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September 26, 2017

HKMA is revising the implementation date of the new interest rate risk in the banking book (IRRBB) standards in Hong Kong, from January 01, 2018 to January 01, 2019. Banks should be ready to measure and report their IRRBB exposures using the proposed standardized framework in 2019, with the first report based on data as of December 31, 2018.

According to the originally intended timeline, banks were expected to be ready to measure and report their IRRBB exposures using the proposed standardized framework by 2018, with the first report to be based on data as of December 31, 2017. HKMA decided to extend the implementation timeline, keeping in mind that the industry responses to the consultation paper expressed legitimate concerns on the relatively tight implementation timeline. The industry highlighted a number of new requirements in the IRRBB standards requiring system changes that would be challenging to implement by January 01, 2018. This consultation paper, which was issued on June 22, 2017, proposed updates to the Supervisory Policy Manual (SPM) IR-1 “Interest Rate Risk Management,” the return “MA(BS)12 – Interest Rate Risk Exposures” (IRR return), and the return “MA(BS)12i – Interest Rate Risk Exposures (Supplementary Information).” 

 

Keywords: Asia Pacific, Hong Kong, Banking, IRRBB, Basel III, Implementation Timeline, HKMA

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