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How will Credit Spread Risk in the Banking Book be put into practice?

Prometeia Survey


Starting on 30 June 2019, the new guidelines published by the European Banking Authority (EBA) regarding monitoring and managing IRRBB will apply to financial institutions in the European Union.

One of the major challenges that the banking industry will face regards the introduction of the Credit Spread Risk in the Banking Book (CSRBB), for which the EBA requires adequate monitoring and assessment, but does not yet provide detailed requirements on how banks should do it.

In anticipation of further clarification by the EBA - expected in a separate, specific guideline - we promote this survey to understand how banks are approaching the assessment of their CSRBB, and to identify a common practice in preparation for compliance.


The survey has been closed. Thanks to all participants!