EBA updates its quantitative analysis on MREL

21 December 2017

The EBA updated its estimates of capacity and funding needs of a representative sample of European banks to meet MREL under alternative scenarios. In this exercise, the EBA highlighted a modest improvement in the stack of MREL eligible instruments in 2016.

The updated MREL quantitative analysis was carried out with data as of end December 2016 and covers MREL ratios, MREL capacity, MREL quality and the estimated MREL funding needs of the full sample of 112 EU banks. In addition, a consistent sample of 100 banks was used to compare the evolution of MREL over the previous two years.

Despite the substantial differences across categories of banks and individual banking groups, the results of the updated analysis showed that in 2016, the consistently monitored sample of 100 banks, on average:

• Improved their risk profile as measured by a risk weighted assets (RWAs) decrease of EUR 431.1 billion (-4.9%), which significantly contributed to the improved (lowered) estimated MREL funding needs.
• Only marginally increased the stack of MREL eligible instruments, both in absolute and relative amounts
• Slightly improved the quality of MREL, as captured by the increase of the stock of subordinated MREL instruments (EUR 33 billion, +1.9%).
• Mitigated total estimated MREL funding needs by EUR 25.8 billion (-11.4%) and EUR 119.0 billion (-30.9%) under Loss Absorption (LA) buffer and buffer/8% baseline scenarios respectively. Aggregated subordinated estimated MREL funding needs have decreased by EUR 15.2 billion (-11.3%).

Press release

Quantitative update

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