28/11/2016 l Industry Dialogue : State of Play on MREL. Mauro Grande, Member of the Board

Transcription

1 Industry Diaogue : State of Pay on MREL Mauro Grande, Member of the Board

2 Agenda 1. Background 2. Updated SRB Approach for Aggregated Informative Targets and Shortfas 4. Liabiity Data Tempates: Update and Timeine and beyond 2

3 1. Background Reguatory Environment > EU Commission Deegated Reguation on MREL came into force in May 2016 > EU Commission Legisative Proposa (banking reform package) pubished on 23rd November 2016 > EBA Interim report on MREL pubished on 19 Juy, and fina report to be transmitted to EU Commission on 6 December 2016 Resoution Panning & Exchanges with Banks > Informative MREL on 65 major banking groups (for which the SRB drafted resoution pans) > MREL workshops with banks started in June (new wave from November onwards) 3

4 2. Updated SRB Approach for 2016 The MREL Journey Started Eary 2016 > Lega basis and References - Art. 12 SRMR requires the SRB to determine MREL for entities under its remit - SRB methodoogy is based on BRRD and EU Commission Deegated Reguation > Priorities for 2016 Quantity Informative Targets based on EC Deegated Reguation Location Consoidated eve of EU parent ony Quaity Subordination as per TLAC Term-Sheet for G-SIIs Timing G-SIIs to compy with the TLAC Term-Sheet by 2019 > Timeine February Data request sent to groups May-June Data submitted to NRA/SRB Summer Workshops with banks on MREL cacuation September Refinements and foow-up actions Horizonta anaysis From November Informative MREL targets and new workshops 4

5 2. Updated SRB Approach for 2016 Key Features of SRB MREL Methodoogy for 2016 (1/2) Informative MREL Targets in 2016 = Mechanica sum of three amounts CBR CBR - 125bp Piar 2R Piar 2R Piar 1 Piar 1 Loss Absorption Amount (LAA) Recapitaization Amount (RCA) Market Confidence Charge (MCC) > Base 1 foor: appicabe for LAA and RCA determination > 8 percent benchmark : case by case anaysis where targets are ess than 8 percent tota iabiities and own funds > Partia subordination for G-SIIs: as per TLAC at 13.5% + Combined Buffer Requirement 5

6 2. Updated SRB Approach for 2016 Key Features of SRB MREL Methodoogy for 2016 (2/2) New SREP Methodoogy > Piar 2 spit into two components: requirement and guidance; > Stacking order carified: Piar 2 sits above the Piar 1 tota capita requirement; Piar 2 guidance sits above the buffer requirements; Bank Specific Anaysis sti to be conducted > Resoution strategy: informative MREL targets do not consider bank specific anaysis and assume open bank bai-in. Additiona work needed for transfer strategies (sae of business, AMC, bridge bank) and strategies based on recapitaization of a smaer group; > Business mode and risk profie: case-by-case anaysis in caibrating the capita post-resoution (diaogue with the ECB); Assessment of MREL Eigibe Instruments as per Art. 45 BRRD > As a starting point in the 2016 methodoogy the SRB considered: a iabiities regardess their hoding structures (inc. retai investors), term deposits > 1 year, nationa rues for subordination in reation to G-SIIs; > And did not consider: structured notes, iabiities issued by SPVs, and third-country issuances. 6

7 2. Updated SRB Approach for 2016 Communication Poicy Diaogue with banks on informative MREL targets in 2016 > Non-binding and non-enforceabe > No expectation for compiance, but orientation for the next steps > No forma communication in 2016 Engagements with banks > Workshops with banks > On-going diaogue 7

8 3. Aggregated Informative Targets and Shortfas Estimated Banking Union Impact based on our Sampe Impementation of the 2016 SRB approach > Mechanica approach not refecting resoution strategies and risk profies > Does not take into account further case-by-case adjustments foreseen by the egisation > Does not take into account the recent EU Commission egisative proposa; Horizonta anaysis performed at SRB eve for a major banks for which the SRB drafted resoution pans (except MPE strategies) Informative targets and shortfas > Informative targets: average 27% of tota risk exposure amount (TREA) > Shortfas: 112bn EUR, representing on average 7% of TREA (for banks with shortfa) > 8% benchmark not binding: two cases No one-size-fits-a answer foreseen 8

9 4. Liabiity Data Tempates: Update and Timeine Objectives of the LDT > Providing a view on iabiity structure and oss-absorbing mechanisms > Setting the adequate MREL requirements at different eves (soo, consoidated) > Being abe to check compiance with the MREL decision in the future > Having a first set of detaied information to operationaise bai-in in rea cases Future of the LDT: wi be composed of eight main eements Ad hoc data Basic, aggregated information Data as of 31/12/2015 Extended information request Data as of 31/12/2016 Extended information request, inc. intragroup Identification (T00.01) Liabiity structure (T01.00) Own funds (T02.00) Intragroup: Liabiities (T03.01) Guarantees received (T03.02) Guarantees provided (T03.03) Securities (T04.00) Deposits (T05.00) > The SRB is working in cooperation with NRAs, the ECB and the industry Financia iabiities (T06.00) Derivatives (T07.00) SFT (T08.00) 9

10 4. Liabiity Data Tempates: Update and Timeine Finaisation of the LDT by end 2016 > Format: Exce or XBRL (taxonomy expected Q1 2017), submission via a secured Data Coection Porta ; error reports if re-submission is needed > Deadine for submission: 15 May 2017 based on data as of 31 Dec 2016 > Data quaity checks by NRAs and SRB NRA 10

11 and Beyond Outstanding work expected in 2017 and beyond to adjust the methodoogy, incuding case-by-case anaysis and future pieces of egisation > Cooperation with NRAs and ECB; > Interpay with EU Commission proposa Severa key topics to be addressed, among which > Taioring requirements to the resoution strategy (MPE, partia recapitaization strategies, risk profie); > Soo requirements and interna MREL > Subordination > Eigibiity of deposits > Taiored and consistent approach for transition periods On-going discussions to prepare the ground for binding MREL targets > The discretionary choices made in determining informative targets for 2016 do not necessariy refect the future choices the SRB wi make when determining binding institution specific MREL requirements 11

12 THANK YOU For more information, pease contact: