February 22, 2019

SNB updated the forms and related documentation for interest rate risk reporting on single-entity (Form ZIR_U) and consolidated basis (Form ZIR_K). The update includes implementing a decision by FINMA to no longer take into account cash flows from trading transactions in the ZIR. Therefore, the lines 88, 100, 111, and 119 in the reporting forms ZIR1_XXX are not to be filled.

The forms cover information on interest rate risk in the banking book (IRRBB) based on the recording of all material cash flows according to repricing maturity as well as material interest income (pursuant to FINMA Circular 2019/02 "Interest rate risks – banks" and FINMA Circular 2016/01 "Disclosure – banks"). The reporting frequency for IRRBB is quarterly (ZIR_U) and semi-annual (ZIR_K). The ZIR_U is valid from March 31, 2019 and ZIR_K is valid from June 30, 2019. The data must be submitted within 45 days. The reporting institutions include all banks, financial groups, and securities dealers (excluding branches of foreign banks in Switzerland and the Principality of Liechtenstein). SNB collects this data in conjunction with the Swiss Financial Market Supervisory Authority FINMA.

 

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Keywords: Europe, Switzerland, Basel III, Reporting, IRRBB, Interest Rate Risk, FINMA, SNB

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