EBA · 2020_5312 Rejected question

Risk weight for new asset class of non-preferred senior debt

Regulation
Regulation (EU) No 575/2013 (CRR)
Article
120, para. N/A
Topic
Credit risk
Submitted by
Individual
Submitted
2020-06-18
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Question

What risk weight should be applied to non-preferred senior (NPS) debt, under the standardised approach for credit risk?

Background

This is a follow up the question I submitted on October 1st 2018 with the reference no 2018_4306. Non-preferred senior debt is a new asset class and it may have other names. We refer to of non-preferred senior debt as the new asset class that many European institutions are expected to issue in order to fulfill their MREL requirements. The question is what risk weight should be applied according to the standardised approach for credit risk when institutions are buying these instruments. Theoretically this new asset class could be risk weighted in four different ways: 1) as exposures to institutions according to CRR Articles 120-121 2) as equity exposures according to CRR Article 133 3) as items associated with particular high risk according to CRR Article 128 4) fully deductible similar to the rules set out in CRR Article 66(c) and CRR Article 70
No answer published yet.

Original source: European Banking Authority, Q&A ID 2020_5312

This Q&A is published by European Banking Authority and is non-binding. It does not constitute legal advice. Updated weekly from official ESA sources.

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