Banks Face Expanded CSRBB Perimeter Following EBA Guidance

European Union lenders are preparing to broaden their assessment of credit spread risk in the banking book (CSRBB) following recent guidance from the European Banking Authority (EBA). The updated recommendations, issued in December 2023, require banks to re-evaluate the scope of products included in their CSRBB calculations and potentially revise their existing methodologies.

EBA Updates to CSRBB and IRRBB Guidelines

The EBA’s guidelines on interest rate risks for the banking book (IRRBB) and CSRBB supersede the previous guidelines published in 2018. These updates aim to enhance the management of risks arising from shifts in credit spreads, particularly within the non-trading book. EBA Guidelines on IRRBB and CSRBB

What is CSRBB?

Credit Spread Risk in the Banking Book (CSRBB) refers to the risk of losses arising from changes in the credit spreads of a bank’s non-trading book assets. This includes loans, bonds, and other fixed-income instruments. The European Banking Federation provides further detail on CSRBB.

Impact on Banks

A senior risk modeller at a European bank stated, “We at least need to either put more products into the perimeter or revise our argumentation.” Risk.net reports that this suggests banks may need to include a wider range of products in their CSRBB assessments or strengthen the justification for their current scope.

Regulatory Focus in 2025 and Beyond

The financial sector continues to navigate evolving regulations surrounding CSRBB. The EBA reinforced its 2023 guidelines in 2025, mandating banks to integrate CSRBB into their risk management and capital assessment frameworks. The Global Treasurer highlights this ongoing regulatory focus.

Compliance Timeline

The compliance deadline for the updated EBA guidelines was April 28, 2022, with the guidelines becoming applicable on December 31, 2023. EBA Guidelines on IRRBB and CSRBB