Regulatory Alerts2019-11-28
Added · Updated
Interest Rate Risk in the Banking Book: Frequently Asked Questions
The Hong Kong Monetary Authority issued these FAQs to clarify the application of its local Interest Rate Risk in the Banking Book framework for Authorized Institutions. The guidance specifies that non-exempted entities, including Hong Kong branches of parent banks, must implement local standards and cannot rely solely on group policies or partial ownership structures for exemption. Additionally, institutions are required to assess Credit Spread Risk in the Banking Book, measure exposure at least quarterly, and avoid window dressing to ensure accurate risk monitoring.
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