There are four sections in the MREL dashboards, which are based on bank data reported to the SRB. The first and second sections illustrate the results concerning MREL targets, eligible liabilities and shortfalls respectively in 2018 and 2019 under the BRRD1 framework, and estimates of the MREL requirements under the new BRRD2 framework with reference to end-2019 data. Section 3 lays out the quarterly monitoring dashboard and Section 4 highlights recent developments on the cost of funding.
Section 1 – BRRD 1 MREL metrics – 2018/2019
MREL targets. The average MREL targets[1] have slightly increased to 25.2% TREA (EUR 1,869 bn) in Dec 2019 from 25.0% TREA (EUR 1,824 bn) in Dec 2018. The subordination targets were stable at 15.5% TREA (cf. Chart 1).
MREL-eligible liabilities. The average stock of MREL-eligible liabilities reached 31.5% TREA (equal to EUR 2,337 bn) in Dec 2019 compared to 29.3% TREA (equal to EUR 2,132 bn) in Dec 2018. In Dec 2019 subordinated liabilities accounted for 24.7% TREA (EUR 1,834 bn) compared to 23.3% (EUR 1,700 bn) in Dec 2018 (cf. Chart 2).
MREL Shortfall. Driven by the above increase of eligible liabilities, the MREL shortfall significantly reduced to 1.0% TREA (equal to EUR 74.0 bn) in Dec 2019 from 1.8% TREA (equal to EUR 131.4 bn) in Dec 2018. Subordination shortfalls were limited to 0.1% TREA in Dec 2019 (cf. Chart 3 and 4).
[1] The sample includes 94 banks.
Section 2 – BRRD 2 draft MREL metrics – 2019
Draft MREL targets. Since decisions under BRRD2/SRMR2 are currently drafted and will be decided upon in the coming months, this section includes pro forma calculations – using assumptions consistent with the Banking Package and the 2020 MREL policy – for the future MREL targets[1] under BRRD 2. The draft MREL target amounted to 25.5% TREA on average (equal to EUR 1,884 bn) when the CBR was added on top of the risk based MREL. The corresponding MREL subordinated targets represented 16.0% TREA (equal to EUR 1,185 bn) (cf. Chart 5).
MREL-eligible liabilities. The average stock of MREL-eligible liabilities under BRRD 2 (using assumptions and proxies) reached 32.8% TREA (equal to EUR 2,420 bn), while subordinated liabilities were 24.7% TREA (equal to EUR 1,823 bn) (cf. Chart 6).
MREL shortfalls. The average MREL shortfall was 1.1% TREA (EUR 82.7 bn) when the CBR was added on top of the risk based MREL. Shortfalls are expected to be closed according to the SRB 2020 MREL policy.
[1] The sample includes 99 banks.
Section 3 – MREL monitoring – June 2020
MREL targets: The average MREL target[1] rose to 27.9% (equal to EUR 2,025 bn) in June 2020 from 25.6% TREA (equal to EUR 1,842 bn) in Dec 2019, mostly due to the growth in total liability and own funds (TLOF) following the ECB refinancing operations in the context of Covid-19.
MREL outstanding stock: The outstanding stock of MREL-eligible instruments amounted to EUR 2,262 bn as of Q2.2020, increasing by 1.15% from Q4.19. The marginal increase during the period covering the Covid-19 outbreak indicates that new issuances have been almost offset by outflows.
MREL gross issuances: In Q2.2020 MREL issuances amounted to EUR 88.2 bn, reduced by 4% (EUR -3.5 bn) compared to Q1.2020 mainly due to the impact of Covid-19 disruption. In Q2.2020 banks issued mostly senior unsecured liabilities (44% of total issuances), followed by senior non-preferred liabilities (SNPs) (26%). Eligible deposits represented 13% of the Q2 MREL issuances (cf. Charts 9 and 10).
Shortfall: The MREL shortfall for the groups in the sample rose to EUR 146.5 bn (2.0% TREA on average) in Jun 2020 from EUR 73.7 bn (1.0% TREA on average) in Dec 2019. The higher shortfall is driven by the increase in MREL targets, which was not offset by the increase in MREL-eligible liabilities (cf. Table 1).