The regulatory requirement to consider credit spread risks in the banking book as a separate risk category within ICAAP presents new methodological and technical challenges. All interest-bearing instruments, such as bonds, securitizations, CLNs, and CDS, are affected. The need to reflect this risk applies to institutions of all sizes with corresponding positions in their banking books.

In particular, distinguishing the credit-quality-related component from the risk-premium-related component of credit spread risk is essential. While changes driven by credit quality are allocated to other risk types, the risk-premium-related component must be addressed explicitly and independently. Changes in market value caused by credit spreads can have a significant impact on risk-bearing capacity.

Introducing this new risk category requires not only adapted risk measurement methods and IT solutions, but also a precise distinction from existing risk types such as CVA, Incremental Risk Charge, or debt-related risks. Without a clear separation, there is a risk of double counting and gaps in risk management.