BaFin publishes 8th MaRisk amendment
With Circular 06/2024 (BA), BaFin published the 8th amendment to the Minimum Requirements for Risk Management (“MaRisk”) on 29 May 2024. It thus implements the guidelines of the European Banking Authority (“EBA”) on interest rate risks and credit spread risks in the banking book (EBA/GL/2022/14 – “EBA Guidelines”) and fully incorporates them into its supervisory administrative practice.
Table of Contents
IRRBB and CSRBB in focus
The new version focuses on interest rate risks in the banking book (IRRBB) and credit spread risks in the banking book (CSRBB).
Management of interest rate risks in the banking book
IRRBB were already categorised as market price risks in the previous version. Now, for the first time, the explanatory notes to module AT 4 General requirements for risk management – which in itself remains unchanged – also include specific requirements for their management. When determining the risk appetite, interest rate risks in the banking book should be taken into account both from a present value and a periodic perspective in relation to the result under commercial law. Both perspectives must be addressed as part of the risk management and controlling processes and taken into account when assessing risk-bearing capacity.
IRRBB must also be taken into account when designing stress tests and determining stress scenarios. For details, including with regard to risk management and controlling processes and measurement approaches, Bafin refers to the corresponding requirements in the EBA guidelines.
New in MaRisk: Credit spread risks in the banking book
CSBB were included in MaRisk for the first time with the 8th amendment. A separate module is dedicated to them in BTR5.
In the now finalised version of the 8th amendment, BaFin refrains from qualifying credit spread risks in the banking book as material per se. They can be determined either together with other risk types or as a separate risk type. However, they must be recognised separately regardless of their classification.
The identification of CSRBB, i.e. those financial products that are to be regarded as (significantly) influenced by credit spreads, is left to each institution itself. The non-inclusion of positions must be justified and documented. The associated flexibility is offset by considerable legal uncertainty. As far as can be seen, there is no clear and established market practice to date.
Like IRRBB, credit spread risks in the banking book must also be measured from a present value and periodic perspective and taken into account accordingly in risk management. The simulations required for this are likely to be challenging.
MaRisk also refers extensively to the EBA guidelines for details.
Principle of proportionality
The double proportionality principle also applies to the handling of IRRBB and CSRBB, as BaFin expressly points out in its letter to the banking industry associations accompanying the new version of MaRisk.
Restrictions on deposit modelling
In the context of deposit modelling, deposits from financial customers are to be assumed to be payable on demand. BaFin has expressly not adopted the exception for operational deposits provided for by the EBA in its guidelines – despite criticism in the consultation process.
BaFin has also maintained the ban on support points of more than ten years in the moving average model for modelling deposits with an indefinite capital or interest rate commitment. It refers to the joint supervisory position expressed with the Bundesbank in 2020 that support points of more than ten years are not considered sufficiently conservative.
Implementation deadlines
The new passages on interest rate risks in the banking book added to the MaRisk are not subject to an implementation deadline and must therefore be complied with upon publication of the MaRisk amendment. BaFin promises to exercise a sense of proportion in its supervisory practice.
However, BaFin has granted a deadline until the end of 2024 for the implementation of the requirements with regard to credit spread risks in the banking book.
