Question ID
2018_4306
Legal act
Regulation (EU) No 575/2013 (CRR)
Topic
Credit risk
Article
120 and others
Paragraph
N/A
Subparagraph
N/A
COM Delegated or Implementing Acts/RTS/ITS/GLs/Recommendations
Not applicable
Article/Paragraph
N/A
Name of institution / submitter
Kurt Lund
Country of incorporation / residence
Sweden
Type of submitter
Individual
Subject matter
Risk weight for new asset class of non-preferred senior debt
Question

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

Background on the question

Non-preferred senior debt is a new asset class and it may have other names. We refer to 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

Submission date
Rejected publishing date
Rationale for rejection

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Status
Rejected question