Regulatory Alerts2019-11-28
Added · Updated
Interest Rate Risk in the Banking Book: Frequently Asked Questions
The Hong Kong Monetary Authority issued this update to ensure consistent implementation of the local Interest Rate Risk in the Banking Book framework by providing answers to additional frequently asked questions. The document aligns the calculation of basis risk with the earnings perspective methodology outlined in MA(BS)12A and includes an updated spreadsheet for IRRBB return completion. All authorized institutions not exempted from the framework are encouraged to reference these FAQs and contact designated officials for implementation queries.
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