BaFin Consults on Circular on Interest Rate Risk in Banking Book
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
Featured Experts
María Cañamero
Skilled market researcher; growth strategist; successful go-to-market campaign developer
Pierre-Etienne Chabanel
Brings expertise in technology and software solutions around banking regulation, whether deployed on-premises or in the cloud.
Nicolas Degruson
Works with financial institutions, regulatory experts, business analysts, product managers, and software engineers to drive regulatory solutions across the globe.
Previous Article
APRA Selects Vizor Software to Develop New Reporting SolutionNext Article
EBA Single Rulebook Q&A: Fifth Update for March 2019Related Articles
MAS Concludes Blockchain Payments Prototype Shows Commercial Potential
MAS and Temasek jointly released a report to mark the successful conclusion of the fifth and final phase of Project Ubin, which focused on building a blockchain-based multi-currency payments network prototype.
PRA Publishes Public Working Draft of XBRL Taxonomy 1.2.0 for Insurers
PRA published a public working draft, or PWD, of version 1.2.0 of the BoE Insurance XBRL taxonomy, along with the related technical artefacts.
CPMI Report Sets Out Building Blocks to Enhance Cross-Border Payments
CPMI published a report that sets out nineteen building blocks for a global roadmap to improve cross-border payments.
EBA Publishes Phase 2 of Technical Package on Reporting Framework 2.10
EBA published phase 2 of the technical package on the reporting framework 2.10, providing the technical tools and specifications for implementation of EBA reporting requirements.
APRA Updates Reporting Validation Rules in July 2020
APRA updated the lists of the Direct to APRA (D2A) validation rules for authorized deposit-taking institutions, insurers, and superannuation entities.
PRA to Partly Apply EBA Guidelines on Disclosures for COVID Measures
PRA updated the statement that provides guidance to regulated firms on implementation of the EBA guidelines on reporting and disclosure of exposures subject to measures applied in response to the COVID-19 crisis.
EBA Updates List of Correlated Currencies Under CRR
EBA updated the 2019 list of closely correlated currencies that was originally published in December 2013.
ESMA Guides on Securitization Repository Data Consistency Thresholds
ESMA published the final report on the guidelines on securitization repository data completeness and consistency thresholds.
FASB Proposes to Delay Implementation of Insurance Contracts Standard
FASB issued a proposed Accounting Standards Update that would grant insurance companies, adversely affected by the COVID-19 pandemic, an additional year to implement the Accounting Standards Update No. 2018-12 on targeted improvements to accounting for long-duration insurance contracts, or LDTI (Topic 944).
APRA Updates Regulatory Approach to Loan Deferrals Amid COVID Crisis
APRA updated the regulatory approach for loans subject to repayment deferrals amid the COVID-19 crisis.
