Interest rate risk in the banking book (IRRBB) is a key issue for credit institutions, as it affects both the economic value of equity and net interest income. These risks are presented in the context of different interest rate shock scenarios defined by supervisors. These scenarios help to assess the potential impact of interest rate changes on institutions’ financial stability.

On 30 September 2024, Article 20a was added to the ITS on supervisory reporting (Implementing Regulation (EU) 2021/451) in order to meet the requirements of Article 84 of CRD IV (Directive 2013/36/EU). The reporting requirement pursuant to the ITS extends to all institutions that are considered credit institutions pursuant to Section 1(3d) of the Banking Act (Kreditwesengesetz – KWG) as well as those that meet the narrower definition pursuant to Article 4(1) number 1 of the Capital Requirements Regulation (CRR). 

Quantitative information on interest rate risk must be submitted on a quarterly basis, while qualitative information must be submitted once a year for reference date 31 December. The scope and the reporting templates that must be submitted depend on institutions’ size and complexity.

On 16 September 2024, BaFin also issued a general letter (“Meldung von Zinsänderungsrisikopositionen im Anlagebuch im SAKI und QSA für CRR-Institute”) stating that, when submitting an IRRBB report, institutions are no longer required to complete the relevant interest rate risk data points (379 to 435 on the SAKI template, or 378 to 435 on the QSA template) so as to avoid duplication of effort regarding the information reported.