Featured Product

    BaFin Consults on Revisions to Circular 11/2011 on IRRBB

    October 19, 2017

    BaFin is revising and consulting on Circular 11/2011 for interest rate risk in the banking book (IRRBB). The consultation closes on November 17, 2017.

    The three important changes being introduced in the Circular 11/2011 are the inclusion of cash flows without margins, deletion of the avoidance procedure, and modifications and clarifications with respect to the alternative shock level. The new circular does not, however, anticipate any future rules and is limited to the calculation of the standard shock (± 200 basis points).

    With the draft of the new circular, the German supervisory authority aims to implement the EBA “Guidelines for the control of the interest rate risk in transactions in the investment business, ” which were published in 2015. BaFin aims to implement these guidelines in a way that keeps the organizational and financial costs of the credit management within a reasonable framework. The revisions are therefore intended to prevent the creation of new targets, following the implementation of the new Basel rules, the current revision of the EBA guidelines, and the anticipated innovations in the CRD V and CRR II, respectively. BCBS had published the new IRRBB rules in June 2016 and these apply from January 01, 2018.

     

    Related Links (in German)

    Comment Due Date: November 17, 2017

    Keywords: Europe, Germany, Banking, IRRBB, CRD, Circular 11/2011, BaFin

    Related Articles
    News

    FSB Examines Financial Stability Aspects of Bigtech and Cloud Services

    FSB published two reports that consider the financial stability implications from the offering of financial services by bigtech firms and the adoption of cloud computing and data services across a range of functions at financial institutions.

    December 09, 2019 WebPage Regulatory News
    News

    APRA Specifies Capital Treatment of Equity Investments in ABGF

    APRA published a letter to the authorized deposit-taking institutions outlining the regulatory capital treatment of their equity investments in the Australian Business Growth Fund (ABGF).

    December 09, 2019 WebPage Regulatory News
    News

    EBA Publishes Action Plan on Sustainable Finance

    EBA published the Action Plan on sustainable finance for banks.

    December 06, 2019 WebPage Regulatory News
    News

    EBA Single Rulebook Q&A: Second Update for December 2019

    EBA updated the Single Rulebook question and answer (Q&A) tool with answers to three questions under the Capital Requirements Regulation (CRR) and the second Payment Services Directive (PSD 2).

    December 06, 2019 WebPage Regulatory News
    News

    APRA Publishes Proposal to Increase Transparency of Banking Data

    APRA proposed to substantially increase the volume and breadth of data it makes publicly available on authorized deposit-taking institutions, including banks, credit unions, and building societies.

    December 05, 2019 WebPage Regulatory News
    News

    ESMA Consults on Guide to Internal Controls for Credit Rating Agencies

    ESMA launched a consultation on the guidelines on internal controls for credit rating agencies (CRAs).

    December 05, 2019 WebPage Regulatory News
    News

    EU Finalizes Directive and Prudential Rules for Investment Firms

    EU published, in the Official Journal of the European Union, the Directive (2019/2034) and Regulation (2019/2033) on the prudential requirements and supervision of investment firms.

    December 05, 2019 WebPage Regulatory News
    News

    OSFI Revises Guideline on Principles for Management of Liquidity Risk

    OSFI finalized Guideline B-6 on the principles for the management of liquidity risk.

    December 05, 2019 WebPage Regulatory News
    News

    ESAs Publish Draft Amendments to Bilateral Margin Requirements

    ESAs published joint draft regulatory technical standards to amend the Delegated Regulation on the risk mitigation techniques for non-cleared over-the-counter (OTC) derivatives as well as a joint statement on the introduction of fallbacks in OTC derivative contracts and the requirement to exchange collateral.

    December 05, 2019 WebPage Regulatory News
    News

    RBNZ Releases Final Decisions Related to Capital Review for Banks

    RBNZ released a paper that sets out its final decisions following the comprehensive review of its capital framework for banks, known as the Capital Review.

    December 05, 2019 WebPage Regulatory News
    RESULTS 1 - 10 OF 4289