Stats › Valorisation › MREL calibration
Europe's loss absorbing requirement is calibrated off eight per cent of total liabilities and capped at twenty seven per cent of risk exposure, and the top tier threshold is 100 billion euro not thirty
| Paramètre | Figure | Provision |
|---|---|---|
| Subordination reference | 8 per cent of total liabilities including own funds | Directive Art 45b(4), Regulation Art 12c(4) first subparagraph |
| Cap on that reference | 27 per cent of total risk exposure | same articles, second subparagraph |
| Subordination formula floor, first limb | 3.5 per cent of total risk exposure | Directive Art 45b(4), Regulation Art 12c(4) |
| Subordination formula floor, second limb | 18 per cent of total risk exposure plus the combined buffer requirement | same |
| Top tier bank minimum, risk weighted | 13.5 per cent of total risk exposure | Directive Art 45c(5)(a), Regulation Art 12d(4) |
| Top tier bank minimum, leverage | 5 per cent of leverage exposure | Directive Art 45c(5)(b), Regulation Art 12d(4) |
| Discretionary extension to smaller groups | same minimums | Directive Art 45c(6), Regulation Art 12d(5) |
| Globally systemic institution minimums | 18 per cent of risk exposure plus the buffer, and 6.75 per cent of leverage exposure | capital regulation Article 92a, not readable |
| Intermediate targets due | 1 January 2022 | Regulation Art 12k(1) |
| Final compliance due | 1 January 2024 | Regulation Art 12k(2) |
Read off Directive (EU) 2019/879 and Regulation (EU) 2019/877. The globally systemic minimums are the one row that could not be read in the parent text and are attributed below.
The subordination floor is expressed as two formulas, one at three and a half per cent of risk exposure and one at eighteen per cent plus the buffer requirement. The 30 billion euro figure often quoted appears in neither amending act.
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