We examine the risk sensitiveness of minimum requirement for own funds and eligible liabilities (MREL)-eligible debt yields in a sample of 63 European banking groups during the period 2009Q3-2019Q2 in 14 European countries. We conclude that MREL-eligible debt is risk sensitive, as investors...

We examine the risk sensitiveness of minimum requirement for own funds and eligible liabilities (MREL)‐eligible debt yields in a sample of 63 European banking groups during the period 2009Q3-2019Q2 in 14 European countries. We conclude that MREL‐eligible debt is risk sensitive, as investors...