HKMA Issues Interim Reporting Guidance for IRRBB Returns
HKMA published the interim guidelines for reporting of alternative reference rates in relation to the returns on interest rate risk. The interim reporting guidelines have been issued for returns MA(BS)12A on interest rate risk in the banking book (IRRBB), MA(BS)12B on supplementary information for IRRBB, and MA(BS)12 on interest rate risk exposures (for IRRBB-exempted authorized institutions), given the evolution of new alternative reference rate conventions resulting from the progressing interest rate benchmark reform. In addition, HKMA will soon update the Supervisory Policy Manual module IR-1 on IRRBB and the completion instructions for the relevant returns to comprehensively reflect the changes.
To facilitate the regulatory reporting for the time being, HKMA has provided certain interim reporting guidelines for alternative reference rates that are expected to be in effect until the policy module IR-1 and the completion instructions for the relevant returns are updated. Interim reporting guidelines for MA(BS)12A and MA(BS)12B are as follows:
- For all floating rate interest rate-sensitive positions referencing to alternative rates that are overnight rates in nature, the business day immediately following the reporting date can be considered the “earliest interest repricing date” and the positions can be slotted into the corresponding time bands.
- Authorized institutions may continue to use the discounting factors derived based on the preexisting methodology (that is the methodology adopted on or before December 31, 2020) for the calculations of impact on economic value of equity.
- Accrued alternative reference rate interest should be reported according to item 13 under the Frequently Asked Questions for IRRBB reporting requirements.
- The alternative reference rate component of the coupon cash flows recorded by the reporting date should be slotted into the appropriate time band according to the next repricing date, that is the business day immediately following the reporting date.
- In case of insufficient implied interest rate volatility data for valuing alternative reference rate options in the market, alternative volatility estimates may be used instead.
- Authorized institutions may continue to apply the pre-existing methodologies for determining net interest income impacts and weighted average yields that were compliant with the policy module IR-1 and the completion instructions for MA(BS)12A/MA(BS)12B before December 31, 2020.
- Deviations from these interim reporting guidelines will be allowed for IRRBB reporting in the interim period if the alternative reporting can be demonstrated to be more sophisticated or more prudent.
Interim reporting guidelines for MA(BS)12 on interest rate risk exposures are as follows:
- For all variable rate interest-bearing positions referencing to alternative reference rates that are overnight rates in nature, the business day immediately following the reporting date can be considered the “earliest interest repricing date” and the positions can be slotted into the corresponding time bands.
- Deviations from the interim guideline above will be allowed for MA(BS)12 reporting in the interim period if the alternative reporting can be demonstrated to be more sophisticated or more prudent.
Keywords: Asia Pacific, Hong Kong, Banking, Reporting, Alternative Reference Rates, IRRBB, Interest Rate Risk, Interest Rate Benchmark, Benchmark Reforms, Basel, HKMA
Featured Experts

María Cañamero
Skilled market researcher; growth strategist; successful go-to-market campaign developer

Nicolas Degruson
Works with financial institutions, regulatory experts, business analysts, product managers, and software engineers to drive regulatory solutions across the globe.

Patrycja Oleksza
Applies proficiency and knowledge to regulatory capital and reporting analysis and coordinates business and product strategies in the banking technology area
Previous Article
DNB Publishes Several Regulatory Updates for Banks in March 2021Related Articles
BOE Sets Out Its Thinking on Regulatory Capital and Climate Risks
The Bank of England (BOE) published a working paper that aims to understand the climate-related disclosures of UK financial institutions.
OSFI Finalizes on Climate Risk Guideline, Issues Other Updates
The Office of the Superintendent of Financial Institutions (OSFI) is seeking comments, until May 31, 2023, on the draft guideline on culture and behavior risk, with final guideline expected by the end of 2023.
BIS Paper Examines Impact of Greenhouse Gas Emissions on Lending
BIS issued a paper that investigates the effect of the greenhouse gas, or GHG, emissions of firms on bank loans using bank–firm matched data of Japanese listed firms from 2006 to 2018.
HMT Mulls Alignment of Ring-Fencing and Resolution Regimes for Banks
The HM Treasury (HMT) is seeking evidence, until May 07, 2023, on practicalities of aligning the ring-fencing and the banking resolution regimes for banks.
BCBS Report Examines Impact of Basel III Framework for Banks
The Basel Committee on Banking Supervision (BCBS) published results of the Basel III monitoring exercise based on the June 30, 2022 data.
PRA Consults on Prudential Rules for "Simpler-Regime" Firms
Among the recent regulatory updates from UK authorities, a key development is the first-phase consultation, from the Prudential Regulation Authority (PRA), on simplifications to the prudential framework that would apply to the simpler-regime firms.
DNB Publishes Multiple Reporting Updates for Banks
DNB, the central bank of Netherlands, updated the list of additional reporting requests and published additional data quality checks and XBRL-Formula linkbase documents for the first quarter of 2023.
NBB Sets Out Climate Risk Expectations, Issues Reporting Updates
The National Bank of Belgium (NBB) published a communication on climate-related and environmental risks, issued an update on XBRL reporting
EBA Updates Address Securitization Standards and DGS Guidelines
The European Banking Authority (EBA) published the final draft of the regulatory technical standards that set out conditions for assessment of homogeneity of the underlying exposures in simple, transparent, and standardized (STS) securitizations.
FSB Publishes Letter to G20, Sets Out Work Priorities for 2023
The Financial Stability Board (FSB) published a letter intended for the G20 Finance Ministers and Central Bank Governors, highlighting the work that FSB will take forward under the Indian G20 Presidency in 2023