New MaRisk: BaFin Consults on 8th Amendment
A summary (in English and German) on the BaFin’s new consultation on the 8th amendment of the MaRisk.
The BaFin has opened a consultation on the 8th amendment of the MaRisk, which defines the minimum requirements for banks' risk management. These changes are based on the guidelines of the European Banking Authority (EBA), which have been effective since the end of 2023.
The draft includes new specifications for the risk management of banks, particularly regarding interest rate risks and credit spread risks in the banking book, and clarifies BaFin's expectations of the credit institutions according to Section 25a of the German Banking Act (Kreditwesengesetz).
A key component is the new section BTR 5, which deals with the management and control of credit spread risks. For the first time, BaFin has established criteria to assess how institutions handle these risks. Credit spread risks arise when the risk premium of a financial instrument changes due to market creditworthiness expectations. Institutions are required to manage these risks through precise risk management.
Additionally, the MaRisk has been supplemented to fully incorporate the EBA guidelines on interest rate risks in the banking book. Banks must now assess and manage both the short-term and long-term effects of interest rate risks on earnings and the net present value of assets.
The consultation process will run until 14 March 2024, and BaFin plans to publish the final version of the MaRisk amendment in April 2024.
