EBA guidance prompts banks to rethink CSRBB perimeters

Banks will likely have to expand their credit spread risk coverage following recommendations

European Union lenders say recent guidance issued by their banking watchdog will oblige them to include more banking book products in their measures for managing the risk of shifting credit spreads. 

“We at least need to either put more products into the perimeter or revise our argumentation,” says a senior risk modeller at a European bank.

Since December 2023, updated recommendations from the