2017年-ECB欧洲央行_Macroprudential_Bulletin_Issue_4_December_2017_46页_1mb

Macroprudential Bulletin Summary (Issue 4, December 2017)

Core Content

The Macroprudential Bulletin Issue 4 (December 2017) focuses on the implications of the Minimum Requirement for Own Funds and Eligible Liabilities (MREL) on financial stability, profitability, and capital in the euro area. It also outlines the ECB's key messages on the European Commission's banking reform package and introduces an analytical tool for assessing the impact of macroprudential policy measures on bank claims.

Main Views and Key Information

Chapter 1: MREL – Financial Stability Implications

• Purpose of MREL: To ensure the effective and credible use of the bail-in tool in the EU resolution framework.
• Market Absorption Capacity:
  • The capacity of financial markets to absorb MREL-eligible debt issuance is generally sufficient.
  • However, in some euro area countries, home bias and cross-holdings may limit the ability of banks to place MREL-eligible debt in international markets.
• Impact on Profitability and Capital:
  • The overall impact of MREL on bank profitability and capital is limited.
  • Banks with limited access to the MREL-eligible debt market or high funding costs may experience material effects.
• MREL Calculation:
  • MREL is calculated as the sum of Loss Absorption Amount (LAA), Recapitalisation Amount (RCA), and Market Confidence Charge (MCC).
  • The formula is:
    $$
    \mathrm{MREL} = 2 \times (\mathrm{P1} + \mathrm{P2R} + \mathrm{CBR}) - 125\mathrm{bp}
    $$
  • The SRB targets a benchmark of 8% of total liabilities and own funds (TLOF).
• Key Findings:
  • The average spread between MREL-eligible and MREL-ineligible bonds is 66 basis points.
  • The MREL requirement applies to 76 banks, representing 80% of total assets under the SRB's remit.
  • The aggregated MREL shortfall is estimated at €117 billion, with €47 billion needing to be met with subordinated instruments.

Chapter 2: Macroprudential Policy Analysis and Tools

• Contingent Claims Model:
  • A flow-based contingent claims model is introduced to value bank debt, equity, and the value of banks for the government.
  • The model helps assess the differential impact of capital changes under bail-in versus bail-out regimes.
• Key Features:
  • The model enables the reflection of bail-in/bail-out modalities and the measurement of their impact on various claimants.
  • It is a new analytical tool that enhances the quantitative model suite for macroprudential policy analysis.

Chapter 3: Macroprudential Regulatory Issues

• ECB's Key Messages:
  • The ECB highlights the importance of completing the post-crisis reform agenda and addressing financial stability challenges.
  • It discusses the implementation of international standards such as the leverage ratio and Total Loss-Absorbing Capacity (TLAC).
• Pillar 2 Refinements:
  • The ECB outlines the refinements to the Pillar 2 regime and the crisis management-related elements of the reform package.
• Macroprudential Dimension:
  • The chapter contributes to understanding the macroprudential implications of the proposed amendments to EU banking rules.

Annex: Country-Level Macroprudential Policy Measures

• The Annex provides an overview of recent macroprudential instruments in the euro area.
• It includes a glossary for better understanding of macroprudential terminology.

Summary of Key Findings

• Market Capacity:
  • Financial markets are generally capable of absorbing MREL shortfalls.
  • Home bias and cross-holdings may hinder this in certain countries.
• Impact on Banks:
  • The overall impact on profitability and capital is limited.
  • Higher funding costs for MREL-eligible bonds may affect banks with limited access to such markets.
• MREL Eligibility:
  • MREL-eligible debt is defined based on residual maturity, guarantees, and subordination.
  • The spread in yields to maturity (YTMs) between MREL-eligible and MREL-ineligible debt is around 66 basis points.
• Data Insights:
  • The CSDB and SHS are used to analyze the characteristics of MREL-eligible debt.
  • The average outstanding amount of MREL-eligible debt has increased by 34% over the past two and a half years.
• Capital Impact:
  • The median impact on CET1 capital due to lower net interest margins (NIM) is around 10 basis points.
  • The impact varies significantly depending on the prevailing yields of MREL-eligible debt in different countries.

Conclusion

• MREL aims to enhance the credibility of the resolution framework and reduce the burden on taxpayers.
• While medium to long-term benefits are clear, short-term costs and market absorption challenges are also acknowledged.
• The ECB emphasizes the importance of international standards and country-specific adjustments in the implementation of MREL and other macroprudential measures.