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    HKMA Updates FAQs on IRRBB Framework in November 2019

    November 28, 2019

    HKMA updated the list of frequently asked questions (FAQs) on local implementation of the interest rate risk in the banking book (IRRBB). HKMA also included an updated version of the spreadsheet containing calculation examples for completion of the IRRBB return. The calculation of basis risk (item 19 on Form 4) has been aligned with the methodology for the earnings perspective outlined in MA(BS)12A.

    HKMA has received a few more questions related to the local implementation of IRRBB, since its last update to the list of FAQs on April 30, 2019. To help ensure consistent implementation of the new local IRRBB framework, HKMA has provided answers to some additional FAQs under the main headings “Reporting Requirements” and “Supervisory Policy.” All authorized institutions subject to the new local IRRBB framework are encouraged to refer these FAQs for their IRRBB compliance. 

     

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

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