Regulatory Alerts2021-01-28 | Circular 06/2019 (BA) - Interest rate risk in the banking bookCircular 06/2019 (BA) – Interest Rate Risk in the Banking Book
BaFin and the Deutsche Bundesbank issued this circular to specify how credit institutions must calculate and report interest rate risk in their banking book following sudden, unexpected rate changes. Institutions are required to apply eight standardized interest rate scenarios to determine a 20% supervisory outlier test and a 15% early warning indicator threshold relative to regulatory capital and tier 1 capital, respectively. The updated framework mandates quarterly reporting of economic value changes and margin treatments to supervisors, replacing Circular 09/2018 while permitting institutions to utilize internal calculation methods aligned with MaRisk guidelines.
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