ISR CB published consultation on amendments to disclosure on interest rate risk, as well as disclosure on liquidity and funding risk (public reporting instructions).
Follows ISR CB Dec. 2023, interest rate order implementation FAQs, see #195878.
Follows ISR CB Mar. 2024, proposed capital adequacy instruction & FAQ, see #205107.
Summary
Issued following banking failures in the US and around the world during 2023, mainly due to interest rate risk management weakness/ETS discounting during rapid change.
Technology has empowered customers to respond quickly to news on social networks.
Failures emphasized importance of providing effective and comprehensive disclosure of disclosures in terms of interest, liquidity and financing risks and their management.
Considers: directive 333 on proper banking management regarding interest rate risk in banking file; directive 206 on measurement and adequacy of capital - operational risk.
Also refers to Basel tier III disclosure requirements and additional risk information.
Consultation details proposed update/expansion of reporting provisions to the public.
Effectiveness
Comments are invited until Sep. 22, 2024.
Oct. 8, 2024 Decision Published
On Oct. 8, 2024, ISR CB issued circularDisclosure of interest rate risk and disclosure of liquidity and financing risk (public reporting instructions) following the consultation.
Document dated Oct. 8, 2024, received from ISR CB on Oct. 30, summarized Nov. 4.
Provisions in the circular apply to banking corporations and acquirers, which includes appendix containing update pages to the instruction files for reporting to the public.
Apply to cover banking corporations/acquirers; appendix contains instruction updates.
Disclosure of operational risk provisions in paragraph 13 apply to annual reports from Dec. 31, 2026; disclosure of interest rate risk provisions in section 12 apply to annual and quarterly reports from Dec. 31, 2025; disclosure of liquidity and financing risk provisions in section 11, apply to annual and quarterly reports from Dec. 31, 2024.
