RegAlert2020-02-14
Added · Updated
Instruction No. 3/2020 on Interest Rate Risk in the Banking Book Reporting
The Bank of Portugal updates reporting rules for Interest Rate Risk in the Banking Book (IRRBB) to align with EBA Guidelines EBA/GL/2018/02, requiring institutions to report the impact of a 200 basis point parallel shift on economic value and one-year financial margin. Institutions must now report quarterly if the economic value variation exceeds 20% of own funds or 15% of Level 1 core own funds, otherwise reporting is semi-annual. The instruction introduces a new 'alert signal' outlier test, mandates the inclusion of non-performing exposures for institutions with a gross ratio above 2%, and updates calculation methods and reporting templates.
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Instruction No. 3/2020
Official Journal No. 1/2020 2nd Supplement • 2020/02/14
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Topics
Supervision :: Prudential Standards
Mod. 99999911/T – 01/14
Index
Text of the Instruction
Annex I – Reporting Models
040
050
060
070
Issued debt securities
085
Deposits with no defined maturity: current retail 095 Deposits with no defined maturity: non-current retail 105 Deposits with no defined maturity: financial wholesalers 115 Deposits with no defined maturity: non-financial wholesalers 120 Deposits with defined maturity 130 Derivatives 140 Others 150 160 Contingent assets 170 Contingent liabilities 040 050 060 070 Issued debt securities 085 Deposits with no defined maturity: current retail 095 Deposits with no defined maturity: non-current retail 105 Deposits with no defined maturity: financial wholesalers 115 Deposits with no defined maturity: non-financial wholesalers 120 Deposits with defined maturity 130 Derivatives 140 Others 150 160 Contingent assets 170 Contingent liabilities 040 050 060 070 Issued debt securities 085 Deposits with no defined maturity: current retail 095 Deposits with no defined maturity: non-current retail 105 Deposits with no defined maturity: financial wholesalers 115 Deposits with no defined maturity: non-financial wholesalers 120 Deposits with defined maturity 130 Derivatives 140 Others 150 160 Contingent assets 170 Contingent liabilities 040 050 060 070 Issued debt securities 085 Deposits with no defined maturity: current retail 095 Deposits with no defined maturity: non-current retail 105 Deposits with no defined maturity: financial wholesalers 115 Deposits with no defined maturity: non-financial wholesalers 120 Deposits with defined maturity 130 Derivatives 140 Others 150 160 Contingent assets 170 Contingent liabilities 040 050 060 070 Issued debt securities 085 Deposits with no defined maturity: current retail 095 Deposits with no defined maturity: non-current retail 105 Deposits with no defined maturity: financial wholesalers 115 Deposits with no defined maturity: non-financial wholesalers 120 Deposits with defined maturity 130 Derivatives 140 Others 150 160 Contingent assets 170 Contingent liabilities 180 040 050 060 070 Issued debt securities 085 Deposits with no defined maturity: current retail 095 Deposits with no defined maturity: non-current retail 105 Deposits with no defined maturity: financial wholesalers 115 Deposits with no defined maturity: non-financial wholesalers 120 Deposits with defined maturity 130 Derivatives 140 Others 150 160 Contingent assets 170 Contingent liabilities 180 040 050 060 070 Issued debt securities 085 Deposits with no defined maturity: current retail 095 Deposits with no defined maturity: non-current retail 105 Deposits with no defined maturity: financial wholesalers 115 Deposits with no defined maturity: non-financial wholesalers 120 Deposits with defined maturity 130 Derivatives 140 Others 150 160 Contingent assets 170 Contingent liabilities 180 040 050 060 070 Issued debt securities 085 Deposits with no defined maturity: current retail 095 Deposits with no defined maturity: non-current retail 105 Deposits with no defined maturity: financial wholesalers 115 Deposits with no defined maturity: non-financial wholesalers 120
Deposits with defined maturity 130 Derivatives 140 Others 150 160 Contingent assets 170 Contingent liabilities 180
Annex III – IRRBB measurement methods
Annex IV - Sophistication matrix for IRRBB measurement
Annex V - Different levels of sophistication for each indicator and quantitative model
Annex VI - Scenarios for the application of the "alert signal" outlier test
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Source: Banco de Portugal — original document · Summary generated with machine assistance and reviewed before publication; the authoritative text is the regulator's original document. How RegAlert works
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