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    SNB Publishes Reporting Forms on NSFR and Counterparty Solvency Risk

    March 22, 2021

    SNB published Version 1.1 of the reporting forms (NSFR_G and NSFR_P) on the net stable funding ratio (NSFR) of banks, along with the associated documentation. The forms will be valid from July 31, 2021. SNB also published the form (Form ARIS 5.08) and related documentation for reporting counterparty solvency risk in the interbank sector. The accompanying documentation explains changes in Release 5.08 of the form, with the newer version of the form becoming valid from March 31, 2021.

    The data collection on counterparty solvency risk in the interbank sector is aimed at analyzing interlinkages in the interbank sector, with the aim to identify and monitor 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 form has a quarterly reporting frequency and must be submitted within six weeks after the reference date. Reporting institutions include all banks and bank groups, except foreign bank branches in Switzerland. Reporting takes place at the highest entity level to which the risk diversification requirements apply—that is, 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. 

    Additionally, the reporting forms for NSFR have been revised due to the introduction of a binding NSFR and the revision of liquidity ordinance as of July 01, 2021. The form NSFR_G is for reporting by group or single entities, without group structure, while NSFR_P is intended for reporting by the parent company. The key revisions to NSFR reporting include a reduction in the number of positions to be submitted; introduction, deletion, and replacement of positions; and introduction of semi-annual survey for FINMA supervisory categories 4 and 5. The forms NSFR_PM/GM cover institutions in FINMA supervisory categories 1 and 2, NSFR_PQ/GQ cover institutions in FINMA supervisory category 3, and NSFR_PS/GS cover institutions in FINMA supervisory categories 4 and 5. Category 1 refers to the extremely large, significant, and complex market participants posing very high risk while category 2 refers to the very significant, complex market participants posing high risk. Categories 3 to 5 refer to institutions posing significant risk, average risk, and low risk, respectively. The reporting forms have monthly, quarterly, and semi-annual frequency.

     

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    Keywords: Europe, Switzerland, Banking, Reporting, Large Exposures, Credit Risk, Counterparty Credit Risk, NSFR, Basel, Capital Adequacy Ordinance, Liquidity Risk, SNB

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