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MREL Program

CHALLENGE

MREL as an issue

MREL stands for Minimum Requirement for Own Funds and Eligible Liabilities. It is a regulatory requirement imposed on banks and other financial institutions to ensure that they have sufficient loss-absorbing capacity in the event of financial distress or failure.

SOLUTION

Trust and pricing

MREL requirements are set by regulatory authorities, such as central banks and banking supervisors, in accordance with international standards, including those established by the Financial Stability Board (FSB) and the Basel Committee on Banking Supervision (BCBS). This harmonization helps promote consistency and comparability across jurisdictions.

We are helping Financial Institutions to moderate the process, linking investors and potential investors with companies seeking funds to close the MREL gap. The crucial point here is fair pricing of underlying securities considering fundamental data and business prospects of a financial institution. MREL price is determined on a case-by-case basis utilizing relative price valuation methods. Machine Learning techniques are used to perform the calculation.

RESULTS

A successful transition and operational excellence

  • Pricing of MREL debt
  • Fostering communication between investors and Financial Institutions
  • Sharing best practices
  • Analysis of country specific requirements
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MREL pricing

CHALLENGE

MREL bond pricing

MREL stands for Minimum Requirement for Own Funds and Eligible Liabilities. Pricing MREL bonds involves various challenges due to the complexity and dynamics of the bond market.

MREL markets are illiquid, meaning there may be limited trading activity and a lack of readily available market prices. Illiquidity can make it challenging to obtain accurate and up-to-date pricing data, especially for less-traded bonds. Moreover, evaluating the credit risk of MREL issuer is crucial for pricing bonds. This involves analyzing the issuer’s financial health, credit rating, industry trends, and market conditions.

MREL bonds have complex structures reflecting regulatory requirements in different countries. Pricing such bonds requires more advanced models and methodologies that account for these unique features..

SOLUTION

Data & Machine Learning.

Addressing these challenges requires a combination of financial expertise, advanced modeling techniques, access to reliable data sources, and continuous monitoring and adjustment of pricing models to reflect changing market conditions..

RESULTS

Fostering trust and lower cost of financing

  • Bond pricing plays a crucial role in fostering trust among market participants by promoting transparency, fairness, and confidence in the bond market.
  • MREL bond pricing contributes to price discovery in the market.
  • Consistent and accurate MREL bond pricing contributes to market integrity by discouraging fraudulent or deceptive practices.
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