The German Federal Financial Supervisory Authority (Bundesanstalt für Finanzdienstleistungsaufsicht – BaFin) published a new circular on interest-rate risk in the banking book (IRRBB), transposing the revised guidelines (GL) of the European Banking Authority (EBA) on IRRBB from July 2018 ("Guidelines on the management of IRR arising from non-trading book activities" -EBA/GL/2018/02) into national law and repealing Circular 9/2018 (BA). It extends the requirements for calculating the effects of a sudden and unexpected change in interest rates: in addition to the Basel standard shock, six further interest-rate scenarios must be considered. With the entry into force of Circular 9/2018 (BA) and in line with the Basel standards of 2016, the BaFin has made it possible for banks to take into account non-margin cash flows (i.e. on the basis of the "internal interest rate" or the money and capital market interest rate with appropriate maturities) when calculating the IRRBB. But even if margins are not considered in the IRR, the supervisory authority expects that the risk resulting from margins is adequately taken into account in the internal risk management and controlling processes. The circular will come into force as of reporting date 31 December 2019.  If the revision of the Financial and Internal Capital Adequacy Information Regulation (Finanz- und Risikotragfähigkeitsinformationenverordnung - FinaRisikoV) has not been completed by this date, institutions must send the report on IRRBB to the supervisory authority using an Excel spreadsheet, which will be provided ahead of time.

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