BaFin is consulting on the revised circular on interest rate risk in banking book (IRRBB). The revisions related to additional interest rate scenarios and changes to foreign currency aggregation, a maturity-based interest floor, and the consideration of non-performing receivables. The circular will be available for consultation until April 30, 2019.
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. The draft of the new circular is related to the EBA "guidelines for managing the interest rate risk on transactions in the banking book," which were published in 2015. The circular implements the current EBA Guidelines in such a way that institutions do not have to make any adjustments following the forthcoming publication of the new Capital Requirements Directive (CRD V) and Regulation (CRR II).
Related Links (in German)
Comment Due Date: April 30, 2019
Keywords: Europe, Germany, Banking, IRRBB, CRR, CRD, Basel III, Interest Rate Risk, BaFin
Previous ArticleAPRA Selects Vizor Software to Develop New Reporting Solution
Next ArticleEBA Single Rulebook Q&A: Fifth Update for March 2019
BoE published a statistical notice (Notice 2020/9) explaining the approach for treatment of payment holidays on the profit and loss return or Form PL.
BoE updated the known issues document for the statistical reporting Forms AS and FV.
FED announced individual capital requirements for 34 large banks and these requirements go into effect on October 01, 2020.
SRB published a set of documents to give operational guidance to banks on implementation of the bail-in tool.
BIS published an update on the G20 TechSprint Initiative, which was launched in April 2020 and aims to highlight the potential for technologies to resolve regulatory compliance (regtech) and supervisory (suptech) challenges.
OSFI published a letter that provides an update on the milestones for the implementation of the IFRS 17 standard on insurance contracts.
EBA updated the report on the implementation of selected COVID-19 policies.
The Financial Stability Institute (FSI) of BIS published a brief note that examines the supervisory challenges associated with certain temporary regulatory relief measures introduced by BCBS and prudential authorities in response to the COVID-19 pandemic.
BCBS is consulting on the principles for operational resilience and the revisions to the principles for sound management of operational risk for banks.
BoE updated the reporting template for Form ER as well as the Form ER definitions, which contain guidance on the methodology to be used in calculating annualized interest rates.