The calculation of MREL is based on information about the institutions’ 1) capital requirements and 2) total liabilities and own funds.
CAPITAL REQUIREMENT INFORMATION
In accordance with Article 1.2 of Commission Delegated Regulation (EU) 2016/1450, the Debt Office is to base the MREL requirement on the capital requirements that are currently applicable for an institution.
For institutions for which Finansinspektionen (the Swedish Financial Supervisory Authority) has conducted a Supervisory Review and Evaluation Process (SREP) within the last year, all capital requirement information (not forecast values) is generally obtained from the overall capital assessment resulting from the SREP. As a general rule, this assessment is based on data from 31 December of the most recent year.
For those institutions for which Finansinspektionen has not completed an SREP within in the last year, the data regarding Pillar 2 requirements is obtained from the latest available SREP (actual or forecast). Other capital requirement data for these institutions, and those for which an SREP has not been conducted, have been obtained by the Debt Office directly from the institutions. This information is based, in accordance with the above, on data from 31 December of the most recent year.
Information on which Pillar 2 requirements directly or indirectly reflect macroprudential risks and how much of the requirement corresponds to such risks, i.e. the amounts that are reduced in the LAA (Loss Absorption Amount), is obtained from Finansinspektionen (see also the question on how Pillar 2 requirements are taken into account regarding MREL).
INFORMATION ON TOTAL LIABILITIES AND OWN FUNDS
Information on total liabilities and own funds is generally obtained from the institutions within the framework of the annual reporting for the resolution planning. This information is based on data from 31 December of the most recent year.
As a general rule, MREL decisions are based on the above description, and on data from 31 December of the most recent year.
If warranted, due to circumstances that significantly affect the MREL requirement (for example, significant operational changes or adjusted capital requirements), a decision can be based on information and capital requirements and total liabilities and own funds on another reference date than presented above. In such cases, information that the institutions report to the Debt Office is used. However, data on the institution’s Pillar 2 requirements are, as a general rule, still based on the most recent SREP (actual or forecast).