SNB updated the form and related documentation for reporting counterparty solvency risk in the interbank sector (Form ARIS 5.07). The form will be valid from December 31, 2020. This data collection/survey is aimed at analyzing the interlinkages in the interbank sector, with a view to the identification and ongoing monitoring of 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 accompanying documentation explains the changes in Release 5.07 of the form, in comparison with the previous version of the form.
This form has a quarterly reporting frequency and must be submitted within six weeks of the reference date. Reporting institutions include all banks and bank groups, except foreign bank branches in Switzerland. Reporting is required at the highest entity level to which the risk diversification requirements apply—that is, the 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. If a counterpart position amounts to less than CHF 1 million and represents less than 4% of the reporting institution’s core capital after deductions in accordance with Articles 31 to 40 of CAO, it is deemed to be insignificant and need not be reported. Positions must be listed on the form in the order of decreasing size; the decisive criterion is the size of the actual amounts due or owed.
Keywords: Europe, Switzerland, Banking, Reporting, Systemic Risk, Large Exposures, Credit Risk, Counterparty Credit Risk, SNB
Across 35 years in banking, Blake has gained deep insights into the inner working of this sector. Over the last two decades, Blake has been an Operating Committee member, leading teams and executing strategies in Credit and Enterprise Risk as well as Line of Business. His focus over this time has been primarily Commercial/Corporate with particular emphasis on CRE. Blake has spent most of his career with large and mid-size banks. Blake joined Moody’s Analytics in 2021 after leading the transformation of the credit approval and reporting process at a $25 billion bank.
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