2017年-EBA欧洲银行管理局_Quantitative_update_of_the_EBA_MREL_Report_25页_1mb

Summary of EBA MREL Report Quantitative Update (December 2016 Data)

Core Content

The European Banking Authority (EBA) has updated its quantitative analysis of the Minimum Requirement for Own Funds and Liabilities (MREL) for a sample of 112 EU banks as of end December 2016. This update is based on the same methodology as its December 2016 Final MREL Report and provides an overview of MREL ratios, capacity, quality, and estimated funding needs. The report also includes a consistent sample of 100 banks for comparison across 2015 and 2016 data.

Main Points

MREL Ratios

• The average MREL ratio for the full sample of 112 EU banks is 37.9% of RWAs, while the median ratio is 29.3% of RWAs.
• G-SILs (Global Systemically Important Institutions) have an average MREL ratio of 33.6%, which is slightly below the sample average.
• O-SILs (Other Systemically Important Institutions) have an average MREL ratio of 41.9%, slightly above the sample average.
• Other banks (non-G-SILs and non-O-SILs) have a significantly higher average MREL ratio of 50.6%.
• Retail deposit-funded banks have lower MREL ratios, with the median at 21.1% of RWAs.
• There is significant variance in MREL ratios across banks, especially among non-G-SILs, as illustrated by box plots and interquartile ranges.

Estimated MREL Funding Needs

• Under the LA buffer scenario, the estimated MREL funding needs range from EUR 131.6 billion to EUR 250.8 billion.
• Under the buffer/8% scenario, the estimated MREL funding needs range from EUR 206.8 billion to EUR 284.6 billion.
• Partial subordination requirements for G-SILs and O-SILs increase the estimated MREL funding needs:
  • G-SILs: EUR 87.7 billion (1.7% of RWAs) under LA buffer and EUR 111.7 billion (1.7% of RWAs) under buffer/8%.
  • O-SILs: EUR 32.6 billion (1.0% of RWAs) under LA buffer and EUR 32.6 billion (1.0% of RWAs) under buffer/8%.
• Other banks benefit from a 50% partial recapitalisation assumption, reducing their funding needs by 60% under LA buffer and by almost half under buffer/8%.

Consistent Sample (100 Banks)

• The consistent sample of 100 banks shows a slight improvement in MREL quantity and quality compared to December 2015.
• MREL as % of RWA increased from 35.9% to 37.8%.
• Subordinated MREL as % of RWA increased from 19.9% to 21.3%.
• Total MREL increased from EUR 3165.1 billion to EUR 3169.6 billion.
• Funding needs decreased significantly under both LA buffer and buffer/8% scenarios:
  • LA buffer: EUR 201.6 billion (down by 11.4%).
  • Buffer/8%: EUR 266.0 billion (down by 30.9%).
• Subordinated funding needs decreased by 11.3%.

Key Information

Methodology

• The analysis follows the methodology outlined in the Final MREL Report and includes the same caveats, such as the absence of actual MREL decisions by resolution authorities and data quality considerations.
• MREL eligibility is based on capital instruments (CET1, AT1, T2), senior debt, and subordinated debt.
• The LA buffer scenario assumes twice capital requirements + combined buffer requirement, while the buffer/8% scenario uses the higher of twice capital requirements or 8% of TLOF.

Impact on Funding

• The actual impact of MREL depends on the market capacity to absorb MREL issuances and the banks' ability to access markets.
• Retail deposit-funded banks have lower MREL ratios, indicating a potential challenge in meeting the MREL requirement.

Policy Considerations

• No 'one size fits all' approach is applied to MREL calibration, as it is based on systemic importance, resolution strategy, and liability structure.
• Resolution authorities may need to set MREL targets and transitional periods on a case-by-case basis for O-SILs due to their heterogeneity.

Data Analysis Caveats

• The results are based on hypothetical scenarios and assumptions about subordination and recapitalisation requirements.
• The data is subject to significant variance across individual banks.
• The data quality and resolution strategies are key limitations in interpreting the findings.
• The figures in the report should be read in conjunction with the Annex, which provides detailed data analysis caveats.

Conclusion

The EBA report highlights that while the average MREL ratio has improved slightly, significant variation remains across the sample. The buffer/8% scenario is the most demanding, and the introduction of partial subordination and partial recapitalisation requirements affects the estimated funding needs differently for each bank type. Resolution authorities will need to consider institution-specific factors when setting MREL requirements.