IRRBB and CSRBB 2026: An exclusive practical insight into the EU financial sector

The management of IRRBB (interest rate risk in the banking book) and CSRBB (credit spread risk in the banking book) has evolved in recent years from specialised regulatory issues into key performance indicators in treasury and risk control. Whilst the relevant guidelines are now in place, the focus is shifting to practical implementation – partly as a result of intensified regulatory enforcement: How exactly do banks measure these risks? Where are common standards emerging? And where do differences between institutions still persist?

Answers to these questions form the core of our white paper ‘IRRBB and CSRBB in Practice: Market Practice and New Regulatory Expectations for 2026’. The data for the publication is drawn from a selection of survey results from 97 banks across 18 EU countries. As part of a benchmarking study, the survey systematically documented how institutions are currently operationalising and further developing IRRBB and CSRBB.

Basis of the white paper: Comparative study of market practices

The study compares implementation practices across key dimensions of the IRRBB and CSRBB frameworks – from system architectures and modelling approaches to governance and reporting requirements. The aim is to provide a clear picture of market standards, areas of convergence and remaining differences.

IRRBB and CSRBB in Practice

Market Practices and Emerging Supervisory Expectations 2026

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IRRBB and CSRBB: An overview of key areas of focus

The analysis identifies six key areas that are currently shaping market practice:

System landscapes: The use of vendor solutions is becoming significantly more prevalent than in-house developments.
Behavioural modelling: Banks are continuing to refine their models cautiously; in particular, AI-based methods have so far only been used on a limited basis.
Assumptions regarding unscheduled repayments: Interest-rate-dependent, dynamic models are used more frequently than static assumptions.
EVE and NII management: Greater focus is being placed on the simultaneous consideration of economic value and earnings risks.
ITS reporting: The operational burden remains high and is shaping the further development of processes and data structures.
CSRBB demarcation: Market practice remains heterogeneous, particularly when it comes to the inclusion of own issues.

Your direct benefit: a quick overview of how the market compares

This white paper enables you to assess your own IRRBB and CSRBB practices within the market context, recognise current market standards and typical implementation approaches, and identify areas where convergence is emerging or where further adaptation is required. Use the survey results and practical insights as a starting point for your own strategic considerations and as direct points of reference for internal governance discussions.

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