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
Previous ArticleIAIS Publishes Report on Process for the 2018 G-SII Identification
MAS and Temasek jointly released a report to mark the successful conclusion of the fifth and final phase of Project Ubin, which focused on building a blockchain-based multi-currency payments network prototype.
PRA published a public working draft, or PWD, of version 1.2.0 of the BoE Insurance XBRL taxonomy, along with the related technical artefacts.
CPMI published a report that sets out nineteen building blocks for a global roadmap to improve cross-border payments.
EBA published phase 2 of the technical package on the reporting framework 2.10, providing the technical tools and specifications for implementation of EBA reporting requirements.
APRA updated the lists of the Direct to APRA (D2A) validation rules for authorized deposit-taking institutions, insurers, and superannuation entities.
PRA updated the statement that provides guidance to regulated firms on implementation of the EBA guidelines on reporting and disclosure of exposures subject to measures applied in response to the COVID-19 crisis.
EBA updated the 2019 list of closely correlated currencies that was originally published in December 2013.
ESMA published the final report on the guidelines on securitization repository data completeness and consistency thresholds.
FASB issued a proposed Accounting Standards Update that would grant insurance companies, adversely affected by the COVID-19 pandemic, an additional year to implement the Accounting Standards Update No. 2018-12 on targeted improvements to accounting for long-duration insurance contracts, or LDTI (Topic 944).
APRA updated the regulatory approach for loans subject to repayment deferrals amid the COVID-19 crisis.