2023-09-23-国际清算银行-MREL用于销售业务解决策略_13页_339kb

Summary of FSI Brief No. 20: MREL for Sale-of-Business Resolution Strategies

Core Content

This document discusses the Minimum Requirement for Eligible Liabilities (MREL) in the context of sale-of-business (SoB) resolution strategies for mid-sized banks. It highlights the importance of aligning MREL with the specific characteristics of SoB transactions and the role of deposit insurance funds (DIF) in facilitating these strategies.

Main Points

• SoB as a Preferred Strategy: SoB is considered a more suitable resolution strategy for mid-sized banks compared to piecemeal liquidation or open bank bail-in, as it minimizes value destruction and contagion.
• Role of DIF Support: The feasibility of SoB depends on the availability of sufficient financial support from the DIF. In the US, DIF support is available under a least-cost constraint, while in the EU, it is more restrictive due to the super-preference of covered deposits.
• MREL Calibration: MREL for SoB banks should be calibrated to close the expected gap between transferred liabilities (e.g., deposits) and the value of transferred assets plus DIF support. This involves considering the franchise value of the bank's assets, the proportion of covered to non-covered deposits, and the value preservation in liquidation.
• Impact of Liability Hierarchy: The ranking of DIF claims in insolvency procedures significantly affects the financial cap for DIF support. Under the current EU framework, the DIF is better protected, leading to lower support for SoB transactions.
• Adjustment of MREL Components: The SRB allows for a reduction in the recapitalisation amount (RCA) for SoB banks by up to 25%, depending on the bank's characteristics. The calibration of MREL should take into account the acquirer's valuation of the bank's assets and the expected level of DIF support.
• Need for Safety Margin: Due to the uncertainty in calibrations, authorities should introduce a safety margin when setting MREL for SoB banks. This can be done by adding a fixed term (MK) to the calculated RCA.

Key Information

• MREL Formula: For a failing bank with assets $ A $, deposits $ D $, and gone-concern capital $ K $, the required gone-concern capital is given by:
  $$
  K \geq \frac {1 - h}{h} D - \frac {M S}{h}.
  $$
• DIF Support in SP vs. GP Regimes:
  • Under the super-preference (SP) regime, the DIF is entitled to receive proceeds before other unsecured creditors, which limits its support.
  • Under the general deposit preference (GP) regime, the DIF shares proceeds with non-covered depositors, allowing for more support.
• Calibration Scenarios:
  • Scenario 1 (ND/D = 0.2): DIF support is limited, requiring higher gone-concern capital.
  • Scenario 2 (ND/D = 0.4): Moderate non-covered deposit ratio leads to more balanced DIF and gone-concern capital requirements.
  • Scenario 3 (ND/D = 0.6): High non-covered deposit ratio results in significant reductions in DIF support and higher gone-concern capital needs.
• Franchise Value and MREL: The franchise value coefficient $ h $, which reflects the acquirer's valuation of the bank's assets, is a crucial factor in determining MREL. A higher $ h $ reduces the need for gone-concern capital.
• EC CMDI Proposal: The proposal aims to replace the super-preference of covered deposits with a general deposit preference rule, thereby increasing the DIF's ability to support SoB transactions.

Conclusion

The document concludes that MREL for SoB banks should be structured to ensure the feasibility of these transactions, taking into account the expected value of transferred assets, the DIF's financial cap, and the acquirer's valuation of the bank's assets. It also suggests that a more consistent and transparent framework is needed to calibrate MREL effectively, and that promoting robust franchise values and reducing reliance on non-covered deposits can enhance the effectiveness of SoB resolution strategies.