Interest rate risk reports

Interest rate risk reports

NOTES

These notes cover interest rate reports for both parent company (ZIRU) and group (ZIRK) reporting entities. Where information on particular forms includes an asterisk (*) in the name of the form, the information in question applies to all reporting entities.

I. SURVEY CHARACTERISTICS

PURPOSE OF SURVEY

The purpose of the survey is to analyse both the interest rate risk of individual institutions and the interest rate situation in general.

COVERAGE

Information on interest rate risks in the banking book based on the capture of all significant cash flows according to their repricing maturities (according to Swiss Financial Market Supervisory Authority FINMA-Circ. 08/6 on ‘Interest rate risks – banks’; only available in French (as Risques de taux – banques) and German (as Zinsrisiken Banken)).

REPORTING ENTITY

Interest rate reports are collected on a quarterly basis for the parent company reporting entity (ZIRU) and on a half-yearly basis for the group reporting entity (ZIRK). In view of margin note 3 of FINMA- Circ. 08/6 on ‘Interest rate risks – banks’ (only available in French as Risques de taux – banques and German as Zinsrisiken Banken), a consolidated approach can be dispensed with.

TYPE OF SURVEY Full sample survey

REPORTING INSTITUTIONS

All banks and securities dealers

in Switzerland are required to report data, taking into account margin

note 4 of Swiss Financial Market Supervisory Authority FINMA-Circ. 08/6 on ‘Interest rate risks –

banks’ (only available in French as Risques de taux – banques and German as Zinsrisiken Banken).

FREQUENCY

Interest rate risk reporting is carried out quarterly for ZIRU (reference date: last day of the quarter) and semi-annually for ZIRK (reference date: last day of the half-year).

DEADLINE

The data must be submitted within 45 days.

PARTICIPANTS

The data are collected by the SNB on behalf of FINMA.

II. GENERAL REMARKS

1. REPORTING ON FORM ZR*01

When using this interest rate reporting form, all positions included in the banking book must be reported.

In addition, the asset position ‘trading portfolio assets’ less liability position ‘trading portfolio liabilities’ should be reported.

1.1 GENERAL REMARKS ON ENTRIES IN FORM ZR*01

The survey of interest rate risk is based on the capture of all significant cash flows according to their repricing maturities. A repricing maturity is the period of time until the interest rate is re-fixed. Cash flows (raw data) are captured in the ZR*01 form and always include the nominal value (principal) and the interest payments. They should be reported in expected (non-discounted) form. Cash inflows should be stated without a plus sign and cash outflows with a minus sign. Figures should always be stated for a given period of time. The allocation to a time period is made on the basis of the repricing maturity.

The following five categories should be differentiated when reporting the raw data:

– Category I: Positions with defined interest rate repricing maturities – Category II: Positions with undefined interest rate repricing maturities

– Category III: Positions without or with arbitrary interest rate repricing maturity – Category IV: Eligible capital

– Category V: Non-linear derivatives

For positions in Category I, the reporting of cash flows is mandatory.

For all positions occurring in Categories II to IV, interest rate repricing maturities should be reported using either cash flows or percentage weights prior to creation of the monthly tranches. The percentage weights should be reported irrespective of interest payments. If weights are reported, the cash flows with the appropriate maturities will be generated by the SNB, with the replication portfolio being broken down into individual monthly tranches according to the weights, and with the appropriate interest payments being recreated.

For all positions occurring in Categories II to V, nominal values less any individual value adjustments should also be reported, in the form of absolute amounts. Reporting a negative amount is only

admissible for the asset position ‘trading portfolio assets’ less liability position ‘trading portfolio liabilities’.

1.2 METHOD FOR IMPUTING REPRICING MATURITIES

For all positions occurring in Categories II to IV, banks should report internal assumptions on the

interest rate repricing maturity.

1.3 CURRENCIES

All positions in Categories I to V should be reported in Swiss francs. All foreign currency amounts should be translated to Swiss francs at the spot rate on the reference date.

The survey form contains a list of some 20 currencies. If the share of assets or liabilities held in one of the currencies accounts for 10% or more of the balance sheet total, a ZR*01 form must be filled in for each of these currencies. A ZR*01 form must always be filled in for positions in Swiss francs.

All other currencies, i.e. those not listed in the list of currencies and/or accounting for less than 10% of the balance sheet total, should be totalled and reported as ‘other currencies’. A separate ZR*01 form should be filled in for this purpose. For all currencies reported under ‘other currencies’, whose share accounts for at least 10% of the balance sheet total, information should be provided on both currency and volume in form ZR*04.

Only currencies issued by individual states, confederations or monetary unions should be reported in this survey. Precious metals are excluded from the reporting requirements for the survey on interest rate risk.

2. REPORTING OF THE INTERNALLY CALCULATED RISK MEASURE AS WELL AS SUPPLEMENTARY DISCLOSURES IN FORMS ZR*02 – ZR*04

In addition to reporting raw data, as described in section 1, banks are required to report their own internal interest rate risk measure as at the same reference date, which they have calculated using methods specific to their institution. Banks are required to report the following data in forms ZR*02 to ZR*04:

– Their most important internal interest rate risk measure (meaningful designation and value in Swiss francs, years or %). Banks using gap analysis as their most important interest rate risk measure must report these figures in a comprehensible manner in the ‘in CHF’ field.

In form ZR*02, banks must fill in columns 01 and 02 plus one each of columns 03, 04 or 05, for each of the currencies for which they filled in form ZR*01 (including the ‘other currencies’ currency group).

– Also, in the event of a shift in the yield curve by +100 basis points (bp) or –100 bp, banks must enter the change in the net present value of positions in Category I (columns 08 and 09 in ZR*02).

– Should the computation be made for internal purposes, it will also be necessary to fill in changes in the net present value of positions in Categories I to III in the event of a shift in the yield curve by +100 bp or –100 bp (columns 06 und 07 in ZR*02).

– Supplementary data (ZR*03 and ZR*04).

– Reporting anomalies: Deviations from standard results for accounting and/or operating reasons (e.g. minus instead of plus or vice versa (errors of sign)) are referred to as anomalies. In such cases, explanatory notes on the part of the reporting institution are obligatory. Anomalies are reported in ZR*04, column 01, line 05.

– Data on currencies reported under ‘other currencies’ which account for at least 10% of the balance sheet total. These currencies are reported in ZR*04, column 01, line 06.

III. NOTES ON ITEMS SURVEYED

The allocation of balance sheet positions to categories is based on the FINMA provisions on banking accounting procedures (FINMA-Circ. 15/1 on ‘Accounting – banks’; only available in French as Comptabilité banques and German as Rechnungslegung Banken). Allocations not explicitly covered by the circular are based on forms M011 to M014 in the SNB’s ‘Comprehensive monthly balance sheet’

(available only in German or French: Ausführliche Monatsbilanz or Bilan mensuel detaillé).

CATEGORY I: POSITIONS WITH DEFINED INTEREST RATE REPRICING MATURITIES Positions in Category I are reported on page 1 of form ZR*01.

Forward-forward transactions, swaps, futures, forwards and FRAs are treated as a combination of a long and a short position, as in margin notes 81 – 87 of FINMA-Circ. 08/20 on ‘Market risks – banks’ (only available in French as Risques de marché – banques and German as Marktrisiken Banken). The long position is entered as a claim and the short position as a liability.

When calculating cash flows, the individual value adjustments which are offset against a specific position should be deducted. Subordinated bonds included in eligible capital are allocated to Category IV and not to Category I.

The following positions must be reported in Category I:

– Amounts due from banks, excluding sight positions

– Amounts due from securities financing transactions (portion with defined interest rate repricing maturity)

– Amounts due from customers (portion with defined interest rate repricing maturity) – Mortgage loans (portion with defined interest rate repricing maturity)

– Other financial instruments at fair value (portion with defined interest rate repricing maturity) – Financial investments (portion with defined interest rate repricing maturity)

– Amounts due to banks, excluding sight positions

– Liabilities from securities financing transactions (portion with defined interest rate repricing maturity)

– Amounts due in respect of customer deposits (portion with defined interest rate repricing maturity) – Liabilities from other financial instruments at fair value (portion with defined interest rate repricing

maturity) – Cash bonds

– Bond issues and central mortgage institution loans, not included in eligible capital – Linear interest rate derivatives (e.g. swaps, futures, forwards, FRAs) in the banking book – Provisions not included in eligible capital (portion with defined interest rate repricing maturity) Banks may include linear interest rate derivatives which are allocated to the trading book. If these positions are included, this should be noted in form ZR*03.

CATEGORY II: POSITIONS WITH UNDEFINED INTEREST RATE REPRICING MATURITIES The positions in Category II are divided into five sub-categories:

a) Sight claims b) Sight liabilities

c) Amounts due from customers (portion with undefined interest rate repricing maturity) d) Mortgage loans (portion with undefined interest rate repricing maturity)

e) Amounts due in respect of customer deposits, callable, but not transferable (portion with undefined interest rate repricing maturity)

On page 1 of form ZR*01, banks must report the following data:

a) Sight claims:

Total asset positions in this sub-category less any individual value adjustments offset against a specific position

– Amounts due from banks, sight positions

– Amounts due from securities financing transactions, sight positions

– Other financial instruments at fair value, sight positions

b) Sight liabilities:

Total liability positions in this sub-category:

– Amounts due to banks, sight positions

– Liabilities from securities financing transactions, sight positions – Liabilities from other financial instruments at fair value, sight positions

– Amounts due in respect of customer deposits, accounts without withdrawal restriction and transferable accounts

c) Amounts due from customers (portion with undefined interest rate repricing maturity):

– Total figure for positions in this sub-category less any individual value adjustments offset against a specific position

d) Mortgage loans (portion with undefined interest rate repricing maturity):

– Total figure for positions in this sub-category less any individual value adjustments offset against a specific position

e) Amounts due in respect of customer deposits, callable, but not transferable (portion with undefined interest rate repricing maturity):

– Amounts due in respect of customer deposits: accounts with withdrawal restriction; not

transferable, i.e. not suitable for payment transactions, e.g. accounts for savings and investments, call money

CATEGORY III: POSITIONS WITHOUT OR WITH ARBITRARY INTEREST RATE REPRICING MATURITY

On page 2 of form ZR*01, banks report the amount for each of the following positions:

a) Trading portfolio

– Trading portfolio assets less – Trading portfolio liabilities

b) Financial investments (portion without interest rate repricing maturity or with arbitrary repricing maturity): total figure less any individual value adjustments offset against a specific position c) Participations: total figure less any value adjustments offset against a specific position d) Tangible fixed assets, intangible assets: balance sheet value

e) Other assets, accrued income and prepaid expenses: total figure less any individual value adjustments offset against a specific position

f) Other liabilities, accrued expenses and deferred income and provisions not included in eligible capital (where not already included in Category I): total of the three positions

CATEGORY IV: ELIGIBLE CAPITAL

On page 3 of form ZR*01, banks must report the following positions:

a) Eligible capital

b) of which: dotation capital

c) of which: subordinated bonds included in eligible capital

Banks imputing repricing maturities for capital should report their repricing assumptions.

CATEGORY V: NON-LINEAR DERIVATIVES

For non-linear derivatives on debt certificates or interest rates in the banking book, banks must report

the contract volume on page 3 of form ZR*01. If non-linear derivatives have a significant impact on a

bank’s interest rate risk, FINMA can request more detailed information about these instruments.

Questions on surveys [email protected] Languages

German, French and English Date of publication March 2015