"Total Assets" versus "Risk Weighted Assets": Does it Matter for MREL Requirements?
Detaljna analiza
04-07-2016
Using a comprehensive sample of European banks by business model, ownership structure and systemic footprint, we calculate MREL requirements based on three hypotheses: i) 18% of RWA; ii) 6.75% of LRE; iii) EBA- RTS. The maximum of i) and ii) TLAC prescription – reveals different requirements across business models/ownership structures not in favour of traditional banking. Variations are reduced somewhat with EBA RTS and an 8% floor. Shocking banks in respect of tail risk events suggests that currently envisaged MREL levels might be insufficient for a smooth resolution for banks.
Detaljna analiza
Vanjski autor
Rym Ayadi and Giovanni Ferri
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