional EUR 87.7 billion in subordinated debt needed (1.7% of RWAs).
  • O-SILs: Additional EUR 32.6 billion in subordinated debt needed (1.0% of RWAs).
• Other banks: Funding needs are reduced under a 50% recapitalisation assumption, from EUR 22.1 billion to EUR 9.2 billion under LA buffer, and from EUR 35.9 billion to EUR 18.9 billion under buffer/8%.

Consistent Sample Analysis (100 Banks)

• MREL as % of RWA: Increased from 35.9% in December 2015 to 37.8% in December 2016.
• Subordinated MREL as % of RWA: Increased from 19.9% to 21.3%.
• Total MREL: Increased slightly from EUR 3165.1 billion to EUR 3169.6 billion.
• Total RWAs: Decreased by EUR 431.1 billion (-4.9%).
• TLOF: Decreased by EUR 46.6 billion (-0.2%).
• Funding needs:
  • LA buffer scenario: Decreased by EUR 25.8 billion (-11.4%).
  • Buffer/8% scenario: Decreased by EUR 119.0 billion (-30.9%).

Key Methodology and Assumptions

• Methodology: The same methodology as in the December 2016 Final MREL Report is used, with the same limitations, such as the absence of actual MREL decisions and data quality issues.
• Calibration scenarios:
  • LA buffer: Twice capital requirements + combined buffer requirement.
  • Buffer/8%: Higher of twice capital requirements (including combined buffer) or 8% of TLOF.
• Subordination requirements:
  • G-SILs: 14.5% of RWAs + CBR.
  • O-SILs: 13.5% of RWAs + CBR (hypothetically applicable from 2022).
• Recapitalisation assumptions:
  • Other banks: 50% recapitalisation instead of 100%.

Key Information

• The EBA has not made any new macroeconomic impact assessments or policy discussions in this update.
• The analysis shows that banks have slightly improved the quantity and quality of MREL eligible instruments.
• The impact of MREL on banks will depend on market absorption capacity and the ability of banks to access deep, developed markets.
• There is a need for resolution authorities to set MREL targets and transitional periods on a case-by-case basis due to the heterogeneity of the sample.

Caveats

• The findings are based on assumptions due to the absence of actual MREL decisions.
• The results are subject to data quality considerations and should not be directly compared across different reference dates.
• The analysis provides aggregate averages, with significant variance across individual banks.

Conclusion

The EBA's quantitative update highlights the variability in MREL ratios and funding needs across EU banks, with a focus on the impact of subordination and recapitalisation requirements. The data shows that while there has been a slight improvement in MREL capacity and quality, the actual implementation of MREL will depend on the resolution strategies and market conditions.