Featured Product

    HKMA Issues and Revises Reporting Forms Under the IRRBB Framework

    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

    Featured Experts
    Related Articles
    News

    ECB Finalizes Methodology to Assess CCR and A-CVA Risk of Banks

    ECB finalized the guide on assessment methodology for the internal model method for calculating exposure to counterparty credit risk (CCR) and the advanced method for own funds requirements for credit valuation adjustment (A-CVA) risk.

    September 18, 2020 WebPage Regulatory News
    News

    EBA Provides Opinion on Definition of Credit Institution in CRR

    EBA published an Opinion addressed to EC to raise awareness about the opportunity to clarify certain issues related to the definition of credit institution in the upcoming review of the Capital Requirements Directive and Regulation (CRD and CRR).

    September 18, 2020 WebPage Regulatory News
    News

    APRA Consults on Alignment of Daily Liquidity Report for Banks

    APRA is consulting on updates to ARS 210.0, the reporting standard that sets out requirements for provision of information on liquidity and funding of an authorized deposit-taking institution.

    September 17, 2020 WebPage Regulatory News
    News

    FED Releases Scenarios for Second Round of Stress Tests on Banks

    FED released hypothetical scenarios for a second round of stress tests for banks.

    September 17, 2020 WebPage Regulatory News
    News

    PRA Announces Update on Supervisory Benchmarking Portfolio Exercise

    PRA published updates in relation to the 2021 Supervisory Benchmarking Portfolio exercise.

    September 14, 2020 WebPage Regulatory News
    News

    FED Revises and Extends Capital Assessment and Stress Testing Reports

    FED adopted a proposal to extend for three years, with revision, the capital assessments and stress testing reports (FR Y-14A/Q/M; OMB No. 7100-0341).

    September 14, 2020 WebPage Regulatory News
    News

    HKMA Updates Policy Module for Non-Centrally Cleared OTC Derivatives

    HKMA revised the Supervisory Policy Manual module CR-G-14 on margin and other risk mitigation standards for non-centrally cleared over-the-counter (OTC) derivatives transactions.

    September 11, 2020 WebPage Regulatory News
    News

    EBA Updates List of Validation Rules for Reporting by Banks

    EBA issued a revised list of validation rules with respect to the implementing technical standards on supervisory reporting.

    September 10, 2020 WebPage Regulatory News
    News

    EBA Responds to EC Call for Advice to Strengthen AML/CFT Framework

    EBA published its response to the call for advice of EC on ways to strengthen the EU legal framework on anti-money laundering and countering the financing of terrorism (AML/CFT).

    September 10, 2020 WebPage Regulatory News
    News

    NGFS Advocates Environmental Risk Analysis for Financial Sector

    NGFS published a paper on the overview of environmental risk analysis by financial institutions and an occasional paper on the case studies on environmental risk analysis methodologies.

    September 10, 2020 WebPage Regulatory News
    RESULTS 1 - 10 OF 5803