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
EBA Issues Erratum for Phase 2 Package of Reporting Framework 3.0
EBA published an erratum for the technical package on phase 2 of the reporting framework 3.0.
EBA Updates Lists of Entities for Use in Capital Calculations under SA
EBA published an erratum for the technical package on phase 2 of the reporting framework 3.0.
MAS Amends Notice on Related Party Transactions of Banks
MAS amended Notice 643A that addresses requirements for banks to prepare statements of exposures and credit facilities to related concerns or parties.
ECB Amends Guideline on Euro Short-Term Rate
ECB has published, in the Official Journal of the European Union, the Guideline 2021/565 on the euro short-term rate (€STR) and this guideline amends the previous ECB Guideline 2019/1265.
EBA Consults on Standards Related to FRTB-SA
EBA launched a consultation on the draft regulatory technical standards on the list of countries with an advanced economy for calculating the equity risk under the alternative standardized approach (FRTB-SA).
PRA Proposes Rules Related to IRB Approach for Credit Risk
PRA is proposing, via CP7/21, the approach to implementing new requirements related to the specification of the nature, severity, and duration of an economic downturn in the internal ratings-based (IRB) approach to credit risk.
BoE Outlines Regulatory Treatment of Recovery Loan Scheme of UK
The UK government launched the Recovery Loan Scheme (RLS) as part of its continued COVID-19 support for UK businesses, as announced by HM Treasury on March 03, 2021.
FSB Addresses G20 on COVID Measures, TBTF Reforms, and Climate Risks
FSB published a letter, from its Chair Randal K. Quarles, to the G20 Finance Ministers and Central Bank Governors, ahead of their virtual meeting on April 07, 2021.
OSFI Unwinds Temporary Increase to Covered Bond Limit for Banks
OSFI issued a letter to the deposit-taking institutions issuing covered bonds and announced the unwinding of the temporary increase to the covered bond limit for deposit-taking institutions, effective immediately.
EU Amends CRR and Securitization Regulation in Response to Pandemic
To support recovery from the COVID-19 crisis, EU has published two regulations to amend the securitization framework, as set out in the Securitization Regulation (2017/2402) and the Capital Requirements Regulation or CRR (575/2013).
