Interest rate risk
Credit institutions are required to calculate, on a regular basis, the impact of a sudden and unexpected change in interest rates on their interest rate risk in the banking book and to report this to supervisors. The version BaFin Circular 6/2019 (BA) entered into force on 31 December 2019.
BaFin circular
in German only
Expert panel on Interest rate risk in the banking book (IRRBB)
The specialist sub-committee on Interest rate risk in the banking book (IRRBB) is a forum promoting dialogue between banking supervisors and the banking industry.
The Deutsche Bundesbank’s ExtraNet
This prudential reporting platform should be used to report the Basel interest rate risk coefficient. It enables the information to be recorded directly on the reporting form