Risk glossary
Risk glossary
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Credit spread risk in the banking book (CSRBB)
Credit spread risk in the banking book is the risk of loss of earnings or economic value arising from changes in credit spreads on instruments held in non-trading books. Credit spreads indicate the return of credit-sensitive assets, such as bonds or loans, over the risk-free rate.
CSRBB is measured in relation to changes in the market value of credit risk, liquidity premiums and other characteristics of credit-exposed products, without a deterioration in credit quality of the instrument. It aims to capture risks that do not currently fall under other prudential frameworks such as IRRBB.
Guidelines from the European Banking Authority released in 2022 widened the scope of CSRBB to apply to all credit-exposed products held in the banking book. Since the start of 2024, the regulator has required European banks to formally identify and measure the risk, and to justify any excluded instruments.
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