November 24, 2017

CBRC is consulting on the revised guidelines for interest rate risk in the banking book (IRRBB) for commercial banks. The comments are due by December 23, 2017, with an effective date of January 01, 2019.

The guidelines cover general principles, risk management, risk measurement and stress testing, measurement system and model management, measurement results application and information disclosure, supervision and inspection, seven chapters of Supplementary Provisions, the interpretation of terms, interest rate shock scenario design requirements, customer behavior Options risk considerations, model management requirements, standardized measurement framework, and regulatory evaluation of six annexes. The guidelines set detailed requirements on bank risk management, risk measurement, supervision, and inspection. The revised content is mainly reflected in the standardization of the governance structure of bankbook interest rate risk and the risk management policy process, the specific requirements of risk measurement, interest rate shock scenarios and customer behavior assumptions, the improvement of information system, model and data management requirements. 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.

 

Related Links (in Chinese)

Comment Due Date: December 23, 2017

Effective Date: January 01, 2019

Keywords: Asia Pacific, China, Banking, IRRBB, Stress Testing, Interest Rate Risk, CBRC

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