SNB Updates Forms and Documentation for IRRBB Reporting
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.
Related Links
Keywords: Europe, EU, Banking, Interest Rate Risk, Reporting, IRRBB, FINMA, SNB
Featured Experts
María Cañamero
Skilled market researcher; growth strategist; successful go-to-market campaign developer
Nicolas Degruson
Works with financial institutions, regulatory experts, business analysts, product managers, and software engineers to drive regulatory solutions across the globe.
David Fihrer
Skilled life insurance actuary; subject matter expert on IFRS 17 and source of earnings
Previous Article
OSFI Revises Instructions and Reporting Form for Pension PlansRelated Articles
US Agencies Issue Several Regulatory and Reporting Updates
The Board of Governors of the Federal Reserve System (FED) adopted the final rule on Adjustable Interest Rate (LIBOR) Act.
ECB Issues Multiple Reports and Regulatory Updates for Banks
The European Central Bank (ECB) published an updated list of supervised entities, a report on the supervision of less significant institutions (LSIs), a statement on macro-prudential policy.
HKMA Keeps List of D-SIBs Unchanged, Makes Other Announcements
The Hong Kong Monetary Authority (HKMA) published a circular on the prudential treatment of crypto-asset exposures, an update on the status of transition to new interest rate benchmarks.
EU Issues FAQs on Taxonomy Regulation, Rules Under CRD, FICOD and SFDR
The European Commission (EC) adopted the standards addressing supervisory reporting of risk concentrations and intra-group transactions, benchmarking of internal approaches, and authorization of credit institutions.
CBIRC Revises Measures on Corporate Governance Supervision
The China Banking and Insurance Regulatory Commission (CBIRC) issued rules to manage the risk of off-balance sheet business of commercial banks and rules on corporate governance of financial institutions.
HKMA Publications Address Sustainability Issues in Financial Sector
The Hong Kong Monetary Authority (HKMA) made announcements to address sustainability issues in the financial sector.
EBA Updates Address Basel and NPL Requirements for Banks
The European Banking Authority (EBA) published regulatory standards on identification of a group of connected clients (GCC) as well as updated the lists of identified financial conglomerates.
ESMA Publishes 2022 ESEF XBRL Taxonomy and Conformance Suite
The General Board of the European Systemic Risk Board (ESRB), at its December meeting, issued an updated risk assessment via the quarterly risk dashboard and held discussions on key policy priorities to address the systemic risks in the European Union.
FCA Sets up ESG Committee, Imposes Penalties, and Issues Other Updates
The Financial Conduct Authority (FCA) is seeking comments, until December 21, 2022, on the draft guidance for firms to support existing mortgage borrowers.
FSB Reports Assess NBFI Sector and Progress on LIBOR Transition
The Financial Stability Board (FSB) published a report that assesses progress on the transition from the Interbank Offered Rates, or IBORs, to overnight risk-free rates as well as a report that assesses global trends in the non-bank financial intermediation (NBFI) sector.
