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December 14, 2018

HKMA issued a revised version of the Supervisory Policy Manual (SPM) IR-1, with an updated title “Interest Rate Risk in the Banking Book” (IRRBB). The revised version reflects a new return “MA(BS)12A – Interest Rate Risk in the Banking Book” (IRRBB return) and a revised return “MA(BS)12B – Interest Rate Risk in the Banking Book (Supplementary Information),” which will replace the existing MA(BS)12(i) return. The published reporting forms also accompany the associated instructions. Institutions under the local IRRBB framework should be ready to measure and report IRRBB exposures using the new standardized framework through MA(BS)12A (and MA(BS)12B as the case may be) by July 01, 2019, with the first report based on data as of June 30, 2019.

As specified in a circular dated August 31, 2018 and addressed to all authorized institutions, HKMA has decided to generally exempt authorized institutions incorporated outside Hong Kong from the local IRRBB framework in cases where the parent group of the authorized institutions is not additionally represented in Hong Kong through any locally incorporated authorized institution. These exempted authorized institutions should continue to report their interest rate risk exposures through the existing return of “MA(BS)12 – Interest Rate Risk Exposures” and are expected to manage their IRRBB, along with their parent groups, based on the IRRBB standards of their home jurisdictions and in accordance with the BCBS standards. Other authorized institutions that are not exempted from the local IRRBB framework should be ready to measure and report IRRBB exposures using the new standardized framework through MA(BS)12A (and MA(BS)12B as the case may be) by July 01, 2019.


Effective Date: July 01, 2019

Keywords: Asia Pacific, Hong Kong, Banking, IRRBB, Basel III, Interest Rate Risk, Reporting, MA(BS)12, HKMA

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