SNB updated the forms and related documentation (Release 1.1) for interest rate risk reporting on single-entity (Form ZIR_U) and consolidated basis (Form ZIR_K). The purpose of the survey is to analyze both the interest rate risk in the banking book of the individual institutions and the interest rate situation in general.
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 interest rate risk reports are valid from June 30, 2020. The data must be submitted within 45 days. 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.
Keywords: Europe, Switzerland, Banking, Basel III, Reporting, IRRBB, Interest Rate Risk, FINMA, SNB
Previous ArticleEBA Single Rulebook Q&A: First Update for December 2019
EBA published an erratum for the technical package on phase 2 of the reporting framework 3.0.
MAS amended Notice 643A that addresses requirements for banks to prepare statements of exposures and credit facilities to related concerns or parties.
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 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 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.
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 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 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.
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).
HM Treasury announced that G7 Finance Ministers and Central Bank Governors met ahead of COP 26, the 2021 UN Climate Change Conference, and agreed on green agenda.