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October 31, 2018

SNB published forms and the related documentation for interest rate risk reporting on single-entity (Form ZIR_U) and consolidated basis (Form ZIR_K). 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 submission deadline for the first implementation of the new interest rate risk report at enterprise level (ZIR_U) is being extended once for 15 calendar days. The submission date can be until May 30, 2019 (or "due to ramp up to May 31, 2019"). From the second implementation, deadline for ZIR_U is the ordinary period of 45 calendar days. The reporting institutions include all banks, financial groups, and securities dealers (excluding branches of foreign banks in Switzerland and the Principality of Liechtenstein). Data are collected by SNB in cooperation with the Swiss Financial Market Supervisory Authority FINMA. 

 

Related Links (German and English)

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

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