OpenChainGraph Suite · ART-187 · Prudential & Basel Risk
IRRBB CSRBB Scope Checker
Identify Credit Spread Risk in the Banking Book (CSRBB) scope: fair-valued instruments whose credit-spread risk is not fully captured by credit-risk or IRRBB frameworks. No EU-wide materiality threshold is prescribed — proportionality is a competent-authority / institution judgment (EBA/GL/2022/14). Second node of the irrbb-measurement-and-disclosure chain. Zero network.
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Scope
Second node of irrbb-measurement-and-disclosure chain (art-186→187→188). Fair-value instruments (FVOCI/AFS bond books, fair-valued loans, liquidity-buffer bonds) put a bank in CSRBB scope, requiring a defined methodology and ICAAP inclusion. A bank is CSRBB-conformant if, whenever in scope, both governance items are confirmed.
Presets
Fair-Value Instruments (€M)
Governance
csrbb_methodology_defined — a CSRBB identification and measurement methodology exists
csrbb_included_in_icaap — CSRBB is included in the ICAAP