HKMA published the set of frequently asked questions (FAQs) on local implementation of the interest rate risk in the banking book (IRRBB). To help ensure a consistent implementation of the new local IRRBB framework across the industry, HKMA has provided answers to a range of FAQs under the main items “Reporting Requirements” and “Supervisory Policy.”
HKMA had issued, on December 14, 2018, a revised version of the Supervisory Policy Manual (SPM) IR-1 “Interest Rate Risk in the Banking Book” (IRRBB) and the two related returns, (MA(BS)12A and MA(BS)12B). All authorized institutions subject to the new local IRRBB framework are encouraged to refer to these FAQs for their firm-specific IRRBB implementation. The FAQ lists will be updated on an ongoing basis to reflect the most recent status on questions received from authorized institutions.
Keywords: Asia Pacific, Hong Kong, Banking, IRRBB, Interest Rate Risk, Basel III, FAQ, HKMA
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