BaFin published a circular 06/2019 on the interest rate risk in banking book (IRRBB). This circular specifies the requirements that apply to institutions for the application of a sudden and unexpected interest rate change to be specified by the national supervisory authority. In addition to the Basel default shock, the institutions will have to consider another six interest rate scenarios in the future. The circular will come into force on December 31, 2019.
The new interest rate scenarios extend the changes in the yield curve to be taken into account by the institutions. This is intended to provide regulators with a more complete picture of institutions' interest rate risk, thus improving the supervisory understanding of the risk structure of both individual institutions and the overall banking sector. Circular 06/2019 replaces circular 09/2018 on IRRBB. The new version reflects the developments of recent years at the national and international levels.
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Effective Date: December 31, 2019
Keywords: Europe, Germany, Banking, IRRBB, Basel III, Interest Rate Risk, CRR/CRD, BaFin
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