September 19, 2023 (NO COMMENTS)

Inconsistency among EU banks on whether deposits and loans are in scope for credit spread risk

The European Central Bank may need to clarify the regulatory perimeter for part of the European Union banking book risk framework, has learned, because existing practices in the sector are inconsistent. The European Banking Authority released an update to its guidelines for interest rate risk and credit spread risk in the banking book in October last year. The former is well understood by banks, but the latter is still in its infancy. The ECB has already carried out a targeted