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    SNB Publishes Release 5.07 of Form on Counterparty Solvency Risk

    December 17, 2020

    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. 

     

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    Keywords: Europe, Switzerland, Banking, Reporting, Systemic Risk, Large Exposures, Credit Risk, Counterparty Credit Risk, SNB

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