February 08, 2019

HKMA published the frequently asked questions (FAQs) related to the local implementation of the interest rate risk in the banking book (IRRBB). HKMA had issued, on December 14, 2018, a revised version of the Supervisory Policy Manual (SPM) IR-1 “Interest Rate Risk in the Banking Book” (IRRBB) and the two related returns, (MA(BS)12A and MA(BS)12B).

To help ensure a consistent implementation of the new local IRRBB framework across the industry, HKMA has provided answers to a range of FAQs on the HKMA Supervisory Communication Website, under the main items “Reporting Requirements” and “Supervisory Policy.” All authorized institutions subject to the new local IRRBB framework are encouraged to refer to these FAQs for their firm-specific IRRBB implementation. The FAQ list will be updated on an ongoing basis to reflect the most recent status on questions received from authorized institutions.

Regarding the general exemption for some authorized institutions incorporated outside Hong Kong—as set out in the HKMA circular dated August 31, 2018, the revised version of the SPM IR-1, and the related returns—HKMA considers the exemption criteria sufficiently clear to allow all authorized institutions to ascertain whether they are exempted from the new local IRRBB standards or not. Therefore, no separate notifications will be issued to individual authorized institutions. In case of any remaining potential doubt, an authorized institution should contact the case officer to verify whether or not it is exempted from the new local IRRBB framework.

Keywords: Asia, Pacific, Hong Kong, Banking, IRRBB, Interest Rate Risk, Basel III, FAQ, HKMA