BDO Risk Excellence Compass: Horizontal Study on IRRBB & CSRBB

In recent years, the interest rate environment has been marked by high volatility and unexpected shifts – developments that have brought the management of Interest Rate Risk (IRRBB) and Credit Spread Risk (CSRBB) increasingly into the spotlight of supervisory authorities. With the 8th MaRisk Novella and the introduction of EBA Guideline on IRRBB & CSRBB (EBA/GL/2022/14), the regulatory framework has not only been sharpened but also significantly expanded. Banks continue to face the challenge of aligning their risk management and steering processes with these heightened requirements, a demanding and ongoing task.

While IRRBB has long been an established component of banks risk management frameworks, the new requirements for identifying, measuring, and managing CSRBB have posed significant implementation challenges for many institutions. Supervisors, however, expect consistent and resilient frameworks – especially in an environment where even small valuation errors can have a material impact on profitability and capital ratios. Continuous enhancement is therefore not optional but essential.

This horizontal review assesses the current state of implementation, highlights key areas for action, and provides impulses for the further development of interest rate and credit spread risk management frameworks.