Cartography is not a skill you’d expect bank risk managers to possess. Yet those working at lenders in the European Union are attempting to map out the boundary of a previously uncharted risk present in their banking books at the behest of the EU’s banking watchdog.

Existing maps of so-called credit spread risk in the banking book located it only within securities portfolios that banks hold for liquid reserves. Regulators are convinced there’s more of it lurking under the surface, in other parts