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June 22, 2017

HKMA is consulting the banking industry on the implementation of the Basel Committee's interest rate risk in the banking book (IRRBB) framework in Hong Kong. The consultation end on August 11, 2017.

This consultation paper sets out the HKMA proposals for updating the current Supervisory Policy Manual (SPM) module IR-1 "Interest Rate Risk Management," MA(BS)12–Interest Rate Risk Exposures," and the return of “MA(BS)12–Interest Rate Risk Exposures” (IRR return). The detailed proposals are set out in sections II, III, and IV. HKMA intends to publish the final SPM in Q3 2017, with the expectation that authorized institutions should be ready to measure and report interest rate exposure measures based on the new standardized framework by January 01, 2018. The Basel Committee on Banking Supervision issued new standards on IRRBB in April 2016. The updated SPM will set out the key elements of the standardized framework as well as the HKMA’s approach to the supervision of authorized institutions’ IRRBB management and monitoring of authorized institutions’ IRRBB exposures. Authorized institutions will be required to calculate and report their IRRBB exposures based on the standardized framework under the updated IRR return.

 

 

Comment Due Date: August 11, 2017

Keywords: Asia Pacific, HKMA, Hong Kong, IRRBB, Interest Rate Risk

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