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
Previous ArticleOSFI Proposes to Amend the Liquidity Adequacy Requirements for Banks
HKMA announced the publication of a report on fintech adoption and innovation in the banking industry in Hong Kong.
BIS published a working paper that examines the drivers of cyber risk, especially in context of the cloud services.
ECB launched consultation on a guide specifying how the Banking Supervision expects banks to consider climate-related and environmental risks in their governance and risk management frameworks and when formulating and implementing their business strategy.
ECB published an opinion (CON/2020/16) on amendments to the prudential framework in EU in response to the COVID-19 pandemic.
EBA published a report that examines the interlinkages between recovery and resolution planning under the Bank Recovery and Resolution Directive (BRRD).
SRB published the final Minimum Requirements for Own Funds and Eligible Liabilities (MREL) policy under the Banking Package.
EIOPA published its risk dashboard based on Solvency II data from the fourth quarter of 2019.
MNB published a statement on loan payments post the announced moratorium, in addition to a set of new questions and answers (Q&A) on supervisory measures and requirements announced amid COVID-19 pandemic.
EBA updated the Single Rulebook question and answer (Q&A) tool for banks.
US Agencies (FDIC, FED, and OCC) published an interim final rule that temporarily revises the supplementary leverage ratio calculation for depository institutions.