Around two-thirds of the institutions supervised by the Bundesbank are already required to meet additional capital requirements in order to cover higher interest rate risk. Off-site supervision ensures that institutions model interest rate risk conservatively. The stress test conducted by the European Banking Authority (EBA), the results of which will be published at the end of July, will provide further insights.
The main purpose of this stress test is to assess the impact of a severe deterioration in the macroeconomic environment on banks’ resilience. These measures are flanked by regulatory adjustments. This year, stricter regulatory requirements for interest rate risk will enter into force in the EU.