Regulatory Alerts2020-02-14
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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