国际清算银行-MREL用于销售业务解决策略（英）-2023.9-13页_349kb

MREL for Sale-of-Business Resolution Strategies

Highlights

• Key Objective: Ensure adequate financial support from deposit insurance funds (DIF) and sufficient asset transfers for sale-of-business (SoB) strategies in mid-sized banks.
• Role of DIF: DIF support is capped by its net costs in bankruptcy liquidation, which depends on creditor ranking (super-preference vs. general deposit preference).
• MREL Calibration: Should address the expected gap between liabilities and assets, considering DIF support and asset valuation by acquirers.
• Regulatory Reform Needed: The EU CMDI proposal aiming to replace super-preference of covered deposits with general deposit preference could improve SoB feasibility.

Introduction

• SoB strategies are the most suitable for mid-sized bank failures, enabling market exit by transferring sensitive liabilities.
• DIF support is crucial due to funding gaps in asset transfers, but current DIF practice restricts SoB feasibility if covered deposits are super-preferred.

Analytical Framework

Problem

• Equation Explanation: The required gone-concern capital (K) depends on asset value (A), DIF support (MS), deposits (D), and the proportion of covered vs. non-covered deposits.
• Key Constraint: DIF support's "financial cap" is determined by its net costs in liquidation.

Maximum DIF Support

• Super-Preference (SP) Regime: DIF bears all liquidation costs if assets yield less than covered deposits.
• General Preference (GP) Regime: Costs are shared proportionally with non-covered deposit holders.

Minimum Gone-Concern Capital

• SP Regime: Requirements may be fixed if DIF support is unavailable due to high costs.
• GP Regime: DIF support is more flexible, requiring less gone-concern capital for SoB transactions.

Key Parameters

• Franchise Value: Higher values reduce required loss-absorbing liabilities.
• Non-Covered Deposits Ratio: Affects DIF support availability.
• Liquidation Value Preservation: Higher preservation reduces DIF costs.

Numerical Illustrations

• Low Non-Covered Deposits (ND/D):
  • Minimal DIF support needed, even with moderate asset value discounts.
• High Non-Covered Deposits:
  • Extensive DIF support required, and higher gone-concern capital under SP regime.

Conclusions

• Recommendations:
  • Calibration of MREL should primarily target expected gaps between liabilities and assets, using DIF support estimates.
  • Dynamic adjustments for parameters (h, m, ND ratio) are recommended for specific scenarios.
  • DIF legislative reform to replace super-preference of deposits could significantly enhance SoB viability.

References

• European Commission (2023), FDIC (2017), Deloitte (2017), Restoy et al. (2019, 2020)
• Single Resolution Board (SRB) legal provisions for MREL.