The Swiss Financial Market Supervisory Authority FINMA published an ex-post evaluation of its supervisory requirements for interest rate risk in the banking book, concluding that its supervisory practice has largely been successful and has met its objectives. It nonetheless flagged targeted improvements that will be taken forward through a partial revision of Circular 2019/2 planned from 2026, including implementation of updated Basel Committee on Banking Supervision interest rate shock scenarios. The review covers the framework introduced on 1 January 2019 for banks’ measurement, management, monitoring and control of banking book interest rate risk, which was intended to strengthen minimum expectations on governance, modelling and interest rate scenario design. FINMA reports that small and medium-sized institutions have caught up with larger banks in adopting more advanced approaches, that these methods have proven robust in a changing interest-rate environment, and that the number of institutions with conspicuous interest rate risks has declined. The evaluation also revisits areas that had generated debate during the original consultation, noting that legal comparisons with the EU and the UK confirm the appropriateness of Switzerland’s implementation. FINMA indicated that the 2026 partial revision will improve proportionality rules, define minimum validation requirements more precisely, and incorporate the Basel Committee’s updated interest rate shock scenarios published in July 2024.

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