Mr Röseler, why has BaFin made interest rate risks an area of focus once again in its eighth amendment to the MaRisk and why have the requirements been tightened?

I would say supplemented rather than tightened. We already attached considerable significance to the management of interest rate risks. They are a matter of pivotal importance for all credit institutions. The developments of early 2023 relating to Silicon Valley Bank once again underscored what can happen if banks fail to keep such risks under control.

If credit spreads increase, volatility on the markets could result in more risks. This topic is now also dealt with in the MaRisk.

The issue actually goes all the way back to the financial crisis of 2007/2008. Back then, market-related risks were not sufficiently covered by equity. Credit spread risks were explicitly addressed for the first time in 2019 by the European Capital Adequacy Directive.

The European Banking Authority (EBA) then issued guidelines on the topic. BaFin’s MaRisk specify the technical details that arise from the EBA guidelines. They provide orientation to credit institutions in Germany and make BaFin’s expectations clear.

When will BaFin start using the amended version of the MaRisk as the basis for its inspections?

The changes relating to interest rate risks apply immediately. Our inspections will also start to review credit institutions’ handling of credit spread risks from 2025 at the latest.

This definitely won’t affect all institutions to the same extent. Proportionality also plays a role here and we will give consideration to how strongly credit spreads influence each institution’s risk profile. We will be examining institutions with significant exposures more thoroughly than was previously the case.