EBF PAPER

Credit Spread Risk in the Banking Book: Banking Industry Common Understanding

BRUSSELS, 12 July 2023 – 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 the new Guidelines, the EBA defines the criteria in dedicated sections about the identification, assessment, and monitoring of CSRBB. 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.

For more information:

Francisco Saravia, Senior Policy Adviser – Prudential Policy & Supervision, f.saravia@ebf.eu

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About the EBF:

The European Banking Federation is the voice of the European banking sector, bringing together national banking associations from across Europe. The EBF is committed to a thriving European economy that is underpinned by a stable, secure and inclusive financial ecosystem, and to a flourishing society where financing is available to fund the dreams of citizens, businesses and innovators everywhere.