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BLOGS. February 25, 2022

EBA Proposals Eye Enhanced Credit Spread Risk and Standardized NII

With interest rate hikes now almost a given in the medium-term horizon as a result of increasing inflationary pressure, European regulators are shifting their focus to ensure financial institutions are prepared to weather associated impacts. In December 2021, the European Central Bank (ECB) announced its supervisory priorities for the triennium of 2022-2024 where “Sensitivities and shocks to interest rate and credit spreads” are clearly identified as a key vulnerability for the European banking sector, and therefore, a supervisory priority for the period.


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