Regulatory Alerts2020-02-14
Added
Instruction No. 3/2020
This instruction amends Instruction No. 34/2018 to update standardized reporting requirements for interest rate risk in the banking book (IRRBB) and outlier test results, implementing European Banking Authority guidelines. It introduces a new "alert signal" outlier test, clarifies calculation principles such as currency-by-currency economic value changes and the inclusion of non-performing exposures, and modifies deposit reporting disaggregation. Reporting frequency is set to quarterly for institutions exceeding a 20% economic value decline relative to own funds or a 15% decline relative to Tier 1 core own funds, and semi-annually otherwise, with specific submission deadlines for each quarter.
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