In the new Guidelines, the EBA defines the criteria in dedicated sections about the identification, assessment, and monitoring of Credit Spread Risk in the Banking Book (CSRBB).
In October 2022, the European Banking Authority (EBA) published a set of Guidelines on Credit Spread Risk in the Banking Book (CSRBB) with an end-of-2023 entry into force. These Guidelines published in 2022 replace the 2018 Guidelines “on the management of interest rate risk arising from non-trading book activities”.
In this context, the European Banking Federation has engaged with banks across Europe in order to provide the banking industry’s common understanding of CSRBB with the aim to help banks in their understanding and implementation of the EBA Guidelines.
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