BaFin published the frequently asked questions (FAQs) to Circular 06/2019 on interest rate risk in the banking book (IRRBB). Circular 06/2019 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 other six interest rate scenarios in the future. Circular 06/2019 replaced Circular 09/2018 and had come into force on December 31, 2019.
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Keywords: Europe, Germany, Banking, IRRBB, Basel III, FAQ, Interest Rate Risk, BaFin
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