SNB updated the forms and related documentation (Release 1.1a) 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 (IRRBB) of the individual institutions and the interest rate situation in general.
The forms cover information on 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, EU, Banking, Interest Rate Risk, Reporting, IRRBB, FINMA, SNB
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