SRB has published an MREL dashboard, which is to be followed by regular quarterly reports. The dashboard is designed to give a comprehensive overview of the Minimum Requirement for Own Funds and Eligible Liabilities (MREL) across the banks under the remit of SRB. The MREL dashboard is based on bank data reported to SRB.
The first section of the dashboard illustrates the results concerning MREL targets, eligible liabilities, and shortfalls, respectively, in 2018 and 2019 under the Bank Recovery Resolution Directive (BRRD) 1 framework. The second section covers estimates of the MREL requirements under the new BRRD2 framework with reference to the end-2019 data. The third section lays out the quarterly monitoring dashboard while the fourth section highlights recent developments on the cost of funding. The dashboard includes information provided in the context of the November 2020 edition of the Monitoring Report on Risk Reduction Indicators, prepared jointly by the European Commission Services, ECB, and SRB at the request of the President of the Eurogroup.
The data show that average BRRD1 MREL target was equal to 25.6% of the total risk exposure amount (TREA) in December 2019. The MREL shortfall for the groups in the sample was equal to EUR 73.7 billion (1.0% TREA). At the same date, the average BRRD 2 draft MREL targets including Combined Buffer Requirement (CBR) were estimated at 25.5% TREA. The corresponding draft MREL shortfall was EUR 82.7 billion (1.1% TREA). The average MREL shortfall was 1.1% TREA (EUR 82.7 billion) when the CBR was added on top of the risk-based MREL. The MREL shortfall for the groups in the sample rose to EUR 146.5 billion (2.0% TREA on average) in June 2020 from EUR 73.7 billion (1.0% TREA on average) in December 2019. The higher shortfall is driven by the increase in MREL targets, which was not offset by the increase in MREL-eligible liabilities. Shortfalls are expected to be closed according to the SRB 2020 MREL policy.
Keywords: Europe, EU, Banking, Resolution Framework, MREL Dashboard, MREL, Regulatory Capital, Basel, BRRD, SRB
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