JP Morgan SE allocates €318m for structural credit spread risk
Bank’s EU arm among first to disclose figure following EBA’s diktat on more granular monitoring of CSRBB
JP Morgan SE, the US lender’s subsidiary in the European Union, earmarked €318 million ($345 million) to cover structural credit spread risk at the end of 2023 – one of the first such disclosures by a major lender in the bloc.
As part of their internal capital adequacy assessment process (ICAAP), the European Banking Authority (EBA) has required lenders to assess credit spread risk in the banking book (CSRBB) alongside interest rate risk in the banking book (IRRBB) since the end of last year.
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