CBIRC revised the guidelines for management of interest rate risk in the banking book (IRRBB). The guidelines specify detailed requirements on management, measurement, supervision, and inspection of interest rate risk of commercial banks in the People's Republic of China. The effective date for the guidelines on IRRBB is January 01, 2019.
The guidelines have seven chapters covering general principles, risk management, risk measurement and stress testing, measurement system and model management, application of measurement results and information disclosure, supervision and inspection, and supplementary rules. The Annexes to the guidelines cover glossary, interest rate impact scenario design requirements, and customer behavior options for risk considerations, model management requirements, standardized measurement frameworks, and regulatory assessments. The standardized measurement framework includes the introduction of six interest rate impact scenarios, refinement of repricing time intervals, and consideration of customer behavior assumptions.
The guidelines clarify that commercial banks should follow the principle of matching when applying the relevant regulatory requirements and carry out differentiated risk measurement according to the importance of the banking system or the complexity of the business. The guidelines draw on international standards in combination with domestic realities.
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Effective Date: January 01, 2019
Keywords: Asia Pacific, China, Banking, IRRBB, Interest Rate Risk, CBIRC
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