Response to consultation on draft Guidelines on IRRBB and CSRBB

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Question 3: Is there any specific element in the definition of CSRBB that is not clear enough for the required assessment and monitoring of CSRBB by institutions?

When measuring the credit spread risk on the assets and liabilities side, are these risks to be shown separately or is a net presentation intended here? How is this circumstance to be taken into account in the limitation of Pillar 2? It’s not clear if monitoring of local supervision is being considered.
In addition, is it possible for UGB banks to exclude certain products / categories from the credit spread analysis on the grounds that a change in the credit spread has no effect on the income statement (e.g. loans and securities in the AV)?
What is the exact treatment of credit spreads in the NII?

Question 4: As to the suggested perimeter of items exposed to CSRBB, would you consider any specific conceptual or operational challenge to implement it?

For the consideration of fair value loans and possibly also liabilities in the risk calculation, time must be planned accordingly for the conversion of the IT systems, as there is a lead time of up to one year for the release cycles.
The following issues pose a particular challenge:
• Risk measurement specifically for loans must be redefined and corresponding market data incl. histories are needed for this.

• Management concepts of banks do regularly not provide for a separation between market credit spread and market liquidity spread.

Name of the organization

Wirtschaftskammer Österreich / Austrian Federal Economic Chamber