SNB Publishes Reporting Forms on NSFR and Counterparty Solvency Risk
SNB published Version 1.1 of the reporting forms (NSFR_G and NSFR_P) on the net stable funding ratio (NSFR) of banks, along with the associated documentation. The forms will be valid from July 31, 2021. SNB also published the form (Form ARIS 5.08) and related documentation for reporting counterparty solvency risk in the interbank sector. The accompanying documentation explains changes in Release 5.08 of the form, with the newer version of the form becoming valid from March 31, 2021.
The data collection on counterparty solvency risk in the interbank sector is aimed at analyzing interlinkages in the interbank sector, with the aim to identify and monitor systemic risks. The form covers reporting of the ten or twenty largest claims and liability positions vis-à-vis other banks or bank groups in Switzerland and abroad. The form has a quarterly reporting frequency and must be submitted within six weeks after the reference date. Reporting institutions include all banks and bank groups, except foreign bank branches in Switzerland. Reporting takes place at the highest entity level to which the risk diversification requirements apply—that is, institutions subject to risk diversification requirements (consolidation requirement) in accordance with Article 7 of Capital Adequacy Ordinance, or CAO, are required to report counterparty solvency risk on a consolidated basis.
Additionally, the reporting forms for NSFR have been revised due to the introduction of a binding NSFR and the revision of liquidity ordinance as of July 01, 2021. The form NSFR_G is for reporting by group or single entities, without group structure, while NSFR_P is intended for reporting by the parent company. The key revisions to NSFR reporting include a reduction in the number of positions to be submitted; introduction, deletion, and replacement of positions; and introduction of semi-annual survey for FINMA supervisory categories 4 and 5. The forms NSFR_PM/GM cover institutions in FINMA supervisory categories 1 and 2, NSFR_PQ/GQ cover institutions in FINMA supervisory category 3, and NSFR_PS/GS cover institutions in FINMA supervisory categories 4 and 5. Category 1 refers to the extremely large, significant, and complex market participants posing very high risk while category 2 refers to the very significant, complex market participants posing high risk. Categories 3 to 5 refer to institutions posing significant risk, average risk, and low risk, respectively. The reporting forms have monthly, quarterly, and semi-annual frequency.
Related Links
- Forms on NSFR
- Form on Counterparty Solvency Risk
- Capital Adequacy Ordinance (in German)
- FINMA Supervisory Categories
Keywords: Europe, Switzerland, Banking, Reporting, Large Exposures, Credit Risk, Counterparty Credit Risk, NSFR, Basel, Capital Adequacy Ordinance, Liquidity Risk, SNB
Featured Experts
María Cañamero
Skilled market researcher; growth strategist; successful go-to-market campaign developer
Nicolas Degruson
Works with financial institutions, regulatory experts, business analysts, product managers, and software engineers to drive regulatory solutions across the globe.
Karen Moss
Senior practitioner in asset and liability management (ALM) and liquidity risk who assists banking clients in advancing their treasury and balance sheet management objectives
Previous Article
ESRB Supports Extension of Macro-Prudential Measure by NBBRelated Articles
EC Consults on PSD2 and Open Finance; EU Reaches Agreement on DORA
The European Commission (EC) published a public consultation on the review of revised payment services directive (PSD2) and open finance.
EC Mandates ESAs to Propose Amendments to SFDR Technical Standards
The European Commission (EC) has issued two letters mandating the European Supervisory Authorities (ESAs) to jointly propose amendments to the regulatory technical standards under Sustainable Finance Disclosure Regulation or SFDR.
EBA Examines Supervisory Practices, Issues Deposits Reporting Template
The European Banking Authority (EBA) published its annual report on convergence of supervisory practices for 2021. Additionally, following a request from the European Commission (EC),
US Agency Publications Address Basel, Reporting, and CECL Developments
The Farm Credit Administration published, in the Federal Register, the final rule on implementation of the Current Expected Credit Losses (CECL) methodology for allowances
SEC Extends Comment Period on Climate Risk Disclosures
The U.S. Securities and Exchange Commission (SEC) looks set to intensify focus on crypto-assets and cyber risk and extended the comment period on the proposed rules to enhance and standardize climate-related disclosures for investors.
APRA Reduces Committed Liquidity Facility, Issues Other Updates
The Australian Prudential Regulation Authority (APRA) announced reduction in the aggregate Committed Liquidity Facility and issued an update on the operational preparedness for zero and negative market interest rates.
CMF Consults on Basel Rules, Presents Roadmap to Address Climate Risks
The Commission for the Financial Market (CMF) in Chile published capital adequacy ratios (as of February 2022, January 2022, and December 2021) for 17 banks and for the banking system.
PRA Issues Statement on NPEs and Policy on Trading Activity Wind-Down
The Prudential Regulation Authority (PRA) issued a statement on the European Banking Authority (EBA) guidelines on management of non-performing exposures (NPEs) and forborne exposures.
EBA Updates Standards for 2023 Benchmarking of Internal Approaches
The European Banking Authority (EBA) updated the implementing technical standards that specify the data collection for the 2023 supervisory benchmarking exercise in relation to the internal approaches used in market risk, credit risk, and IFRS 9 accounting.
EIOPA Responds to Stakeholder Views on Blockchain in Insurance
The European Insurance and Occupational Pensions Authority (EIOPA) published a feedback statement on the responses received to the consultation on blockchain and smart contracts in insurance.
