139. The IT systems and applications used by the institution to carry out, process and record …

The IT systems and applications used by the institution to carry out, process and record operations, to identify, measure and aggregate CSRBB exposures, and to generate reports should be capable of supporting the management of CSRBB in a timely and accurate manner. In particular, the systems should:

• (a) Capture credit spread data on all the institution’s CSRBB exposures. This should support the institution’s measurement s ystem to identify, measure and aggregate the major sources of CSRBB exposures;
• (b) Be capable of fully and clearly recording all transactions made by the institution, taking into account their CSRBB characteristics;
• (c) Be tailored to the complexity and number of transactions creating CSRBB;
• (d) Offer sufficient flexibility to accommodate a reasonable range of CSRBB shock and stress scenarios and any additional scenarios;
• (e) Enable the institutions to fully measure, assess and monitor the contribution of individual transactions to their overall exposure; and
• (f) Be able to compute the CSRBB measures.

1. Overview

1.1 References

1.2 Identified Requirements

1.3 Related Standards

2. Identified Requirements

3. Related Standards

• EBA -

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