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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 requirements which are currently in force are contained in BaFin Circular 11/2011 (BA). This circular is currently being revised and updated, but will remain in force in its current form until the revised version is published.

Recording schemas for the quarterly report and the amendment report

Consultation 10/2011

Circular 7/2007 (BA)

Interest rate risk in the banking book; calculating the impact of a sudden and unexpected change in interest rates (in German only)

Additional information

Information of the Federal Financial Supervisory Authority

Logo Federal Financial Supervisory Authority

2011-12-22

Häufig gestellte Fragen zum Rundschreiben 11/2011 (BA)
(in German only)