Regulatory Alerts2018-06-20
FINMA Circular 2019/2 Interest Rate Risks – Banks
The Swiss Financial Market Supervisory Authority (FINMA) issued this circular to establish minimum standards for the measurement, management, monitoring, and control of interest rate risks in the banking book, implementing Basel Committee standards. It mandates that banks implement robust internal measurement systems using standardized and internal stress scenarios, define risk tolerances, and ensure data integrity and regular reporting to the governing body. The document also outlines criteria for identifying outlier institutions with excessive risks and specifies standardized interest rate shock scenarios for capital adequacy calculations.
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