283. When analysing the perimeter of assets and liabilities covered by the CSRBB assessment, also …

When analysing the perimeter of assets and liabilities covered by the CSRBB assessment, also as considered within the institution’s methodologies, competent authorities should assess whether any potential exclusion of instruments from the relevant perimeter is only made in the absence of sensitivity to credit spread risk and is appropriately documented and justified, as required in paragraph 124 of the EBA Guidelines on IRRBB and CSRBB⁵⁰ . Factors to take into account include:

• a. whether the institution includes all assets and liabilities accounted at fair value;
• b. whether the institution includes all assets and liabilities whose credit spread risk can be inferred from a direct/indirect or even modelled market price, whatever their accounting treatment;
• c. the potential relevance of credit spreads in the institution’s pricing practice for different assets/liabilities (for example through explicit references to observed market prices or more indirect relevance);
• d. differences, if any, that the institution applies between the perimeter for EVE and NII in the measurement of CSRBB (e.g. due to the NII time horizon or other reasons).

⁵⁰ Guidelines issued on the basis of Article 84 (6) of Directive 2013/36/EU specifying criteria for the identification, evaluation, management and mitigation of the risks arising from potential changes in interest rates and of the assessment and monitoring of credit spread risk, of institutions’ non-trading book activities (EBA/GL/2022/14).

1. Oversigt

1.1 Referencer

1.2 Identificerede krav

1.3 Relaterede standarder

2. Identificerede krav

3. Relaterede standarder

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