FINMA Circular 2019/2 Consultation: Earnings Risk Gets an Outlier Test

On 4 November 2026 FINMA opened a consultation on a partial revision of FINMA Circular 2019/2, the circular that sets Swiss supervisory practice for measuring, managing, monitoring and controlling interest rate risk in the banking book (IRRBB). Comments are due by 15 January 2027, and FINMA plans to bring the revised circular into force on 1 January 2028.

The draft answers two prompts. The Basel Committee on Banking Supervision published recalibrated standardised interest rate shocks on 16 July 2024, and FINMA published the results of its ex-post evaluation of the circular on 26 November 2025. That evaluation found the practice still necessary, effective and appropriate in substance, while FINMA’s own review and the feedback from industry both pointed to areas for improvement.

For treasury, asset-liability management and regulatory reporting teams at Swiss banks, three changes carry the weight. The earnings perspective becomes mandatory for risk tolerance and, unless two waiver conditions both hold, for limits, a second outlier criterion compares the fall in net interest income with 5% of Tier 1 capital, and the Swiss franc parallel shock in Annex 2 rises from 150 to 175 basis points. FINMA’s explanatory report describes most of the remaining edits as clarifications that ease requirements through proportionality and materiality rules.

Related reading: Interest Rate Risk in the Banking Book (IRRBB): EBA Guidelines and CSSF Expectations for Luxembourg Banks

FINMA Circular 2019/2 consultation timeline

Before the public consultation opened, FINMA published its ex-post evaluation, pre-consulted the draft in its national working group on interest rate risks and then consulted the interested federal administrative units. The dates below come from FINMA’s press releases, key points, consultation information sheet and explanatory report (section 5 for the two preparatory steps); the Basel date comes from the Basel Committee’s publication page.

The 1 January 2028 date is FINMA’s plan, stated in the key points and in the closing section of the explanatory report. Once the consultation closes, FINMA’s Board of Directors weighs the responses and sets out in a results report how far they were taken up, so the adopted text can still differ from the draft.

What FINMA published and where the circular sits

The package has five documents: the press release, a two-page key points note, the consultation information sheet, the draft circular and an explanatory report. Only the first three exist in English. The draft and the explanatory report are in German and French, and the draft is a marked-up version of the current text, with deletions struck through and new wording underlined. That marked-up draft is the document a response should cite.

The circular concretises Article 12 of the Banking Ordinance (BankV). After the revision it lists Articles 45 and 131b of the Capital Adequacy Ordinance (CAO, ERV in German) among its legal bases, replacing an outdated reference to Article 96 CAO.

The explanatory report spells out the regulatory logic. Interest rate risk in the trading book carries Pillar 1 own funds requirements under Articles 81 et seq. CAO, while interest rate risk in the banking book sits in Pillar 2. Where FINMA finds that a bank may carry inappropriately high IRRBB, it can require additional capital under Article 45 CAO, which applies to all banks, or under Article 131b CAO for systemically important banks.

The bracketed Basel references inside the circular change as well. The current text points to paragraphs of the April 2016 IRRBB standard, for example paragraphs 29 to 31 beside the risk tolerance margin number. The draft re-points every reference to chapter SRP31 of the consolidated Basel Framework, which Rz 6 cites in its January 2026 version, and to DIS70 for disclosure. Internal policies that map their own clauses to the circular’s Basel paragraph numbers will need the SRP31 references once the revision applies.

On procedure, FINMA classified the rules as not of great significance within the meaning of the Consultation Act of 18 March 2005. It therefore runs the consultation as a hearing under Article 10(2) of the Ordinance of 13 December 2019 to the Financial Market Supervision Act (SR 956.11).

Scope: who the revised circular covers

Margin number (Rz) 2 now names the addressees in the text itself; until now they appeared only in the table on the title page. They are banks, account-keeping securities firms, financial groups and financial conglomerates, all referred to as “banks” in the draft in place of the current word “institutions”.

Rz 4 lists the exclusions. The circular does not apply to branches of foreign banks or to securities firms that do not keep accounts. Account-keeping securities firms are also out of scope if they carry no material interest rate risk in the banking book, which their audit firm confirms each year in its risk analysis. The explanatory report links this to Article 70(4) of the Financial Institutions Ordinance, under which account-keeping securities firms apply the CAO and therefore the circular.

The positions in scope follow the banking book as the CAO has defined it since the final Basel III rules took effect on 1 January 2025: everything the bank has assigned to its banking book under Articles 4b, 5 and 5a CAO and Articles 2 to 15 of FINMA’s ordinance of 6 March 2024 on the trading book, the banking book and eligible capital (HBEV-FINMA, SR 952.031.11). The explanatory report adds that only risk transfers between the two books that meet Articles 11 and 13 to 15 of that ordinance, and that are reflected in the minimum capital calculation, count when positions are allocated.

The consolidated exemption is the change with the most process attached. Under Rz 3, a group may leave controlled financial-sector entities out of the consolidated IRRBB view if their interest rate risk is immaterial, and the draft moves the consent from the audit firm to FINMA. One precondition is new and numeric: the entities’ interest-rate-sensitive balance sheet positions and their gross result from interest business may not exceed 2% of the corresponding consolidated figures. The bank shows this each year in an analysis that its audit firm confirms. In individual cases, the draft adds, the exemption can mean that the resulting consolidated level equals the solo level and the consolidated view can be dropped altogether.

Rz 3.1 adds a second layer. Where the analysis shows a deviation above 2%, the bank also calculates the change in economic value of equity (EVE) under the standardised shock scenarios for the solo level and for the consolidated level including those entities, and attaches the results. The analysis, the audit firm’s confirmation and any supporting material go to FINMA with the application for consent, and again every year unless the results have not changed. Rz 3.2 keeps the duty to hold exempted entities immaterial through directives and limits. The draft text does not say how an application above the 2% line fits with the 2% precondition in Rz 3, which makes the interplay a candidate for a clarifying comment.

The earnings perspective becomes mandatory

Under the current Rz 19, a bank sets its risk tolerance at least for the EVE perspective, and including the earnings perspective has been optional where the bank defined it as not relevant. The draft requires risk tolerance in an appropriate amount for both perspectives. FINMA’s reasoning in the explanatory report is that the Basel standard always included earnings, that many banks already treat it as important, and that for retail banks it is the most important dimension. The report adds that the change aligns FINMA’s practice with that of the EBA, whose approach is set out in our guide to the EBA IRRBB guidelines.

Limits follow the same split. The draft requires limits in both perspectives, oriented to the risk tolerance for short- and long-term effects of rate moves and covering sensible shock and stress scenarios as well as hedging strategies. A bank may dispense with earnings limits only where two conditions hold together: the threshold in Rz 15 is not reached, and the earnings perspective is not the bank’s relevant steering metric. In the draft, the materiality test in Rz 15 concerns the gross result from interest business. Section 4.6 of the explanatory report states the rule from the other side: there is still no general expectation of earnings limits, and FINMA expects them only where the one-third threshold for the gross result is reached or where the earnings perspective is the relevant steering metric.

Two new items enter risk tolerance. The first is negative market value reserves on tradeable financial investments that the bank values at amortised cost under Article 16(1)(a) of the FINMA Accounting Ordinance (RelV-FINMA, SR 952.024.1). The second is the hedging strategies for those investments, whose effectiveness the explanatory report says should also be assessed. The draft states that these reserves need monitoring and that no limit is required, and FINMA notes in the report that most banks have not monitored them so far.

Only the two parallel scenarios are compulsory on the earnings side. Rz 24 requires the six standardised scenarios to be applied separately for each material currency, with scenarios i (parallel up) and ii (parallel down) mandatory in the earnings perspective. The pre-consultation on 8 June 2026 met mixed approval, and the explanatory report records that criticism centred on extending the earnings perspective to limits and to the outlier test. FINMA kept both, calling the extension appropriate from a risk perspective and compatible with EBA practice and the Basel standard.

A second outlier criterion based on net interest income

Annex 1 governs how FINMA identifies and assesses outlier banks, meaning banks that may carry inappropriately high IRRBB or manage it inadequately. The draft keeps the existing structure and adds one quantitative test. A bank counts as an outlier as soon as one criterion is met.

For Rz 3, the draft clarifies that only a reduction in value counts. The calculation runs on the cash flows the bank reports in its interest rate risk report, once with the reporting bank’s own assumptions and once with market-standard assumptions for comparison, a sentence that moves into Rz 3 from the current Rz 4. The explanatory report says the market-standard assumptions are mainly bank-specific, supplemented by customary assumptions for subgroups of banks with comparable business models and by assumptions held constant over time.

Rz 4 is the new line. Its German text measures the reduction in the net result from interest business (Netto-Erfolg im Zinsengeschäft) under scenario i or ii, compared with the base scenario of the Rz 49 data collection, and sets the trigger at a reduction of at least 5% of Tier 1 capital (Kernkapital). The new outlier test uses the net figure, while the draft moves the Rz 15 category 3 test to the gross figure; this article uses net interest income as shorthand for the Rz 4 measure. The Basel standard lets supervisors set additional outlier criteria if they apply them uniformly across the banking population, and Principle 12 requires supervisors to disclose their criteria; the explanatory report cites both as the basis for the earnings test.

Outlier status triggers a review, and the explanatory report states that identification as an outlier brings no automatic measures. FINMA assesses each outlier bank individually under Rz 7 to 12: capital relative to interest rate risk and earnings, EVE sensitivity under shock and stress scenarios including the potential effect on investments valued at amortised cost, the appropriateness of assumptions and parameters, and the level and stability of earnings and their effect on future business, including dividend payments. Where the assessment shows inadequate management or excessive risk, Rz 13 and 14 let FINMA require additional own funds under Article 45 or 131b CAO, or other measures: reducing the risk, overriding assumptions or parameters in the internal system, improving the framework, or replacing the internal measurement system with the Basel standardised framework. FINMA’s standard approach, according to the report, is to discuss the deficits with the bank in the supervisory dialogue before taking a decision.

FINMA ran the current and recalibrated shocks in parallel for the reference dates 31 March 2025 and 31 March 2026. In the EVE perspective the number of outlier banks rose markedly in relative terms but remains very small in absolute terms. In the earnings perspective the absolute number did not change at 31 March 2026 and rose very slightly at 31 March 2025, an increase the impact analysis in section 7 of the explanatory report puts at about 1% of all banks concerned. FINMA attributes this to targeted supervisory measures and to recently lower interest rates, which reduced earnings forecasts, and it expects a stronger rise in earnings-perspective outliers if market rates climb markedly before the updated scenarios apply.

Annex 2: recalibrated shocks by currency

The Basel Committee’s July 2024 recalibration extended the calibration data from December 2015 to December 2023, replaced global shock factors with currency-specific factors based on averages of absolute rate changes over rolling six-month periods, moved from the 99th to the 99.9th percentile and rounded shocks to multiples of 25 basis points instead of 50. The Committee set 1 January 2026 for implementation. In Switzerland the values arrive through Annex 2 of the circular, which the draft updates with a planned start of 1 January 2028.

Annex 2 keeps six scenarios: parallel up, parallel down, steepener, flattener, short rates up and short rates down. Banks apply all six to EVE and, in the earnings perspective, at least the two parallel scenarios, separately for each material currency. The table compares current and draft values for four major currencies and for the residual table that covers all other currencies. Short-rate shocks decline across the 19 maturity bands; the figures shown are for band 1 (overnight).

Several currencies move down or stay where they were. The renminbi parallel shock falls from 250 to 225 basis points, and the US dollar parallel and short-rate shocks keep their current values. The explanatory report explains that the wider data set and the new method, including rounding, did not produce new shocks for the parallel, long or short sub-scenarios in every currency.

Three mechanical rules sit around the tables. Banks may interpolate within the maturity bands if their internal system cannot map the 19 bands, and results based on more, fewer or different bands must be equivalent to results on the prescribed bands. No interest rate floor applies in the scenarios, a rule the draft carries over unchanged. The draft also strikes the sentence that let a bank optionally apply the “ETC” values to a currency listed in Annex 2 whose share was below 10% of assets or liabilities. As I read the marked-up text, every listed currency would then take its own table.

The tables changed after the pre-consultation too. The explanatory report notes that the steepener and flattener values for the Indonesian rupiah were adjusted after 8 June 2026, and that the Basel recalibration document flags no change for that currency although its long sub-scenario falls from 350 to 300 basis points. Shock values loaded into a calculation engine are safest taken from the 4 November 2026 draft itself.

One reporting question stays open. The SNB’s notes to the interest rate risk report (version 1.2, March 2023) still describe listed currencies below 10% of the balance sheet total being reported under “Other currencies” and declared in form ZIR4. The consultation package contains no revised SNB notes, so whether that reporting convention follows the circular has not yet been answered.

Option risk and credit spread risk get materiality lines

Rz 12 redefines option risk in three parts: automatic options, meaning explicit options on rates or rate instruments such as interest rate options and swaptions; embedded options in the form of caps and floors, such as a maximum rate on consumer loans or a zero-rate floor on client deposits; and behavioural options, where the bank or the client can change the amount and timing of cash flows. Option risk has to be captured in the measurement system for both EVE and earnings.

Two numeric carve-outs are new. Early-termination options on term deposits may be left out if the total notional of those deposits is below 2% of banking-book liabilities, and prepayment options on fixed-rate loans may be left out if their total notional is below 2% of banking-book assets. Above those lines, the explanatory report says, modelling the optionality cannot be waived.

The draft also deletes “deposits without fixed maturity” from the examples of positions with embedded options. According to section 4.4 of the explanatory report, the deletion clarifies that no option pricing model has to be developed to capture the option risk of these deposits at the level of the individual client: common replication models remain sufficient, and a bank may also do without a model altogether. Behavioural assumptions for non-maturity deposits remain a modelling question in their own right, discussed in our article on non-maturity deposit stability and BCBS Working Paper 47.

Credit spread risk in the banking book (CSRBB) gets a home and a threshold. Rz 13 defines the credit effect as CSRBB and requires it to be handled in market risk or interest rate risk management where credit risk management does not already monitor it. Rz 16 requires credit effects on tradeable financial investments to be considered where their volume reaches at least 20% of Tier 1 capital. Two asset types can be left out of that volume: category 1 high-quality liquid assets under Article 15a of the Liquidity Ordinance, and category 2a covered bonds under Article 15b(1)(c) of the Liquidity Ordinance issued by Pfandbriefbank schweizerischer Hypothekarinstitute AG or Pfandbriefzentrale der schweizerischen Kantonalbanken AG. The CSRBB treatment can then be limited to the investments that were not excluded.

Placement matters for reporting. The explanatory report states that CSRBB, where relevant, belongs in the bank’s internal metrics and need not sit inside IRRBB management, and therefore need not appear in the interest rate risk report or in IRRBB disclosure. Crossing the 20% line creates a measurement duty for internal steering, while the SNB submission remains a report on interest rate risk.

Stress tests, model assumptions and validation

Rz 31 places interest rate risk inside the bank’s general stress testing framework, with a cross-reference to Rz 69 of FINMA Circular 2017/1 on corporate governance, and states that this framework includes reverse stress tests. The reverse stress test starts from a severe deterioration of earnings or capital, aims to uncover weaknesses that threaten the bank’s existence, and has to be documented in a traceable way. The current option for small banks and category 3 banks with low interest income to limit themselves to qualitative stress tests is deleted. How the reverse stress test is built remains the bank’s choice.

Rz 33 replaces the split between “behavioural” and “non-behavioural” assumptions, which the explanatory report found unworkable, with assumptions based on analyses and assumptions based on expert knowledge. Material assumptions of either kind have to be conceptually sound, appropriate, documented and, for optionalities, consistent with historical experience. Their appropriateness and effect on interest rate risk are reviewed at least annually and aligned with business strategy, and sensitivity analyses on these assumptions are required at least in the EVE perspective. Rz 34 keeps the relief that lets small banks and category 3 banks with low interest income review assumptions at least every three years, in place of annually, when nothing relevant has changed.

Validation is where the draft eases most visibly. Rz 35 treats interest rate risk measurement systems and models as part of a risk concept and makes the models subject to independent, appropriately documented validation; section 4.9 of the explanatory report calls this a clarification and names value-at-risk approaches with their underlying assumptions and replication models as examples of such models.

Rz 38 requires that validation on material changes to data, systems, methods or parameters and at least every five years. The explanatory report describes this as five years in place of three, now uniform for all banks. Small banks and category 3 banks with low interest income may simplify, and the draft now lists what that covers: they may do without an independent validation function and without a formal framework for model risk governance. The report adds that dropping the independence of the function leaves the validation itself in place. Rz 37 is repealed because its content already sits in Rz 20.

Board reporting gets one clarification. Rz 39 keeps reporting to the board at least semi-annually and replaces the board’s “delegates” with a committee of the board. Risk-bearing capacity under Rz 44 gains two factors in new Rz 46.1 and 46.2: the development of negative market value reserves on tradeable financial investments, and the results of the sensitivity analyses on model assumptions. The explanatory report cites the 2023 failure of Silicon Valley Bank as the case that showed why both now belong on the list of mandatory assessments.

Proportionality: small banks and the gross interest result test

The circular’s proportionality runs through two definitions in Rz 15. Small banks are banks in categories 4 and 5 under Annex 3 of the Banking Ordinance; the definition turns on the FINMA category alone and makes no reference to the voluntary regime described in our article on where the FINMA small banks regime’s proportionality stops. Under the currently applicable Rz 15, category 3 banks with low interest-business results are identified using the net result from interest business, which must represent less than one third of the specified ordinary income-statement results. The proposed change to the gross result and the proposed qualification-period requirement are consultation measures and are not yet in force.

The draft would change that second test in two ways. It would use the gross result from interest business (Brutto-Erfolg Zinsengeschäft) in place of the net result from interest business of the current Rz 15. In the income statement layout of Annex 1 to the Banking Ordinance, the gross result from interest business (position 1.5) is the sum of positions 1.1 to 1.3 less the interest expense in position 1.4, and the net result (position 1.7) follows after the credit-risk-related value adjustments and losses in position 1.6. The explanatory report calls the gross figure the more accurate approach and, per its impact analysis, reports no material effect; that conclusion is FINMA’s and should be checked on the bank’s own figures. It would also require the condition to hold for two consecutive years, to make the status less volatile; in the draft, the same logic applies to losing the status, and FINMA can order relief or tightening in individual cases.

The currently published Rz 15 footnote refers to form AU302 of FINMA Circular 2008/14 on supervisory reporting; in the marked-up draft the footnote reads AU202/AU302, with AU202 underlined as an insertion, and section 4.4 of the explanatory report says the footnote corrects the data basis. In the draft footnote the numerator is the gross result from interest business. The denominator comprises that result, the result from commission and service business, the trading and fair-value-option result, and the other ordinary result. A bank should document its calculation level and reconcile it to the footnote in FINMA’s final Rz 15.

Because Rz 46.1 and 46.2 sit inside the Rz 44 to 47 range, my reading is that the two new risk-bearing capacity factors do not apply to small banks or category 3 banks with low interest income either. The new earnings limits in Rz 19 follow a separate test that applies to every bank, so a category 4 bank whose earnings perspective is its steering metric would still need them.

Reporting through the SNB and disclosure under OffV-FINMA

The data collection itself barely moves. Rz 49 states that banks transmit their interest rate risk data to FINMA via the Swiss National Bank, at solo and consolidated level, periodically and on a form FINMA sets. The explanatory report says routing through the SNB was already the practice and is now written into the text, and Rz 49 drops its explicit exemption for branches of foreign banks, which became redundant once Rz 4 excludes them. The SNB runs the survey as ZIR_U for the solo entity, quarterly, and ZIR_K for the group, semi-annually, with a 45-day submission deadline.

The report also records a data-quality finding from both the internal and the external ex-post evaluation: in isolated cases, banks have not followed the SNB’s survey explanations for the interest rate risk report when preparing their submissions, and the report states that the explanations in force at the time have to be observed. Rz 26 makes a related link, since banks developing internal scenarios consider the relevant currencies as defined in the SNB survey.

The new earnings outlier test draws on that same report. Annex 1 Rz 4 measures the fall in net interest income against the base scenario of the Rz 49 data collection. The SNB notes already require, in form ZIR2_A, the scenario-dependent change in net interest income against the bank’s internal base scenario, and they require Tier 1 capital to be reported. My reading is that the 5% test can be computed from figures banks already submit. The consultation package contains no revised SNB forms or notes.

Switzerland’s final Basel III implementation introduced the FINMA Disclosure Ordinance of 6 March 2024 (OffV-FINMA, SR 952.022.2), which entered into force on 1 January 2025. The currently published Circular 2019/2 still refers in Rz 41 to FINMA Circular 2016/1. The marked-up draft would have Rz 41 refer the disclosure requirements to OffV-FINMA, with the bracketed Basel references SRP31.65 and DIS70.1-6. The external evaluation asked for clarifications on the discounting method and the maximum repricing maturity used in disclosure, and FINMA says it will address them in the next revision of OffV-FINMA, outside this consultation. For a contrast with the EU, our article on the retired ESPREP-STT IRRBB stress test in Luxembourg traces how one EU jurisdiction replaced its national IRRBB return with harmonised EBA templates.

How Swiss banks can respond by 15 January 2027

FINMA invites comments on the draft provision. The consultation information sheet sets the mechanics: comments go to FINMA at regulation@finma.ch, in electronic form as Word and PDF files, by 15 January 2027. Unless a respondent indicates otherwise, FINMA assumes consent to publish the response. The sheet names no response template and sets no language for comments.

FINMA’s impact analysis rests on a parallel calculation, and a bank can run the same exercise on its own data before deciding what to say. The draft’s thresholds give the list of calculations:

1. EVE and net interest income under the draft Annex 2 shocks at the latest ZIR reference dates, with the reduction in net interest income under scenarios i and ii compared with 5% of Tier 1 capital and the EVE reduction compared with 15%.
2. The one-third test for the last two financial years, using the gross result from interest business and the corresponding ordinary income-statement results, against the one-third line in Rz 15.
3. Tradeable financial investments net of category 1 high-quality liquid assets and eligible category 2a covered bonds, against 20% of Tier 1 capital (Rz 16).
4. The total notional of term deposits with early-termination options and of fixed-rate loans with prepayment options, against 2% of banking-book liabilities and assets respectively (Rz 12).
5. Negative market value reserves on investments valued at amortised cost, together with the hedges that relate to them (Rz 19 and Rz 46.1).
6. For groups relying on the consolidated exemption, the 2% analysis under Rz 3 and, above 2%, the solo and consolidated EVE comparison under Rz 3.1.

The pre-consultation shows where criticism centred: the extension of the earnings perspective to limits and to the outlier test. FINMA did act on other points raised in June 2026, deleting the deposits-without-fixed-maturity example and setting the five-year validation cycle for all banks. Points the draft leaves open, such as the Rz 3 and Rz 3.1 interplay above 2% and how the deleted 10% currency option carries into SNB reporting, are the kind of clarification a comment can ask for.

Frequently Asked Questions

Which shock values apply to the interest rate risk report until the revision takes effect?

The current circular, in force since 1 January 2019 and last amended on 4 November 2020, governs until the revised version applies, which FINMA plans for 1 January 2028. Its Annex 2 values remain the standardised scenarios until then, even though the Basel Committee set 1 January 2026 as its own implementation date. The draft contains no transitional provision and no option for early application.

Is there an English version of the draft circular?

FINMA published the draft and the explanatory report in German and French only; the press release, key points and consultation information sheet are also available in English. The SNB’s reporting notes (March 2023) describe the current circular as available in German, French and Italian. Citing margin numbers keeps an English-language response tied to the operative text.

Does the 5% earnings test use a FINMA base scenario or the bank’s own?

Annex 1 Rz 4 measures the reduction against the base scenario of the data collection under Rz 49, which is the interest rate risk report. In that report, the SNB notes allow the bank to derive its base scenario from its own rate forecasts or from forward rates. My reading is that the test runs against the base scenario each bank reports, which brings the choice and documentation of that scenario into the outlier question.

Can a bank use the Basel standardised framework in place of an internal model?

The explanatory report states that banks may use the Basel standardised framework voluntarily as their internal measurement system, for the interest rate risk report, or for both. Annex 1 Rz 14 also lists replacing the internal system with that framework among the measures FINMA can impose on an outlier bank, so the same framework can arrive by choice or by order.

What happens if a category 3 bank’s interest result share crosses one third in a single year?

Under the currently applicable Rz 15 the test uses the net result from interest business against one third. The draft would require a share below one third for at least two consecutive financial years and says the same logic applies, mutatis mutandis, when the status is lost. My reading of the draft is that one year above the line would leave the status intact and two consecutive years at or above one third would end it; the final rules for acquiring and losing the status depend on FINMA’s decision after consultation. FINMA can also order relief or tightening in individual cases, which can override the mechanical result.

Is there a materiality carve-out for the zero-rate floor on client deposits?

The two 2% carve-outs in Rz 12 cover only early-termination options on term deposits and prepayment options on fixed-rate loans. Rz 12 names the zero-rate floor on client deposits as an example of an embedded option, and the draft sets no numeric carve-out for it, so it falls under the general duty to capture option risk in both perspectives, read together with the proportionality principle in Rz 14.

Related Articles

• Interest Rate Risk in the Banking Book (IRRBB): EBA Guidelines and CSSF Expectations for Luxembourg Banks: how the EU IRRBB rules, shock scenarios and supervisory outlier tests apply to Luxembourg banks.
• FINMA Small Banks Regime: Where Proportionality Stops: the reporting relief available to category 4 and 5 institutions and the obligations that stay regardless of size.
• Non-Maturity Deposit Stability: What BCBS Working Paper 47 Signals: what the Basel Committee’s 2026 literature review means for deposit assumptions in liquidity reporting.
• ESPREP-STT Reporting in Luxembourg: The Retired IRRBB Stress Test: how a national IRRBB return gave way to harmonised EBA templates.
• Swiss Too-Big-to-Fail Reform: The 2026 Banking Act Consultation: the parallel Swiss consultation on accountability, FINMA powers and liquidity preparation.

Key Takeaways

• ZIR submissions keep the current Annex 2 values until the planned 1 January 2028 start; build the recalibrated set as a parallel scenario, loaded from the 4 November 2026 draft.
• A fall in net interest income of at least 5% of Tier 1 capital under scenario i or ii would make a bank an outlier on its own, with FINMA deciding measures case by case.
• For impact assessment, calculate the proposed one-third materiality test using the gross result from interest business, not gross interest income before interest expense. Under the draft, earnings limits could be omitted only where that materiality condition and the condition on the bank’s relevant steering metric both hold; the final waiver wording remains subject to consultation.
• Under the draft, negative market value reserves on amortised-cost investments, and the hedges behind them, would enter risk tolerance as a monitoring item with no limit attached.
• The proposed CSRBB trigger is 20% of Tier 1 capital measured after excluding category 1 HQLA and eligible category 2a covered bonds; the result would feed internal metrics.
• The draft would move validation calendars to a five-year maximum, with material changes triggering earlier revalidation; small banks would keep validation even where they drop the independent function.
• Under the draft, groups using the consolidated exemption would need FINMA’s consent, backed by the 2% analysis and the audit firm’s confirmation.

Sources and References

• FINMA, press release “FINMA launches consultation on the partially revised Circular 2019/2” (4 November 2026): finma.ch
• FINMA, “Consultation on the partial revision of Circular 2019/2: Key points” (4 November 2026): PDF
• FINMA, “Information relevant to the consultation” on the partial revision of Circular 2019/2 (4 November 2026): PDF
• FINMA, draft partial revision of Circular 2019/2 on interest rate risks for banks, marked-up consultation version (German): PDF
• FINMA, explanatory report on the partial revision of Circular 2019/2 (4 November 2026, German): PDF
• FINMA, press release on the ex-post evaluation of Circular 2019/2 (26 November 2025): finma.ch
• Basel Committee on Banking Supervision, “Recalibration of shocks for interest rate risk in the banking book” (16 July 2024): bis.org
• Swiss National Bank, interest rate risk report survey ZIRX (ZIR_U, ZIR_K) and notes: emi.snb.ch
• Banking Ordinance of 30 April 2014 (BankV, SR 952.02), consolidated version of 1 January 2025 (German): fedlex

Before 15 January 2027: the numbers behind a FINMA comment

The draft pairs three tightening points (the mandatory earnings perspective, the 5% net interest income outlier test and higher shocks for the Swiss franc, euro and sterling) with a longer list of easing clarifications on validation, option modelling and proportionality. Which side dominates for a given bank depends on its share of gross interest result, its tradeable investment book and its earnings sensitivity. The artifact that settles it is a parallel run of EVE and net interest income under the draft Annex 2 shocks at the latest ZIR reference date, set against the 15% and 5% of Tier 1 lines, ready in time to inform a comment to FINMA by 15 January 2027.

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